• Market News | Trader Talk | Trade Ideas | Apr 2, 2017, 10:42 AM

    Weekend Review of Russell 2000 Options and Volatility - 3/27 - 3/30

    The first quarter of the 2017 performance race between the Russell 1000 (RUI) and Russell 2000 (RUT) came to close with large caps up 5.51% and the small cap focused RUT up 2.12%.  The consensus feeling is that RUT got a little too far ahead of RUI from election day through the end of 2016 and RUI was due for a bit of catching up.  The small cap versus large cap risk index is a good way to explain the chart below.  Small cap expected volatility is best represented by the CBOE Russell[...]

  • VIX | Trader Talk | Trade Ideas | French Election | Apr 2, 2017, 9:50 AM

    Weekend Review of Volatility Indexes and ETPs - 3/27 - 3/31

    The shift lower in the VXST – VIX – VXV – VXMT curve was 75% parallel and 25% dramatic.  The dramatic move was at the shorter end of the curve where VXST dropped 28% moving from a premium to discount relative to VIX.  As noted volatility was lower across the board.  Of interest below, VVIX finished below 80 and TYVIX remained at very low levels. For the volatility bulls the only glimmer of hope is SKEW around 140, but it is pretty difficult to get excited about[...]

  • Mar 31, 2017, 12:17 PM

    Conversion of SPXPM Options to Symbol SPXW

    CBOE is planning a change to the symbol for existing SPXPM option series to option symbol SPXW in both the Regular Trading Hours (RTH) and Extended Trading Hours (ETH) session. The change is scheduled to be effective May 1, 2017. This conversion is designed to allow greater ease of access for those looking to place spreads from week to week.  We have received some very positive feedback from institutional investors on this change to the symbol SPXW. After the conversion, on standard expiration[...]

  • Mar 27, 2017, 12:31 PM

    Markets Require Leadership to Rise

    I think the title might seem rather elementary, but nothing in market analysis is really too complex.  When the market is rising with great breadth and broad participation it tends to be longer-lasting and stable.  Recall that post-election we witnessed some amazing rally days, market breadth very strong and equally strong turnover.  That basics - a market rallying on higher volume and participation can lead to higher prices. Of course, nothing is a guarantee.  Yet, we follow[...]

  • Mar 26, 2017, 4:40 PM

    The Weekly Options News Roundup – 3/26/2017

    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.     Beware of the Swan The term “Black Swan” is used to describe an unexpected event of large magnitude and consequence.  The CBOE Skew Index (SKEW) is often used to gauge the likelihood of a black swan-type event occurring.  Calculated from weighted strips of out-of-the money[...]

  • Market News | VIX | Trader Talk | Strategy | Trade Ideas | Mar 26, 2017, 9:31 AM

    Weekend Review of VIX Futures and Options - 3/20 - 3/24

    VIX reached 2017 highs last week as we got our first experience with downside volatility in 2017.  VIX closing at 13.12 widens the low to high range for the first quarter to 2.54.  Barring a close of 13.26 on the upside or 10.44 on the downside next week this will go down as the narrowest VIX range on record.  We continue to look to our friends in Europe for volatility guidance.  After the Dutch election results VSTOXX had the biggest one day drop on record.  Equity market[...]

  • Mar 25, 2017, 1:30 PM

    Weekend Review of Volatility Indexes and ETPs - 3/20 - 3/24

    We finally got a 1% move out of the S&P 500 last week, breaking a streak that has been the focus of many market observers.  The result of the dramatic mid-week drop for SPX was a rise in shorter term implied volatility which shows up nicely below.  For only the second week this year VXX and the other long related ETPs were higher.  VVIX is showing some strength as concern creeps back into the equity markets.  SKEW which reached all-time highs just a week ago, backed off[...]

