• VIX | Trader Talk | Trade Ideas | Jan 20, 2018, 4:21 PM

    VIX Options and Futures Weekend Review for January 20 2018

    VIX Options and Futures Weekend Review for January 20 2018

    Although still at a historically low level, VIX showed some signs of life this past week trading above 12.00 for the first time since December 1st last year.  Standard January futures and options went off the board Wednesday morning settling well above 12.00.  The futures moved up a bit, but not nearly to the extent of spot VIX.  This may be taken as the market expecting VIX to return to historically low levels.  Of course when this has been the case for so long, why wouldn’t[...]

  • VIX | Trader Talk | Trade Ideas | Jan 20, 2018, 1:25 PM

    Russell 2000 Options and Volatility Weekend Review for January 20 2018

    Russell 2000 Options and Volatility Weekend Review for January 20 2018

    Both large and small cap stocks had another good week last week with the Russell 1000 (RUI) gaining 0.85% while the Russell 2000 (RUT) was up by 0.36%.  For the year RUI is up almost 5% while RUT is up just a little over 4%. We are starting to see the Cboe Russell 2000 Volatility Index (RVX) premium relative to VIX move to lower levels.  This ratio was pretty high relative to history for most of 2017 which was understandable since small caps consistently underperformed last year. Late[...]

  • VIX | Trader Talk | Trade Ideas | Jan 20, 2018, 10:20 AM

    Volatility Indexes and ETPs Weekend Review for January 20 2018

    Volatility Indexes and ETPs Weekend Review for January 20 2018

    All four volatility indexes based on S&P 500 Index option pricing moved higher last week.  I know all the talk was about the government shutdown being responsible for the rise.  However, if that were totally the case I don’t think we would be seeing VIX3M and VXMT moving up as much as they did.  I believe there’s more going on here, but I also spend most Friday evenings watching Ancient Aliens.  In the ETP space the long funds benefitted from the bump in VIX[...]

  • VIX | Trader Talk | Jan 16, 2018, 3:16 PM

    Vol 411 Follow Up Historical Look at SPX and VIX Moving Together

    Vol 411 Follow Up Historical Look at SPX and VIX Moving Together

    When I hosted Vol 411 this morning both the S&P 500 and VIX were higher on the day.  The SPX took a turn and finished the day lower so we didn't have a three day streak where both rose.  The results of running some numbers is below the video. As a follow up to today’s Vol 411 show I updated my numbers on the following two tables.  First, I took a look at the number of times since January 1990 through last Friday that both the S&P 500 and VIX have moved in[...]

  • Jan 14, 2018, 9:21 AM

    Russell 2000 Options and Volatility Weekend Review for January 13 2018

    Russell 2000 Options and Volatility Weekend Review for January 13 2018

    Small caps played a little catch up with large cap stocks last week with the Russell 2000 (RUT) gaining over 2% while the Russell 1000 (RUI) was up about 1.5%.  For the year RUI has a lead of just under 0.5%. The Cboe Russell 2000 Volatility Index (RVX) to VIX premium was at historically high levels for most of 2017 averaging around 44%.  As small caps outperformed last week this premium started to come under a bit of pressure, but it still remains at pretty elevated levels. [...]

  • VIX | Trader Talk | Trade Ideas | Jan 14, 2018, 9:15 AM

    Volatility Indexes and ETPs Weekend Review for January 13 2018

    Volatility Indexes and ETPs Weekend Review for January 13 2018

    We got an interesting move in the VXST – VIX – VIX3M – VXMT curve last week.  The short end moved higher despite a nice bullish move out of stocks.  The volatility market has been a bit jumpy like we are bracing for an unforeseen spike.  We’ll see if the nervousness is justified.  I’ve been keeping a close eye on TYVIX since the bond market has been discussed pretty frequently in the financial press lately.  Until it starts to move I’m[...]

  • VIX | Trader Talk | Trade Ideas | Jan 13, 2018, 10:50 AM

    VIX Weekend Review for January 13 2018

    VIX Weekend Review for January 13 2018

    VIX gained and the futures curve dropped a bit last week. This is not totally out of the norm, but before a holiday weekend is something I cannot recall occurring in my years of watching VIX price action. Wednesday last week was the second busiest day on record in the VIX option arena.  A good portion of this can be attributed to one very large position being rolled from January to February VIX contracts.  It turns out this has been an ongoing saga starting back in the summer. [...]

  • Jan 11, 2018, 12:23 PM

    Record Volume for SPXW Weekly Options, Products That Facilitate Targeted Strategies

    Record Volume for SPXW Weekly Options, Products That Facilitate Targeted Strategies

    In 2017 the average daily volume for the S&P 500® Weekly options (SPXW) rose to a record 523,170 contracts (35% above the 2016 figure). The year 2017 was the tenth year in a row that the SPXW Weekly options set a new volume record. MORE OPPORTUNITIES SPXW Weekly options provide many expiration opportunities, affording investors the ability to implement more targeted buying, selling and spreading strategies. SPXW options may help investors to more efficiently take advantage of major market[...]

