• About Last Night

    So I spent the evening and early part of this morning watching different networks while watching the financial markets at the same time.  The chart below is a 5-minute chart showing the S&P 500 and VIX futures trading during the non-US hours trading session.  Then after 3 hours of sleep I taught my class at Loyola, spending half of that talking my students down from their disappointment at the election results.   There were a couple of things that stand out on the chart from[...]
  • Market News | VIX | Trader Talk | Trade Ideas | Election & VIX | 2016 Recap | Nov 7, 2016, 4:40 PM

    On Election Eve, Volatility Indexes for Stocks, Gold, Currencies & Volatility Fall By More than 8% (after Record 9-Day Up-Streak)

    Last week I heard about quite a bit of new interest in portfolio protection strategies, and on November 4 the CBOE Volatility Index® (VIX®) rose on a ninth consecutive day (a new all-time record for the VIX Index over its price history dating back to January 1990). However, on November 7, the date before the U.S. national elections, the S&P 500® Index rose 2.2%, and the percentage changes for some key volatility indexes were as follows: ·         -16.9% [...]
  • Market News | Election & VIX | 2016 Recap | Nov 7, 2016, 10:22 AM

    Election Update - Volatility Still Abundant Despite S&P 500 Rally

    As I write this the S&P 500 is up 40.00 points on the nose and volatility is dropping.  I ran a quick update on different charts I have been using to discuss the markets and the election.  All three appear to be saying despite the stock market rally, there’s still some uneasiness with respect to tomorrow’s election. First, I’ve been watching the at the money implied volatility of SPX options expiring in November.  We have options expiring on the close today, but[...]
  • BigTrends.com Weekly Market Outlook - Election Week

    Last week wasn't just rough. It was the worst week the market has logged since September, and it was close to being the worst week since January. Whatever the case, it was bad, with the S&P 500 (SPX) (SPY) losing 1.94% of its value over the course of five straight losing days. In fact, the index has now logged nine straight losing days. That's the longest losing streak since 1980. There's a potential upside to such a move. That is, after such a dry spell, the buyers may be chomping at the[...]
  • Trader Talk | Election & VIX | 2016 Recap | Nov 7, 2016, 9:04 AM

    Comparing the Election to Brexit

    From a market perspective, the outcome for this week's election is similar to the brexit vote in United Kingdom earlier this year.  That is, a binary event where one extreme outcome is likely to trigger several emotional responses.  Remember much of the worry over brexit prior to that critical vote?  Wait, there was none?  No, I don't remember it, either.  Leading up to the brexit the polls seemed to be convinced voters would not push the referendum through. In fact, lawmakers[...]
  • Market News | Nov 6, 2016, 4:00 PM

    The Weekly Options News Roundup – 11/6/2016

    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. Industry Professionals Set Sail for CBOE RMC Asia Last Tuesday, CBOE announced the agenda for the 2nd annual CBOE Risk Management Conference Asia, a two-day event featuring discussions covering volatility products, and the latest risk management tools and tactics from top traders and strategist.  One of this[...]
  • Market News | Nov 6, 2016, 12:17 PM

    Earnings Week of 11/7 - 11/11

    Earnings season is starting to wind down, but there are plenty of stocks with Weeklys reporting this week.  As always the data below is based on the last three years of earnings results unless the ticker is in italics.  The columns show the biggest rally, biggest drop, average move, and what the stock did last quarter in reaction to earnings.  Finally, double check the earnings dates as not all were confirmed.
  • VIX | Trader Talk | Trade Ideas | Election & VIX | 2016 Recap | Nov 6, 2016, 8:48 AM

    Weekend Review - VIX Options and Futures - 10/31 - 11/4

    Volatility rose as we approach Tuesday’s big decision.  VIX gained almost 40% and the November contract moved up 16% which placed the short end of the curve in backwardation.  One other thing I’d like to point out below is the ‘dip’ that is the December contract.  Due to the Holidays there is a seasonal impact on the curve, however, this is the first weekend this stood out this much. One trader is expecting the dust to clear and VIX to fall rapidly to normal[...]
  • Market News | Nov 5, 2016, 7:57 PM

    Weekend Review - Volatility Indexes and ETPs - 10/31 - 11/4

    Short dated volatility in the form of VXST was up over 70% last week.  The uncertainty around this election has reached a frenzied point.  That combined with the S&P 500 dropping about 2% resulted in the whole curve shifting higher.  I discussed the 2012 before and after curves in an earlier blog which can be read here.  I do expect short dated volatility to fall back in line, but where the rest of the indexes will be is anyone’s guess and depends heavily on the reaction[...]
  • VIX | Trader Talk | Trade Ideas | Election & VIX | 2016 Recap | Nov 5, 2016, 7:09 PM

    Volatility History Lesson - The 2012 Election

    I’ve been getting lots of questions with respect to how volatility acts around US elections.  We don’t have a lot of history to work with, but we do have data on how the four volatility indexes based on SPX option trading did four years ago.  I did a little digging and reconstructed the VXST – VIX – VXV – VXMT curves from the Friday before and Friday after the 2012 election. The pre-election curve was slightly inverted with VXST at a premium to spot VIX.  [...]
  • Market News | VIX | Trader Talk | Trade Ideas | Nov 5, 2016, 8:00 AM

    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 | Election & VIX | 2016 Recap | Nov 4, 2016, 2:11 PM

    Big Week for New Inquiries Re: Portfolio Protection, as Daily Volume Spikes for SPX Puts (992k), VIX Calls (590k), and VIX Futures (319k)

    This week has been a big week regrading new interest in tools for portfolio protection. We spoke with a Wall Street Journal reporter to provide information on the VIX and VVIX indexes that was used in a story entitled “Election Fear Creeps Into the Market.” In addition, I spoke with multiple investment advisers who said that this was the busiest week of the year in terms of new client inquiries on protective strategies. Both the VIX and CBOE VIX of VIX (VVIX) indexes have risen each[...]
  • VIX | Trader Talk | Trade Ideas | Election & VIX | 2016 Recap | Nov 4, 2016, 8:47 AM

    Now Even Long Term Volatility is Reacting to the Election

    A bonus with respect to the Cubs pulling off what we all thought was impossible has been a distraction from the political process we have all been enduring.  Before bringing everyone back to reality I want to throw an interesting thought out there.  If three years ago someone had said the Cubs will win the World Series and less than a week later Donald Trump would be elected President of the United States, you would think they were referring to a subplot in Back to the Future IV. We know[...]
  • Market News | VIX | Trader Talk | Trade Ideas | Election & VIX | 2016 Recap | Nov 1, 2016, 4:16 PM

    Volatility and the Election Update

    Usually by this time in the election season we have a pretty good idea of who is going to win the election.  However, like everything associated with this election, it is different this time.  Things changed on a dime late last week and I'm having a hard time figuring out what to highlight with respect to the volatility markets.  So forgive me if I miss a thing or two here... Last Monday I showed the chart below and highlighted that implied volatility for SPX options expiring just[...]
  • Election & VIX | 2016 Recap | Nov 1, 2016, 2:38 PM

    Open Interest Rises to 9 Million for SPX Puts and 4.7 Million for VIX Calls, while Implied Vol is Higher for the Nov. 9 Index Option Expirations

    Several recent news stories have covered this topic - how can investors protect their portfolios in the event of stock market moves during and after the U.S. election on November 8? For investors who are concerned that stock indexes could decline and volatility indexes could soar in future weeks, two of the simpler index option strategies to consider are (1) buying S&P 500 (SPX) protective put options, and (2) buying call options on the CBOE volatility Index (VIX). In the charts below, not that[...]