RUT Archives - CBOE Blogs

  • What's Trading Today - OTM RUT Bull Put Spread

    What's Trading Today - OTM RUT Bull Put Spread

    Today’s What’s Trading focused on a Bull Put Spread using Russell 2000 (RUT) quarter end options expiring on March 31st. For 2017, as of mid-morning today, the S&P 500 (SPX) is up about 3% more than RUT, which is a reversal of year end price action that saw small cap stocks as represented by RUT out performance the SPX by over 10% from election day to December 31st.  Note the elevated level of RUT implied volatility of RUT options as represented by the CBOE Russell[...]

  • Weekend Review of Russell 2000 Options and Volatility - 1/9 - 1/13

    Weekend Review of Russell 2000 Options and Volatility - 1/9 - 1/13

    It was a quiet week for the markets with a lack of economic data, the earnings calendar being light (that changes next week) and our president elect speaking to the press but not making statements to impact the equity markets too much.  The result was a 0.35% gain for the Russell 2000 (RUT) and a drop of 0.04% for large cap stocks as represented by the Russell 1000 (RUI). The next chart is a regular feature in this space.  I decided since the premium of the CBOE Russell 2000[...]

  • Market News | Jan 7, 2017, 9:05 AM

    Weekend Review of Russell 2000 Options and Volatility 1/3 - 1/6

    Weekend Review of Russell 2000 Options and Volatility 1/3 - 1/6

    The year started out in a similar fashion to the way it ended in 2016 with the Russell 2000 (RUT) out-performing the Russell 1000 (RUI) after the first two trading days of 2017.  However, the first week of the new year ended with RUI putting up some strong numbers and RUT even losing value on Friday while RUI was higher on the day. I included the last six months of 2016 on the chart below to give some perspective on the relative premium of the CBOE Russell 2000 Volatility Index[...]

  • Market News | Dec 22, 2016, 9:26 AM

    Block Trade Analysis IWM Bull Put Spread

    Block Trade Analysis IWM Bull Put Spread

    While playing email catch up today I came across an interesting question.  Someone noticed that as the market was nearing the close this past Friday (12/16) someone came in and put on a sizable trade using options on the iShares Russell 2000 Index ETF (IWM).  With IWM at 135.90 there was a seller of 11,800 IWM Mar 17th 110 Puts for 0.48 who then purchased the IWM Mar 17th 92 Puts for 0.09 and a net credit of 0.39.  The payoff at March expiration appears below. The long 110 strike[...]

  • Market News | VIX | Trader Talk | Trade Ideas | Dec 17, 2016, 1:54 PM

    Weekend Review Russell 2000 Options and Volatility 12/12 - 12/16

    Weekend Review Russell 2000 Options and Volatility 12/12 - 12/16

    Small caps finally came under pressure last week with the Russell 2000 (RUT) down about 2% while the large cap focused Russell 1000 (RUI) finished basically flat on the week.  For the year RUT is still dominating up just over 20% while RUI is up a respectable 10.6% for 2016. The relative levels between the CBOE Russell 2000 Volatility Index (RVX) and VIX narrowed as RVX dropped last week and VIX rose.  Relative to most of 2016 the premium is still a bit high. Friday this past[...]

  • Market News | VIX | Trader Talk | Trade Ideas | Dec 10, 2016, 9:36 AM

    Weekend Review - Russell 2000 Options and Volatility - 12/5 - 12/9

    Weekend Review - Russell 2000 Options and Volatility - 12/5 - 12/9

    The out performance of small cap stocks in the form of the Russell 2000 (RUT) relative to large cap stocks which is best represented with the Russell 1000 (RUI) has been nothing short of astonishing.  Last week RUT was up over 6% while RUI gained just over 3%.  For the year, RUT is up over 22% and RUI is up almost 11%. Breaking down the performance difference a little more starts with a look at relative performance since election day.  RUT is up 16.1% and RUI is up 5.9%. [...]

  • Market News | VIX | Trader Talk | Trade Ideas | Dec 4, 2016, 11:09 AM

    Weekend Review - Russell 2000 Options and Volatility - 11/28 - 12/2

    Weekend Review - Russell 2000 Options and Volatility - 11/28 - 12/2

    The Russell 2000 (RUT) took a rest for dominating the Russell 1000 (RUI) last week.  Neither index RUT dropped 2.8% while RUI was down about 1.1%.  Since the election the Russell 2000 had gone a bit parabolic, something we don’t often see from broad based indexes.  As of Friday RUT is up 15.7% while RUI is up 7.5% for 2016. The chart below breaks down performance for both RUI and RUT since the election.  Despite the tough week RUT is up 10.0% since November[...]

  • Market News | VIX | Trader Talk | Trade Ideas | Nov 26, 2016, 6:01 AM

    Weekend Review - Russell 2000 Options and Volatility - 11/21 - 11/25

    Weekend Review - Russell 2000 Options and Volatility - 11/21 - 11/25

    Small cap stocks seem to love the outcome of the election.  Since the market close on election-day the Russell 2000 (RUT) is up over 12% while the Russell 1000 (RUI) has gained just over 3%.  The 10% lead that RUT has on RUI has just about all come from the post-election rally for small caps.   The CBOE Russell 2000 Volatility Index (RVX) over VIX premium finished just under 47% this past week.  This is the second highest level for 2016.  A combination of higher[...]

