RVX Archives - CBOE Blogs

  • Market News | VIX | Trader Talk | Futures | Feb 12, 2016, 6:42 PM

    Weekly Review - Russell 2000 Options and Volatility

    Weekly Review - Russell 2000 Options and Volatility

    The pain continues for the Russell 2000 (RUT) in 2016 on both and absolute and relative basis.  For the year RUT is down over 14% while the large cap focused Russell 1000 (RUI) is only down about 9%.  The gap widened a bit this past week as RUI was down 1.00% and RUT lost 1.38%. Last year, when the market got into a real panic mode, VIX climbed to higher levels that the CBOE Russell 2000 Volatility Index (RVX).  Despite the weakness in stocks this year RVX has maintained[...]

  • Technical Analysis & Charts | Feb 8, 2016, 4:44 PM

    One Size Doesn’t Fit All

    One Size Doesn’t Fit All

    When shopping for shoes there’s a need to know what size to purchase or I suppose one could say whatever comes close. Performances between the U.S. small-cap and large-cap indexes have been quite different so far in 2016.  The small-cap as measured by the Russell 2000® Index (RUT) is down -14.66% compared to the large-cap S&P 500 Index -9.32% (based on closing prices 2/8/16). RUT’s daily moves have been over 1.00% almost two-thirds of the trading days as illustrated below. Managing[...]

  • Market News | VIX | Trader Talk | Strategy | Feb 6, 2016, 9:38 AM

    Weekly Review - Russell 2000 Index and Options - 2/1 - 2/5

    Weekly Review - Russell 2000 Index and Options - 2/1 - 2/5

    Small cap stocks continue to take it on the chin as the Russell 2000 (RUT) dropped almost 5% (4.81% for the quants) last week while the Russell 1000 (RUI) was down 3.16%.  I love how I am conditioned to a 3% drop in a broad based index feeling kind of normal.  My how times have changed. In times of panic the implied volatility of S&P 500 (SPX) options often elevates compared to the implied volatility of RUT index options.  That has not been the case in 2016 and in fact VIX closed[...]

  • Market News | VIX | Trader Talk | Jan 30, 2016, 11:00 AM

    Weekly Review - Russell 2000 Options and Volatility - 1/25 - 1/29

    Weekly Review - Russell 2000 Options and Volatility - 1/25 - 1/29

    The Russell 1000 (RUI) and Russell 2000 (RUT) both put up a respectable week.  However despite the positive week, RUT finished January down 8.85% while RUI was down 5.49%. In an interesting twist, RVX climbed to what is considered a normal premium to VIX last week.  As VIX moved lower, RVX did as well, but not as rapidly.  The result is an RVX to VIX premium of around 20% which is close to the average for the past few years. At least one trader is bullish on small caps[...]

  • Weekly Review - Russell 2000 Index and Options - 1/18 - 1/22

    Weekly Review - Russell 2000 Index and Options - 1/18 - 1/22

    Investors got a slight reprieve from what has been a difficult start to the year as both the Russell 1000 (RUI) and Russell 2000 (RUT) rose last week.  RUI gained 1.36% while the small cap focused RUT was up by 1.28%.  There has been nowhere to hide in 2016, but large cap stocks have held up pretty well versus small caps.  RUI is down just over 7% in 2016 while RUT is down a little more than 10%.  The chart below indexes RUI and RUT to 100 as of December 31st 2015 for comparison’s[...]

  • Weekly Review - Russell 2000 Index and Volatility 1/11 - 1/15

    Weekly Review - Russell 2000 Index and Volatility 1/11 - 1/15

    The Chicago Bears are doing the same thing the rest of us did this weekend, watching the playoffs from home.  However, the stock market bears have been dominate in 2016.  Russell 2000 (RUT) history goes back to 1987 so there is not a lot to work with, but the first ten days of 2016 are the worst first ten days on record for RUT.  The table below shows the first ten days for every year when RUT started off in the red followed by what the small cap oriented index did for the balance[...]

  • Market News | VIX | Trader Talk | Strategy | Jan 6, 2016, 1:22 PM

    Small Caps in Turmoil, Albeit with Lower Anticipated Volatility

    Small Caps in Turmoil, Albeit with Lower Anticipated Volatility

    The Russell 2000 (RUT) is trading at 1094, 15% off all-time highs, and has only closed lower than this level on one occasion (9/29/15) in the past 14+ months. In October of 2014, amidst the worldwide Ebola scare, RUT closed at 1068 and traded as low as 1018. Implied volatility of RUT options however, is rather sanguine despite the selloff in the benchmark Small Cap index. The CBOE Russell 2000 Volatility Index (RVX) “measures the market’s expectation of 30-day volatility implicit in the[...]

  • Market News | VIX | Trader Talk | Education | Strategy | Trade Ideas | Dec 20, 2015, 3:30 PM

    Weekly Review - Russell 2000 Options and Volatility - 12/14 - 12/18

    Weekly Review - Russell 2000 Options and Volatility - 12/14 - 12/18

    Small cap stocks continue to languish relative to large cap stocks for 2015.  The Russell 2000 (RUT) was down 0.23% while the Russell 1000 (RUI) lost 0.35% last week.  RUT is down 6.95% for 2015 while the large cap oriented RUI is down only 2.94%.  It’s going to take a small miracle for RUT to close the gap over the next two holiday shortened weeks. The CBOE Russell 2000 Volatility Index (RVX) rebounded relative to VIX last week but finished very close to parity. [...]

