SPX Archives - CBOE Blogs

  • Technical Analysis & Charts | Mar 13, 2015, 10:23 AM

    Weekly Market Commentary 3.13.15

    Weekly Market Commentary 3.13.15

    The market, as measured by the Standard & Poors 500 Index ($SPX), had been laboring at new highs, near 2120. Then, last Friday it broke down below support at 2090, which turned the chart bearish. Equity-only put ratios curled upwards late last week and gave confirmed sell signal. See below. Market breadth oscillators had been on sell signals. But they reached oversold status, and now both have rolled over to buy signals, after two days of positive breadth. Volatility indices only[...]

  • Technical Analysis & Charts | Trader Talk | Strategy | Mar 11, 2015, 11:28 AM

    Comparing SPX and MSCI Price Action

    Comparing SPX and MSCI Price Action

    Today CBOE set the date (pending regulatory approval) for the launch of trading of the MSCI EAFE (EAFE) and MSCI Emerging Markets (EEM) index options. Recently I was at a conference where an individual trader told me all he trades is SPX.   He said he loves (his words not mine) the cash settlement feature of SPX options. He went on to say he’d been looking around for another index option market to trade and said he felt EAFE and EEM were going to give him that[...]

  • Market News | Trader Talk | Education | Mar 10, 2015, 12:46 PM

    Will Friday's Selloff Have Legs? - Weekly Market Outlook

    Will Friday's Selloff Have Legs? - Weekly Market Outlook

    (Editors Note:  We meant to put this up yesterday morning, very apropos with today's move lower. Though it wasn't necessarily a bullish week (last week), the market was holding up well enough... until Friday's implosion. That one bad day pulled the market under some key support levels, and as such we now have to entertain the possibility that some selling weakness has been opened. And yet, there's still a beacon of hope for a quick rebound. We'll dissect the broad market's odds[...]

  • Technical Analysis & Charts | Education | Mar 9, 2015, 3:00 PM

    RMC Speakers - Volatility of Volatility Rose in Recent Months

    RMC Speakers - Volatility of Volatility Rose in Recent Months

    In the first two months of 2015, the CBOE VIX of VIX Index (VVIX) had an average daily close of 100.2, a higher level than in any of its previous eight full calendar years from 2007 through 2014. On Thursday at the 31st CBOE Annual Risk Management Conference in Carlsbad, expert presentations on Volatility of Volatility (VOV) were delivered by Benn Eifert, Ph.D., Portfolio Manager, Mariner Investment Group and Kambiz Kazemi, Portfolio Manager, Picton Mahoney Asset Management. INTRODUCTION TO INDEXES Before[...]

  • The Art of Hedging Discussed at RMC

    The Art of Hedging Discussed at RMC

    The last presentation of the day today at CBOE’s Risk Management Conference also turned out to be one of the best. Boris Lerner, Head of US Quantitative and Derivative Strategies at Morgan Stanley and Arie Aboulafia, Senior Portfolio Manager from Capstone Investment Advisors teamed up to discuss “The Art of Hedging”.  Many market participants have forgotten that there is a non-quantitative aspect to investing and trading since the industry has become so quantitative. This session[...]

  • Market News | VIX | Blogging Options | Trader Talk | Mar 5, 2015, 11:14 AM

    2015 Risk Management Conference: CBOE President and COO Edward Provost on New Initiatives

    2015 Risk Management Conference: CBOE President and COO Edward Provost on New Initiatives

    Thursday, March 5, 2015       CBOE President and COO Edward Provost kicked off Day Two of RMC with an update on recent CBOE developments, highlighting the exchange’s efforts to broaden access to its marketplace and to   expand and diversify its product offerings. Provost began with an update on CBOE’s extended trading hours initiative.  Last June, CFE implemented near 24-hour trading in VIX futures.  Approximately 9 percent of all VIX futures trading[...]

  • Market News | Mar 4, 2015, 9:00 PM

    Panel on The Evolution of Options Strategies on the Buy-Side Trading Desk

    Panel on The Evolution of Options Strategies on the Buy-Side Trading Desk

    On Wednesday at the CBOE Risk Management Conference, a panel discussed The Evolution of Options Strategies on the Buy-Side Trading Desk. Participants in the discussion were -- Moderator: Andy Nybo, Principal, Head of Derivatives, TABB Group Andrew Claeys, CFA, Director of Trading, Analytic Investors Ken Kwalik, Portfolio Manager, Investment Management Division, Goldman Sachs Mahsa Zeinali, Chief Operating Officer, Rosen Capital Advisors Topics discussed included -- Selecting order channels for[...]

