The Weekly Options News Roundup – 3/13/2015

  • Market News | VIX | Trader Talk | Education | Futures | Trade Ideas | Dec 20, 2015, 10:44 AM

    Weekly Review - VIX Futures and Options - 12/14 - 12/18

    Weekly Review - VIX Futures and Options - 12/14 - 12/18

    VIX gave up 15% last week, despite the S&P 500 losing a little and this index trading in a range of greater than 80 points for the second consecutive week.  Consensus thinking is that with the Fed finally hiking rates a little uncertainty came out of the markets.  Of course Janet Yellen’s press conference was still in full swing when market pundits started discussing when the next potential rate hike may occur. The curve depicting the short dated VIX futures contracts[...]

  • VIX | Trader Talk | Education | Futures | Trade Ideas | Dec 19, 2015, 9:46 AM

    Weekly Review - Volatility Indexes and ETPs - 12/14 - 12/18

    Weekly Review - Volatility Indexes and ETPs - 12/14 - 12/18

    Finally, the Fed raised rates.  I’m reading Ben Bernanke’s book and it is interesting that this was being debated when he was still the chairman.  The equity market loved it and then hated it with the result being a roller coaster of a week.  The VXST – VIX – VXV – VXMT curve was on heightened alert this time last week and returned to normal to end the week.  It is rare, but we seem to have experienced an earnings like volatility crush in SPX volatility[...]

  • Market News | Dec 18, 2015, 3:13 PM

    TYVIX Weekly Report: FOMC Meeting Aftermath: Treasury Volatility Falls to Near Lows for Year

    TYVIX Weekly Report: FOMC Meeting Aftermath: Treasury Volatility Falls to Near Lows for Year

    The volatility of 10-Year Treasuries approached its lows for 2015 late Friday morning, December 18, when TYVIX fell to 4.68 on an intraday basis. On a closing basis, the TYVIX Index had not fallen this low since October 6, 2014, when it closed at 4.68. To put these numbers in perspective, the median TYVIX value since 2003 is 6.20. One might conclude that the Treasury market has settled down on assurances by the Federal Open Market Committee that additional increases in the target federal fund[...]

  • Market News | Dec 18, 2015, 12:08 PM

    Weekly Stock Market Commentary: Bulls Have Not Yet Seized the Moment

    Weekly Stock Market Commentary: Bulls Have Not Yet Seized the Moment

    Stock market volatility continues to be above-average. The oversold rally that took place earlier this week seems to have run out of steam. The $SPX chart is now showing lower highs and lower lows. That is a bearish trend developing. It will remain in effect until the most recent high is exceeded (2100, in this case). Both equity-only put-call ratios remain on sell signals. Market breadth was very negative coming into the week, and the breadth oscillators fell to extreme oversold readings. Those[...]

  • Market News | Technical Analysis & Charts | VIX | Dec 15, 2015, 12:19 PM

    Looking at VIX With Respect to an Initial Rate Hike

    Looking at VIX With Respect to an Initial Rate Hike

    On June 30, 2004 the Federal Reserve Open Markets Committee raised the intended Fed Funds rate from 1.00% to 1.25%.  This was the last first time we had an initial hike in interest rates (yes you read that correctly).  A lot has happened since this last first hike.  I did the quick math and my intern was nine years old, so she’s learned to drive and reached a major milestone that goes along with being 21 years old.  When we last had a rise in rates ISIS was either a pharmaceutical[...]

  • Market News | Dec 14, 2015, 12:05 PM

    Weekly Market Outlook - Did Bears Crush The Santa Claus Rally?

    Weekly Market Outlook - Did Bears Crush The Santa Claus Rally?

    Despite ending the first week of December on a bullish foot, the bears started - and finished - last week in charge of things... to say the least. Last week's -3.8% pullback was the biggest weekly loss for the S&P 500 (SPX) (SPY) since the heart of the August meltdown. Perhaps worse, the pullback broke some key support levels, and there isn't much other support until we get back to the August lows. On the flipside, between the time of year a Santa Claus rally usually takes shape[...]

  • 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 13, 2015, 8:26 AM

    Weekly Review - VIX Futures and Options - 12/7 - 12/11

    Weekly Review - VIX Futures and Options - 12/7 - 12/11

    VIX put up a heck of a Friday to top off the biggest weekly gain on a percentage basis since the debacle that was late August.  I mentioned this in my previous blog, but it is worth reiterating.  While at RMC Asia one of the best comments stated something to the effect of, “When the VIX curve is flat the market is uncertain”.  That pretty much describes the term structure chart from Friday. I’m beginning to learn that flat to slight contango is normal[...]