  • Mar 25, 2017, 11:20 AM

    Weekend Review of Russell 2000 Options and Volatility - 3/20 - 3/24

    Just when small cap stocks appeared to be making a move to narrow the gap in performance between the Russell 2000 (RUT) and the Russell 1000 (RUI) things have fallen apart with RUT losing 2.65% which places RUT slightly in the red for 2017.  RUI was under pressure as well losing 1.50%, but this index does remain in the positive by 4.50% year to date.  The spread between the Russell 2000 Volatility Index (RVX) and VIX reached the lowest level of the year when RUT started to make a bullish[...]

  • Trader Talk | French Election | Mar 22, 2017, 6:13 PM

    Bearish SPX Spread Trade May Be Targeting French Election Volatility

    I spent the day with my academic hat on at Ohio University in Athens discussing all things VIX, SPX, and RUT along with answering some questions about the Social Media indexes that are quoted by CBOE.  There were also some questions about the French Election and the potential impact on the US markets.  I noted that VSTOXX futures have been elevated in anticipation of the French election, but that there wasn’t too much going on in the US, yet.  Yet is the key word because as I[...]

  • Mar 20, 2017, 4:29 PM

    When and When NOT to Listen to Others

    I read the other day that some experts predicted the markets were going to be in trouble and start falling if the 10 year bond rose above 2.6%.  Listen, I believe there is a technical reason here, a price channel that would be penetrated from the start of about thirty years ago - hence, a long term trend breaking.  In addition, I also heard the recent rally was phony, something like the term 'fake news' being tossed around daily.  The rally is going to fail, it's only a matter of time; [...]

  • Mar 19, 2017, 4:32 PM

    The Weekly Options News Roundup – 3/19/2017

    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.      CBOE Hosts Press Briefing at FIA Conference On Wednesday, CBOE hosted a press briefing for journalists attending the 42nd annual international Futures Industry Association (FIA) Conference in Boca Raton, Florida. Chairman and CEO Ed Tilly, President and COO, Chris Concannon, CSO and[...]

  • Weekend Review of VIX Options and Futures - 3/13 - 3/17

    We got a pretty orderly shift down in the VIX curve last week as the market easily digested a rate hike by the FOMC.  Also, the March premium to spot VIX at about 0.50 is pretty narrow, however the April premium remains a bit wide based on pending events in Europe.  We have been paying attention to the VSTOXX term structure due to market concerns about the pending French election.  It appears the Dutch results pushed spot VSTOXX lower, in fact the reaction was the biggest one day[...]

  • Mar 18, 2017, 1:08 PM

    Weekend Review of Russell 2000 Options and Volatility - 3/13 - 3/17

    Mama Tomato and Baby Tomato are walking down the street.  Moma Tomato keeps getting upset because Baby Tomato keeps falling behind.  She finally stops, walks back to Baby Tomato and squashes him.  “Catch up” she says and continued on her way.  That’s what small cap stocks did this past week, a little catch up, as the Russell 2000 (RUT) was up 1.9% last week while the Russell 1000 (RUI) gained 0.33%.  The spread for the year narrowed, but RUI is still 6.2%[...]

  • Mar 18, 2017, 10:20 AM

    Weekend Review of Volatility Indexes and ETPs - 3/13 - 3/17

    We got a parallel shift lower in the SPX term structure last week as the fed raised rates and lowered the risk of owning equities at the same time.  I know the fed gets a lot of criticism, but hiking rates to slow the economy a bit without having a psychologically negative impact on the financial markets seems like a group doing a pretty good job to me. The long volatility ETPs continue to have a tough 2017 while XIV and SVYX are putting up strong numbers.  As would be expected TYVIX[...]

  • Harnessing Twitter Sentiment and the Volatility Risk Premium – Events in NYC on March 28th and in Chicago on April 5th

    At the 33rd Annual CBOE Risk Management Conference in California last week, several speakers discussed ways to use sentiment analysis and the volatility risk premium in their quest to add alpha and enhance the risk-adjusted returns of their portfolios. I am pleased to report that two upcoming events will provide more details and analysis of the topics of developing investable and actionable intelligence from analysis of sentiment trends on social media, and generating attractive risk-adjusted returns[...]