  • Market News | VIX | Trader Talk | Trade Ideas | Nov 20, 2016, 8:08 AM

    Weekend Review - Russell 2000 Options and Volatility - 11/14 - 11/18

    Weekend Review - Russell 2000 Options and Volatility - 11/14 - 11/18

    The Russell 2000 (RUT) widened its lead on the Russell 1000 (RUI) after trouncing the large cap index the previous week.  For the year, RUT is up about 15.8% while RUI is up one basis point under 7%.  If you had been fortunate enough to pick the bottom in RUT you would be up just shy of 38% since February of this year. Volatility spreads, as measured by the CBOE Russell 2000 Volatility Index (RVX) divided by VIX have widened out as they tend to do so in periods of low volatility. [...]

  • Block Trade Analysis - Bearish RUT Broken Wing Butterfly

    Block Trade Analysis - Bearish RUT Broken Wing Butterfly

    I got a heads up this morning about a pretty darn interesting trade that came into the Russell 2000 (RUT) pit this morning.  With RUT around 1300 there was a put butterfly that is looking for the small cap benchmark to be about 100 points lower on January 20th of next year.  Not only is that standard option expiration date it is also the day we will inaugurate our next president. The specific trade involved buying 7,000 RUT Jan 1240 Puts for 20.50, selling 14,000 RUT Jan 1200 Puts at 12.80,[...]

  • Market News | Trader Talk | Trade Ideas | Nov 12, 2016, 2:40 PM

    Weekend Review - Russell 2000 Options and Volatility - 11/7 - 11/11

    Weekend Review - Russell 2000 Options and Volatility - 11/7 - 11/11

    Last week the Russell 2000 (RUT) beat the Russell 1000 (RUI) down like a college football team trying to make a statement and qualify for a spot in the playoff.  RUT was up over 10% in reaction to the outcome of the US election while the large cap (and more internationally focused) RUI gained just under 4%.  The race to the end of the year was close, but now RUT has about a 7% lead on RUI. In an interesting twist, the CBOE Russell 2000 Volatility Index (RVX) moved up relative[...]

  • Market News | VIX | Trader Talk | Trade Ideas | Nov 5, 2016, 8:00 AM

    Weekend Review - Russell 2000 Options and Volatility - 10/31 - 11/4

    Weekend Review - Russell 2000 Options and Volatility - 10/31 - 11/4

    It’s a stretch, but the race to the end of 2017 is shaping up like the most recent World Series that captivated my home town.  Early this year the Russell 1000 (RUI) dominated performance, then it looked like the Russell 2000 was going to run away with the out performance crown.  Suddenly, a couple of weeks ago, RUI got a second wind and is making a run at RUT.  Last week RUI closed the gap a tad losing 1.92% while RUT was down 2.08%.  For the year RUT is up 2.43% and RUI[...]

  • Market News | VIX | Trader Talk | Trade Ideas | Oct 29, 2016, 1:49 PM

    Weekend Review - Russell 2000 Options and Volatility - 10/24 - 10/28

    Weekend Review - Russell 2000 Options and Volatility - 10/24 - 10/28

    Last week the Russell 2000 (RUT) took it on the chin dropping 2.6% while the large cap focused Russell 1000 (RUI) was down only 0.80%.  For the year RUT still has a small lead, up 4.55% versus up 3.98%, but that could quickly disappear next week. The volatility spike that came Friday afternoon did what most surprising events do to the relationship between the Russell 2000 Volatility Index (RVX) and VIX.  The ratio dropped, but is still above average for 2016. The week ended[...]

  • Benchmark Indexes Historical Pricing | Oct 26, 2016, 3:57 PM

    eVestment adds CBOE Strategy Benchmark Indexes

    eVestment adds CBOE Strategy Benchmark Indexes

    The following headlines appeared in the trade publications Pension & Investments…. “Hawaii assigns $1.6 billion total to 4 managers for options-based strategies” (March 21, 2016) “South Carolina allocates nearly $1.9 billion to equity options, infrastructure strategies” (April 21, 2016) The rationale for Hawaii and South Carolina’s interest in using options strategies to mitigate risk and enhance yields was outlined in the recent article in The Wall St. Journal… “In[...]

  • VIX | Trader Talk | Trade Ideas | Election & VIX | Oct 26, 2016, 10:47 AM

    Analyzing Equity Market Sector Risk and the Election

    Analyzing Equity Market Sector Risk and the Election

    So, what do Mexico and the Biotech industry have in common?  They both seem to be braced for excess volatility following the US Presidential election.  Before jumping into all that I’ll explain the table that sums all this up. A couple of days ago I posted a blog showing that SPX option implied volatility jumped about 2 points when comparing at the money options.   Our friends at CBOE LiveVol calculates ATM implied volatility for all option markets.  Using that information[...]