  • Market News | Dec 12, 2015, 8:30 PM

    Weekly Review - Volatility Indexes and ETPs - 12/7 - 12/11

    Weekly Review - Volatility Indexes and ETPs - 12/7 - 12/11

    I have returned from a couple of weeks in Asia speaking at CBOE’s First Asian version of CBOE’s Risk Management Conference and helping with the launch of the CBOE Options Institute at SGX in Singapore.  One of the best comments I heard at Risk Management was that when the VIX term structure is flat it indicates uncertainty with respect to the equity markets.  I think this statement translates well with respect to the chart below as well.  VIX, VXV, and VXMT all closed within[...]

  • Market News | VIX | Blogging Options | Dec 11, 2015, 2:00 PM

    The Weekly Options News Roundup – 12/11/2015

    The Weekly Options News Roundup – 12/11/2015

    The Weekly News Roundup is your weekly recap of CBOE features, options industry news and VIX and volatility-related articles from print, broadcast, online and social media outlets. A Hero’s Welcome On Wednesday, CBOE hosted recent Congressional Medal of Honor recipient U.S. Army Capt. Florent Groberg for an opening bell-ringing ceremony.  Exchange staff and traders gathered on the CBOE trading floor, cheering patriotically and giving Capt. Groberg a well-deserved hero’s welcome. The[...]

  • Market News | Dec 11, 2015, 1:21 PM

    TYVIX Weekly Review: Volatilities Drift Up to October Levels as Markets Await Tighter Monetary Policy Cycle

    TYVIX Weekly Review: Volatilities Drift Up to October Levels as Markets Await Tighter Monetary Policy Cycle

    The markets are pondering the effect the first target rate change in seven years will have on volatility (Fed rates have hovered between zero and one-quarter percent since December 2008). The Federal Open Market Committee meets on December 15-16 and is widely expected to announce a rate increase at the conclusion of the two-day meeting. Thus far, the imminent prospect of tighter monetary policy has made few waves.  In the equity market, the CBOE Volatility Index (VIX Index) is up for the week,[...]

  • Strategy | Trade Ideas | Dec 11, 2015, 12:11 PM

    RUT Play into the FOMC

    RUT Play into the FOMC

    With the FOMC meeting scheduled for next Tuesday, December 15, and the announcement of a possible rate hike on 2016 on Wednesday, we are seeing inflated volatility levels across equity markets. VIX (spot) is currently 21.65, whereas the Russell 2000 Volatility Index (RVX) is 22.33. Next week is also expiry, further heightening volatility levels.  The at-the-money SPX Dec 2025 Straddle is priced 53.05, implying a move of about 2.6 percent between now and next Friday’s expiration. [...]

  • Market News | Dec 7, 2015, 4:35 PM

    Weekly Market Outlook - Will Overhead Hurdles Constrain?

    Weekly Market Outlook - Will Overhead Hurdles Constrain?

    Despite Thursday's severe drubbing (the potential beginning of a bigger meltdown), stocks finished the week on a very bullish note, gaining more than 2.0% on Friday. That was enough to put the market back in the black for the week, even if just barely. The strong finish to last week, however, at least sets a bullish tone headed into the new trading week. And yet, none of the key indices have cleared their major technical hurdles that have been in the way for the past month... give or take. We'll[...]

  • Market News | Dec 5, 2015, 11:04 PM

    Weekly Review - VIX Futures and Options - 11/30 - 12/4

    Weekly Review - VIX Futures and Options - 11/30 - 12/4

    The VIX curve shifted lower on the week after a scary Thursday and quick recovery on Friday.  I do find it interesting that VIX is slightly under 15.00 instead of in the 12’s after a 40 point move in the S&P 500.  I guess the story clouds are going to keep the lows for VIX at higher levels over the near term. The blip on the VIX short term future chart that keeps moving to the left is the December 23rd contract.  The holiday effect that we use to note for December[...]

  • Market News | Dec 5, 2015, 9:56 PM

    Weekly Review - Volatility Indexes and ETPs - 11/30 - 12/4

    Weekly Review - Volatility Indexes and ETPs - 11/30 - 12/4

    This week I’m reporting in from Singapore where we are about to open the Asian version of The Options Institute at the Singapore Exchange (SGX).  I don’t have a feel for the market activity from last week, but I can read the numbers and can only imagine what a ride it was for some traders last week.  I added the Thursday close to the VXST – VIX – VXMT – VXV graph that shows up below since a week over week chart just doesn’t do justice to what occurred[...]