• Aug 14, 2017, 8:53 AM

    Why Does August Get Such a Bad Rap?

    We are in the midst of August, the "dog days of summer", and all we hear about now is a 'seasonally weak' period for markets.  History is on the side of these commenters, yet maybe things are a bit different today.  Let's flesh it out and see if we can take advantage. August seems to get the blame for many bad things to come.  There are no 'pure' or 'fun' holidays in August, and in the northern hemisphere it is usually the hottest time of the year (weather-wise).  As it relates[...]

  • Aug 13, 2017, 3:30 PM

    The Weekly Options News Roundup – 8/13/2017

    The Weekly News Roundup is your weekly recap of CBOE features, options industry news and VIX Index and volatility-related articles from print, broadcast, online and social media outlets.      VIX Fix: “Fire and Fury” in the Markets As the war of words between the U.S. and North Korea escalated this week, major market indicators, fresh off record highs, tumbled, while volatility, complacent most of the summer, surged.  The CBOE Volatility Index (VIX) spiked 44% on Thursday,[...]

  • Aug 11, 2017, 8:12 AM

    Volatility Takes the Stairs Down and the Elevator Up

    There are countless market/trader sayings that get bandied about depending on the macro environment (and perhaps your position). For example, who hasn’t heard? Trying to catch a falling knife The trend is your friend Dead-cat bounce Picking up pennies (used to be 1/8ths) in front of a steamroller In the options world, one truism that was likely overheard on trading desks yesterday: “volatility takes the stairs down and the elevator up”. Of late, there’s[...]

  • Education | Aug 7, 2017, 8:47 AM

    Take The Markets Seriously, Even When Others Won't

    There is a buzz around markets these days, many are in complete disbelief or denial that the bull market continues to rage on.  The length of this run is now about nine years, and we have barely had any correction.  That is not to say we won't have one coming, and certainly with the bias toward short volatility (skew, tail risk), short SPX puts, and other more esoteric products - there will likely be an unwind that will feel monumental.  There may be no getting around it, and it[...]

  • Aug 6, 2017, 3:30 PM

    The Weekly Options News Roundup – 8/6/2017

    The Weekly News Roundup is your weekly recap of CBOE features, options industry news and VIX Index and volatility-related articles from print, broadcast, online and social media outlets.      The Futures of Bitcoins On Wednesday, CBOE announced that it has entered into an exclusive license agreement with Gemini Trust Company to use Gemini’s bitcoin market data for bitcoin derivatives and indices.  Under the terms of the agreement, CBOE will have a multi-year exclusive global[...]

  • Aug 2, 2017, 3:30 PM

    Bearish on TSLA in Front of Earnings

    Other trades of note: Teva Pharmaceutical Industries Limited (TEVA) at 31.10, a Bull Put Spread traded 520 times. The trader sold the Aug 4th 34/32 spread for a credit of 1.57. TEVA is expected to report earnings on Thursday, August 3, before the market open. Otonomy, Inc. (OTIC) at 18.35, a Calendar Spread traded 1,700 times. The trader sold the Oct 20th 20 Calls and bought the Sept 15th 20 Calls collecting 2.00. OTIC is expected to report earnings on Thursday, August 3, after the market[...]

  • Aug 1, 2017, 3:50 PM

    AAPL Calls Purchased in Front of Earnings

    Other trades of note by Lauren Ravalli: NXP Semiconductors N.V. (NXPI) at 110.70, a Calendar Spread traded 2,500 times. The trader sold the Oct 20th 115 Calls and bought the Jan 19th 115 Calls paying 2.20. Intel Corporation (INTC) at 35.97, a Bear Call Spread traded 1,000 times. The trader sold the Aug 4th 35/36.50 spread for a .95 credit. Citigroup Inc. (C) at 69.19, a Bull Call Spread traded 500 times. The trader bought the March 16th 77.50/85 spread paying 1.00. DISH Network (DISH)[...]

  • VIX | Morning Call | Aug 1, 2017, 7:39 AM

    CBOE Morning Call 8/1/2017

    Big Picture About 3/4‘s of the companies in the S&P 500 that have already reported second quarter earnings beat their estimates.  This sounds impressive, but according the Bank of America Merrill Lynch the stock price reactions have been muted (despite the S&P 500 pushing the 2500 level).  Yesterday the Chicago PMI was lower than expectations, but Pending Home Sales was higher than expectations.  Nothing can go wrong if housing sales are strong, right?  We get[...]