  • Bitcoin | Jan 10, 2018, 9:32 AM

    Bitcoin and the Commitment of Traders Report

    Bitcoin and the Commitment of Traders Report

    Those of us in the financial markets have been learning new phrases such as “hash rate”, “block height”, and “hard fork” since the launch of Cboe Bitcoin Futures last month.  Crypto traders that have embraced bitcoin futures are having to get up to speed on the listed markets.  Something that is new to the crypto space is the Commitment of Traders Report (COT Report) that is released by the CFTC each Friday.  The following is directly from www.cftc.gov[...]

  • VIX | Trader Talk | Trade Ideas | Jan 7, 2018, 9:35 AM

    Weekend Review of VIX Futures and Options - Jan 6 2018

    Weekend Review of VIX Futures and Options - Jan 6 2018

    The S&P 500 gained 2.6% to begin 2018.  VIX and the VIX futures curve reacted as one would expect with a dramatic drop in spot VIX and the futures following suit to a lesser extent.  Four seconds into the new year and the first sizable VIX trade was executed in the VIX pit.  With spot VIX at 10.90 and the January standard (1/17) future at 11.35 there was a buyer of 500 VIX Jan 17th 19.00 Puts for 7.86 who then sold 500 VIX Jan 17th 9.50 Puts for 0.07. The net cost is 7.79 and[...]

  • Jan 7, 2018, 8:07 AM

    Weekend Review of Volatility Indexes and ETPs - 1/6/2018

    Weekend Review of Volatility Indexes and ETPs - 1/6/2018

    The S&P 500 rallied nicely to begin 2018 gaining 2.60% last week.  Those that predict 2018 will be a repeat of 2017 are feeling very smug this weekend, however, we have 51 weeks to go and time will tell.  SPX volatility did what it does and dropped with the strong stock market. The long funds picked up where they left off having a pretty tough week and the short funds benefitted.  I special shout out to the short VSTOXX focused ETN (EXIV) which put up a 12.6% move this week. [...]

  • VIX | Trader Talk | Trade Ideas | Jan 6, 2018, 1:51 PM

    Weekend Review of Russell 2000 Options and Volatility - 1/6/2018

    Weekend Review of Russell 2000 Options and Volatility - 1/6/2018

    US stocks began the year showing strength and the patter of large cap outperformance that was 2017 continued this past week.  The Russell 2000 (RUT) was up 1.6% while the large cap focused Russell 1000 (RUI) put up a 2.51% performance last week. In the volatility space, the 2017 pattern held up with the Cboe Russell 2000 Volatility Index (RVX) closing each day at a premium to VIX in the mid 40% range.  The average premium in 2017 was around 43% so like the large cap outperformance last[...]

  • VIX | Trader Talk | Cboe Benchmark Indexes | Jan 5, 2018, 1:49 PM

    Nine Charts Highlight Nine New Records for Cboe Index Products in 2017

    Nine Charts Highlight Nine New Records for Cboe Index Products in 2017

    A number of new volume and price records were set for Cboe index products in 2017, as customer demand for index options and volatility product solutions continued to grow. These records were remarkable in light of the fact that many experts said that that the markets appeared to be very complacent, as the Cboe Volatility Index® (VIX®) hit a record low in 2017. RECORD #1 – RECORD HIGH NOTIONAL VOLUME FOR SPX OPTIONS – MARKET CAPACITY When I am discussing the Cboe’s BXM and[...]

  • Trader Talk | Bitcoin | Jan 3, 2018, 7:10 AM

    Happy Birthday Bitcoin

    Happy Birthday Bitcoin

    In the original version of this blog the author had bitcoin at eight years old, it has been updated after he realized it is now 2018. Most people are aware of bitcoin and the Bitcoin network as being proposed by Satoshi Nakamoto in a white paper (www.bitcoin.org/bitcoin.pdf) that was published in October 2008.  However, the real birthday (at least in my mind) for bitcoin is January 3, 2009.  On that day the first block of 50 bitcoin was mined which is now worth $740,000 based on yesterday’s[...]

  • VIX | Trader Talk | Trade Ideas | Dec 30, 2017, 4:26 PM

    Weekend Review of Volatility Indexes and ETPs - 12/26/2017 - 12/29/2017

    Weekend Review of Volatility Indexes and ETPs - 12/26/2017 - 12/29/2017

    The four volatility indexes that are based on SPX option pricing were all higher last week with VXST leading the charge.  Of course, the VXST move was aided by a rebound from depressed levels that can be attributed to two three day weekends between the index calculation and the two option series used to determine the level of VXST. The VIX futures markets were mixed last week with nearer dated contracts gaining and longer dated futures losing value.  The result is a mixed back of volatility[...]

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