  • Market News | Dec 13, 2015, 7:11 PM

    Weekly Review - Russell 2000 Index and Volatility - 12/7 - 12/11

    Weekly Review - Russell 2000 Index and Volatility - 12/7 - 12/11

    Small cap stocks took it on the chin last week with the Russell 2000 (RUT) losing just over 5% on the week which places the small cap benchmark at down 6.73% for 2015.  In the large cap space the Russell 1000 (RUI) lost 3.85% last week which caused this large cap benchmark to move into the red for 2015.  RUI is now down 2.6% for 2015. Before moving to the volatility indexes I want to address where we are in December with respect to RUT and RUI.  A couple of weeks ago I[...]

  • Market News | Dec 5, 2015, 12:55 AM

    Weekly Review - Russell 2000 Index and Volatility - 11/30 - 12/4

    Weekly Review - Russell 2000 Index and Volatility - 11/30 - 12/4

    I put a blog up a couple of weeks ago about the Russell 2000 (RUT) usually doing well in December on both an absolute and relative basis.  Although it is early, small cap stocks as represented by RUT have dropped 1.23% while the Russell 1000 (RUI) is up 0.40%. The RVX / VIX premium has been zig zagging with the rest of the equity market action and finished the week close to this year’s average of 18% after dropping down to 10% on Thursday.  Confusion seems to abound regarding equities[...]

  • Market News | VIX | Trader Talk | Trade Ideas | Nov 29, 2015, 12:00 PM

    Weekly Review - Russell 2000 Index and Volatility - 11/23 - 11/27

    Weekly Review - Russell 2000 Index and Volatility - 11/23 - 11/27

    Last week I noted that December has traditionally been a good month for stocks, especially small cap stocks.  That blog can be found at The Week in Russell 2000 Trading - 11/16 - 11/20.  RUT appeared to get a head start on things last week by rallying over 2% while the Russell 1000 (RUI) was up by only about 2 points.  RUT is now a rounding error from up on the year and still lags RUI by about 1.5%. With the relative rally in RUT the RVX / VIX premium dropped to levels[...]

  • Market News | VIX | Trader Talk | Strategy | Trade Ideas | Nov 22, 2015, 2:13 PM

    The Week in Russell 2000 Trading - 11/16 - 11/20

    The Week in Russell 2000 Trading - 11/16 - 11/20

    Large caps ruled the week with the Russell 1000 (RUI) gaining over 3%.  Small cap stocks were no slouches, but the Russell 2000 did lag the Russell 1000 gaining 2.5%.  For the year RUI is up 1.21% and RUT is down 2.45%.  However, at the end of this blog I’ll note some statistics that show RUT still has a shot at victory in 2015. Both the CBOE Russell 2000 Volatility Index (RVX) and VIX were lower last week based on the rally in the equity markets.  RVX dropped[...]

  • Market News | Trader Talk | Trade Ideas | Nov 15, 2015, 5:50 PM

    The Week in Russell 2000 Trading - 11/9 - 11/13

    The Week in Russell 2000 Trading - 11/9 - 11/13

    The tough week for stocks was harder on small caps than large caps as the Russell 2000 (RUT) was down 4.43% and the Russell 1000 (RUI) dropped 3.63%.  RUT has a lot of work to do to catch up with RUI as the gap is at almost 3% between RUI (down 1.92%) and RUT (down 4.83% for the year). We tend to see VIX rise relative to the CBOE Russell 2000 Index (RVX) in times of turmoil.  That happened in August to the point of historically extreme relative RVX – VIX levels. [...]

  • Market News | VIX | Trader Talk | Education | Strategy | Nov 8, 2015, 8:13 AM

    The Week in Russell 2000 Trading - 11/2 - 11/6

    The Week in Russell 2000 Trading - 11/2 - 11/6

    The first thing that popped in my mind when I created the first chart in this blog was the story “The Little Engine that Could”.  This was a pre-Thomas the Tank Engine story of a little locomotive that achieves a great feat while telling himself “I think I can” repeatedly.  My mental analogy relates to the Russell 2000 (RUT) line below which pushed higher by over 3% last week closing the 2015 YTD gap with the Russell 1000 and also moved very close to positive territory[...]

  • Market News | VIX | Trader Talk | Trade Ideas | Nov 1, 2015, 3:30 PM

    The Week in Russell 2000 Trading - 10/26 - 10/30

    The Week in Russell 2000 Trading - 10/26 - 10/30

    I’m still playing some catch up from school work and travel which caused me to take my eye off the ball with respect to the markets.  It happens and when it does I’m always surprised by something that occurred while my mind and body were elsewhere.   The big surprise for me this time around was the disconnection between small and large cap stocks that happened over the past couple of weeks. Over the last two weeks of October the Russell 2000 (RUT) was basically unchanged[...]