  • Technical Analysis & Charts | VIX | Education | Mar 4, 2015, 8:15 PM

    BXY and PUT Indexes - Lower Standard Deviation and Higher Return Over the 26.5 Years

    BXY and PUT Indexes - Lower Standard Deviation and Higher Return Over the 26.5 Years

    On Wednesday at the 31st Annual CBOE Risk Management Conference, a presentation on a new study was delivered by Keith Black, Ph.D., CAIA, CFA, Managing Director, Curriculum and Exams, Chartered Alternative Investment Analyst (CAIA) Association.  (Edward Szado, Assistant Professor of Finance, Providence College was scheduled to appear with Dr. Black but was delayed by bad weather). Early this year Dr. Black and Dr. Szado published their new groundbreaking study - Performance Analysis of Options-Based[...]

  • Education | Mar 3, 2015, 2:00 PM

    Why Does The Market Have to do 'Something'?

    Why Does The Market Have to do 'Something'?

    I often find myself hearing reasons or rationale for the stock market's movements, which really is just a collection of emotions all packaged together to form a result.  I have to ignore these comments, if I listen too carefully I may get swept up in trying to rationalize the action.   Without trying to be too obvious, too much fear and the market goes down, but too much optimism and the market goes higher.  We can see all of this played out on a chart too, I've said many times a technical[...]

  • Watching Closely Here - Weekly Market Outlook

    Watching Closely Here - Weekly Market Outlook

    Believe it or not, the S&P 500 (SPX) (SPY) lost ground last week. It was a "just barely" situation, and the Russell 2000 (RUT) (IWM) as well as the NASDAQ Composite (COMP) (QQQ) both ended the week higher even with Friday's pullbacks. The across-the-board weakness to close out the week, however, is something to think about even if it's not yet something to worry about. The odds are weighed below. Let's first dissect last week's economic numbers and preview what's coming up this week. Economic[...]

  • Market News | Technical Analysis & Charts | VIX | Education | Futures | Feb 27, 2015, 1:10 PM

    Weekly Market Commentary 2.27.15

    Weekly Market Commentary 2.27.15

    (Editors Note:  For those attending Traders Expo New York at the Marriott Marquis this weekend, please stop by and say hello to Larry McMillan and his group.  Russell Rhoads from the Options Institute at CBOE will be at Traders Expo as well). The stock market continues to move higher, albeit at a very slow pace. That makes the $SPX chart bullish, of course, and it will remain bullish as long as $SPX holds above support.  The highest support level is the 2090-2100 range that $SPX traded[...]

  • Market News | Trader Talk | Strategy | Feb 25, 2015, 10:00 AM

    Combining CBOE and MSCI Gives Investors the World

    Combining CBOE and MSCI Gives Investors the World

    In a few weeks CBOE will begin listing options on two of the widely followed MSCI Indexes. This addition of cash settled index options on the MSCI EAFE and MSCI Emerging Market Indexes will result in investors being able to gain exposure to just about every investible market in the world by trading at CBOE. After such a bold statement, an explanation is definitely in order. Before discussing the world I’ll address the United States. On a notional basis the S&P 500 (SPX) Index option market[...]

  • Technical Analysis & Charts | VIX | Trader Talk | Education | Feb 23, 2015, 1:45 PM

    Pretty Clear Breakout Amid Valuation Challenges - Weekly Market Outlook

    Pretty Clear Breakout Amid Valuation Challenges - Weekly Market Outlook

    It wasn't necessarily a huge gain for the market last week, but it was an important one. Most indices tiptoed into new-high (record high) territory on Tuesday, and after stalling for a couple of days then made a bold thrust into record high territory again on Friday. All told, last week's close of 2110.3 for the S&P 500 (SPX) (SPY) translated into a 0.6% gain for the holiday-shortened week. Though valuation challenges are going to make it tough for stocks to continue rallying, from the technical[...]

  • Market News | VIX | Trader Talk | Futures | Feb 22, 2015, 8:15 AM

    The Week in VIX - 2/16 - 2/20

    The Week in VIX - 2/16 - 2/20

    VIX was down some last week and the newly christened front month March future followed the index lower and then some. Despite the drop, the March future finished Friday at a pretty steep premium relative to the index which shows that despite the S&P 500 making new highs, the volatility market isn’t convinced 2015 will be a repeat of the past couple of years in the equity space. I pulled out a couple of charts from my 2014 year end volatility review and updated them with 2015[...]

  • Market News | Feb 20, 2015, 9:40 AM

    Weekly Market Commentary 2.20.15

    Weekly Market Commentary 2.20.15

    $SPX has finally broken out to new all-time highs and has maintained that status by closing above the old highs for four consecutive days. That's the bullish news.  The less-than-bullish news is that the breakout is not being confirmed with any resound by some of the other indicators.  However, as long as $SPX remains above the 2065 support level, the bulls are in charge. Equity-only put-call ratios are in agreement with $SPX.  They are on buy signals, and the ratios are moving lower[...]