  • Earnings | Jul 31, 2017, 3:22 PM

    Under Armour Call Skewed Into Earnings

    Other trades of note: ViewRay, Inc. (VRAY) at 4.61, a 1x2 Ratio Spread traded. The trader bought 900 Sept 15th 5 Calls for .50 and sold 1,800 Sept 15th 7.50 Calls at .05. They paid .40 for the package. iShares Russell 2000 ETF (IWM) at 141.38, a Bear Put Spread traded 15,000 times. The trader bought the Aug 4th 141/138 spread paying .53. Exxon Mobil Corporation (XOM) at 79.87, a Bull Call Spread traded 1,000 times. The trader bought the Aug 4th 80/80.50 spread paying .22. XOM reported earnings[...]

  • Morning Call | Jul 31, 2017, 7:18 AM

    CBOE Morning Call 7/31/2017

    Big Picture There are over a hundred stocks with Weeklys reporting this week in what is probably the heaviest portion of the earnings calendar.  All eyes will be on AAPL’s report tomorrow after the close which as well as financials will probably give us some insight into product launches coming in the next few months.  The economic calendar is heavier this week than last week with Personal Income and ISM tomorrow, the ADP employment number Wednesday, Factory Orders and Services[...]

  • Jul 30, 2017, 9:09 AM

    The Weekly Options News Roundup – 7/30/2017

    The Weekly News Roundup is your weekly recap of CBOE features, options industry news and VIX Index and volatility-related articles from print, broadcast, online and social media outlets.      Mini’s Large Move Volume in CBOE’s Mini-SPX (XSP) options has risen about 140% since February, with average daily volume growing from 7,765 contracts in February to 21,981 in July (through July 26).  To read more on the growth of mini S&P 500 contracts, see this recent blog[...]

  • Market News | Trader Talk | Trade Ideas | Jul 29, 2017, 11:36 AM

    Weekend Review of Russell 2000 Options and Volatility 7/24/2017 - 7/28/2017

    Large cap stocks held up better than small caps last week and the Russell 1000 (RUI) is now outperforming the Russell 2000 (RUT) by just about 1.00% for the third quarter.  I had high hopes for small cap stocks in the second half of 2017, but those hopes are starting to fade.   The CBOE Russell 2000 (RVX) premium to VIX topped 50% for the first time since early June.  My excuse for the higher RVX to VIX relationship has been blamed on VIX, but with VIX rising a bit next week I have[...]

  • VIX | Trader Talk | Trade Ideas | Jul 29, 2017, 11:32 AM

    Weekend Review of Volatility Indexes and ETPs 7/24/2017 to 7/28/2017

    On a week over week basis the S&P 500 was down fractionally.  One would not assume such a small move from SPX when looking at the VXST – VIX – VXV – VXMT curve below.  VXST and VIX made nice moves to the upside while the longer end of the curve moved up a bit less resulting in a slight flattening of the curve.  The long funds that focus on the first and second month futures were up slightly while the short funds were down slightly.  SKEW and VVIX both[...]

  • VIX | Trader Talk | Trade Ideas | Jul 29, 2017, 9:11 AM

    Weekend Review of VIX Futures and Options 7/24/2017 - 7/28/2017

    This past week is one of those weeks where those new to VIX futures get a lesson in price behavior and the lack of fair value that exists between the futures and the spot index.  VIX rose almost 10% on the week, the August contract was unchanged and the rest of the curve actually moved lower.  The curve had been steep and the result was futures not budging too much when VIX got moving to the upside.  As we enter the last five months of the year I would like to highlight where we[...]

  • Morning Call | Jul 28, 2017, 8:12 AM

    CBOE Morning Call 7/28/17

    Big Picture Earnings continue to be skewed to the positive side as far as stock price reactions go, although the stock market seems to taking a breather.  JP Morgan followed Goldman Sachs’ lead and said some nasty things about tech stocks which hit the Nasdaq particularly hard yesterday and took other sectors down with it.  VXN (think Nasdaq VIX) was up much more than the other broad-based equity volatility indexes.  Needless to say, traders will probably focus on large tech[...]