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

    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

    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

    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

    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[...]

  • Mar 14, 2017, 6:14 PM

    First Quarter VIX Range and Average Near Record Lows, But Will It Last?

    First Quarter VIX Range and Average Near Record Lows, But Will It Last?

    As we come to the end of the first quarter of 2017 all the talk about VIX has been how quiet VIX has been.  I ran some numbers today and discovered that the high to low range for VIX during the current quarter, using closing prices, is 2.34.  This is by far the narrowest quarterly range for VIX on record.  The current narrowest quarter occurred in the third quarter of 1995 with a range of 2.68.  VIX either needs to close over 13.26 or under 10.24 (or a combination of widening[...]

  • Mar 13, 2017, 9:21 AM

    The Impact of Low Volatility

    The Impact of Low Volatility

    The volatility index, or VIX once again closed under 12% last Friday.  It has hovered in the range of 10-13% for the entire year of 2017, and really collapsed following the Presidential election, from a high in the low twenties.  That seems eons ago, right?  And with this low volatility comes frustration for those sitting on the sidelines waiting to get involved with the stock market.  Volatility is compressed right now, but of course that will change at some point, but we'll[...]

  • Mar 12, 2017, 2:05 PM

    The Weekly Options News Roundup – 3/12/2017

    The Weekly Options News Roundup – 3/12/2017

    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 RMC U.S. Wrap-UP The 33rd annual CBOE Risk Management Conference (RMC) wrapped up another successful year. Over 300 financial professionals gathered in Dana Point, California to discuss the latest trends in equity derivatives, options and volatility trading, and risk management[...]

  • Technical Analysis & Charts | VIX | Trader Talk | Trade Ideas | Mar 12, 2017, 2:04 PM

    Weekend Review of Volatility Indexes and ETPs - 3/6 - 3/10

    Weekend Review of Volatility Indexes and ETPs - 3/6 - 3/10

    The short end of the VXST – VIX – VXV – VXMT curve moved up while the longer end hardly budged.  TYVIX is at 2017 lows going into FOMC week, but it appears equity volatility may be pricing in some uncertainty in front of this week’s Fed decision.  Needless to say and already mentioned, VXST is the big attention getter on the table below with a 24% gain last week.  The Ten-Year futures dropped more in front of higher rates, but note that TYVIX, which closed[...]

  • Technical Analysis & Charts | VIX | Trader Talk | Trade Ideas | Mar 12, 2017, 11:40 AM

    Weekend Review of VIX Options and Futures - 3/6 - 3/10

    Weekend Review of VIX Options and Futures - 3/6 - 3/10

    VIX was higher and all VIX futures were lower last week.  We have been in a pretty steep state of contango which flattened a bit.  However, there are expectations that April will remain elevated due to market conditions in Europe.  This will be explained a little more below. The VSTOXX term structure appears below and note the elevated April futures contract price relative to the spot index (it’s impossible to miss).  This shape has been around for a while now and we’ll[...]

  • Technical Analysis & Charts | VIX | Trader Talk | Trade Ideas | Mar 12, 2017, 10:47 AM

    Weekend Review of Russell 2000 Options and Volatility - 3/6 - 3/10

    Weekend Review of Russell 2000 Options and Volatility - 3/6 - 3/10

    Last week small cap stocks took it on the chin with the Russell 2000 (RUT) dropping about 2.5% while the Russell 1000 (RUI) actually gained about 0.7%.  The divergence between the two widened to over 5% with RUI in the lead for 2017.  VIX gained a bit last week which narrowed the gap between the CBOE Russell 2000 Volatility Index (RVX) and VIX to around 40%.  This is low by 2017 standards, but still pretty high relative to the long-term history of these two indexes.  The[...]

  • Mar 10, 2017, 8:42 PM

    CBOE RMC Presentation: US Dispersion in a Changing Rate Environment

    CBOE RMC Presentation:  US Dispersion in a Changing Rate Environment

    Eric Rains from BlueMountain Capital and Stewart Warther from BNP Paribas split duties for a session titled US Dispersion:  Stocks, Sectors, and Index and a Changing Rate Environment.  As many of the sessions this week referred to the imminent rate hike next week the attendance for this session was quite high.   Both participants split duties on a single presentation.  They gave an overview of recent price action noting that rate sensitivity has become a more important factor[...]

  • Mar 10, 2017, 8:16 PM

    CBOE RMC Presentation: Determining an Edge in Options Trading

    CBOE RMC Presentation:  Determining an Edge in Options Trading

    Ilya Feygin from WallachBeth Capital and Stacey Gilbert from Susquehanna split duties for a well-attended session at today’s CBOE Risk Management Conference titled Determining Edge in Options Trading – an Application of the Kelly Criterion.  The topic was fresh in everyone’s minds as Ed Thorp, a pioneer of using the Kelly Criterion, was our keynote speaker the day before.  Feygin began the session explaining at a very high level the Kelly Criterion.  In very simple[...]

  • Mar 10, 2017, 8:04 PM

    CBOE RMC Presentation: SPX Weeklys

    CBOE RMC Presentation:  SPX Weeklys

    Pravit Chintawongvanich from Macro Risk Advisors teamed up with RMC veteran Scott Maidel for a discussion titled SPX Weeklys:  Market Analysis and Long and Short Applications today at CBOE’s Risk Management Conference in Dana Point, CA.  Pravit’s presentation started out discussing event pricing of Weekly options.  He actually used Euro Stoxx 50 option premium differences before and after the pending French election.  This is a very timely example of how implied volatility[...]

  • Mar 10, 2017, 6:56 PM

    CBOE RMC Presentation: Focus on VIX Options

    CBOE RMC Presentation:  Focus on VIX Options

    Jeremy Attali from Captstone Investment Advisors, David Liebowitz from Aroya Capital, and Ramon Verastegui from Societe Generale divided up duties in a discussion at CBOE’s Risk Management Conference titled, “Focus on VIX Options”.  This session focused on a the evolution of VIX options as a speculative and risk management tool, discussed strategies for insurance, yield, or just having a particular market outlook, and what makes VIX options unique and how to deal with the special[...]

  • Mar 10, 2017, 6:46 PM

    CBOE RMC Presentation: Impact of Flows on Cash and Derivatives

    CBOE RMC Presentation:  Impact of Flows on Cash and Derivatives

    Maneesh Deshpande from Barclays and Tim Edwards from S&P Dow Jones Indices combined forces to deliver a presentation titled Impact of Flows on Cash and Derivatives Markets:  Myths and Realities.  I’ve always been a sucker for presentations that use the phrase Myths and Realities and this part of RMC lived up to my expectations. Deshpande started out talking about the impact of flows on the equity markets.  With respect to volatility target funds he stated that they are targeting[...]