• Market News | VIX | Trader Talk | Trade Ideas | Apr 9, 2017, 10:32 AM

    Weekend Review of Russell 2000 Options and Volatility - 4/3/2017 - 4/7/2017

    Weekend Review  of Russell 2000 Options and Volatility - 4/3/2017 - 4/7/2017

    An emerging theme in 2017 is that when stocks come under pressure the Russell 2000 (RUT) seems to take it on the chin a bit more than the Russell 1000 (RUI).  Last week the large cap focused RUI was lower by 0.33% while RUT lost just over 1.5%.  This widens the lead that RUI has on RUT to about 4.5% for 2017.  With small caps leading stocks lower the relative level of small cap volatility remains high compared to large cap volatility.  The best way to measure this is the CBOE[...]

  • Market News | VIX | Trader Talk | Trade Ideas | Apr 9, 2017, 10:29 AM

    Weekend Review of Volatility Indexes and ETPs - 4/3/2017 - 4/7/2017

    Weekend Review of Volatility Indexes and ETPs - 4/3/2017 - 4/7/2017

    When there is not a whole lot going on to impact the financial markets we can get fixated on different topics.  Maybe that is what is going on with me and the French Election process.  The steep difference between VXST and VIX on the chart below may reflect the time frame being measured by VXST being just short of the pending rise in implied volatility that is expected in front of round one of the election in a couple of weeks.  It will be interesting to see if we get a relative rise[...]

  • VIX | Trader Talk | Trade Ideas | French Election | Apr 8, 2017, 1:05 PM

    Weekend Review of VIX Options and Futures - 4/3/2017 - 4/7/2017

    Weekend Review of VIX Options and Futures - 4/3/2017 - 4/7/2017

    The S&P 500 lost about 0.3% last week and VIX rose.  I think the VIX to S&P 500 relationship is only part of the story related to VIX rising last week.  It appears the pending election process in France is starting to influence US volatility.  Note that April is a bit higher than May volatility in the orange circle on the chart below.  This is a fairly rare occurrence for the futures considering the current low level of VIX.  As long as there is a cloud of uncertainty[...]

  • VIX | Trader Talk | Trade Ideas | French Election | Apr 4, 2017, 3:11 PM

    VIX, VSTOXX, and the French Election

    VIX, VSTOXX, and the French Election

    About a year ago, we were all starting to focus on the Brexit referendum which we ‘knew’ wasn’t going to pass.  There were several lessons from the Brexit experience with the top one being do not discount an election until all the votes are counted.  This played out again in November, but that’s not what this blog is about.  This blog is about how VSTOXX and VIX are behaving in front of the pending French election process.  First, going back to June 2016[...]

  • Apr 2, 2017, 2:36 PM

    The Weekly Options News Roundup – 4/2/2017

    The Weekly Options News Roundup – 4/2/2017

    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’s Other Asset Class On Thursday, CBOE’s Phil Slocum, EVP, Chief Risk Officer, Deb Peters, VP, Options Institute, Doug Hoffman, Director and Tom Knorring, VP, Market Data Sales, retired after many years of dedicated service.  CBOE staff and family joined the retirees[...]

  • Weekend Review of VIX Futures and Options - 3/27 - 3/31

    Weekend Review of VIX Futures and Options - 3/27 - 3/31

    The Friday to Friday change in the VIX term structure was as orderly as I’ve seen it in some time.  VIX has had a lower average daily close during a quarter only once, the fourth quarter of 2006.  However, the low to high range for VIX has never been tighter than what we experienced in the first quarter of 2017 with the range of 2.54.  On average the range of closing VIX prices is about 10.60 so the VIX market may be a bit wound up to the point where a big move to the upside[...]

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

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

    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

    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

    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

    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 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

    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

    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

    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

    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[...]