• Oct 2, 2017, 1:47 PM

    Current Dynamics of the VIX Market Discussed by Panel in NYC

    Current Dynamics of the VIX Market Discussed by Panel in NYC

    On September 27 in New York City, fifty financial professionals attended a panel discussion on Current Dynamics of the VIX Market. SPEAKERS I moderated the session that featured expert speakers Bob Dwyer of ProShares; Aymen Boukhari of Societe Generale, Joanne Hill of CBOE Vest Financial; and Vinit Srivastava of S&P Dow Jones Indices.     SOME OF THE TOPICS AND ISSUES DISCUSSED Among the topics discussed were investor strategies and recent volume records for VIX futures[...]

  • Market News | VIX | Trader Talk | Trade Ideas | Oct 1, 2017, 10:20 AM

    Weekend Review of VIX Futures and Options - 9/25/2017 - 9/29/2017

    Weekend Review of VIX Futures and Options - 9/25/2017 - 9/29/2017

    VIX remains at low levels and the curve continues to be steep as the volatility markets appear to be braced for ‘something’.  That something is probably an unknown unknown that will shock some very complacent markets.  An interesting VIX trade caught my eye on Friday as it were a little different than most of the trades I’ve come across.  First the trade details and then a little color about that trade.  Friday morning, with VIX around 9.50, there was a buyer[...]

  • VIX | Trader Talk | Futures | Trade Ideas | Oct 1, 2017, 9:03 AM

    Weekend Review of Volatility Indexes and ETPs - 9/25/2017 - 9/29/2017

    Weekend Review of Volatility Indexes and ETPs - 9/25/2017 - 9/29/2017

    The S&P 500 continues to power higher finishing the week (and 3rd quarter) at an all-time high.  The price action last week pushed all the SPX related volatility indexes lower, but not by much.  All were already low and testing levels that have been pretty much a floor before the week commenced.  The long VIX related ETPs reacted as would be expected with VIX hovering in single digits last week with VXX down about 5% and UVXY losing just under 10% on the week.  For the[...]

  • Market News | VIX | Trader Talk | Trade Ideas | Sep 30, 2017, 9:02 AM

    Weekend Review of Russell 2000 Options and Volatility - 9/25/2017 - 9/29/2017

    Weekend Review of Russell 2000 Options and Volatility - 9/25/2017 - 9/29/2017

    Small cap stocks still lag, but the Russell 2000 (RUT) made quite a run over the past couple of weeks and is now up 9.85% on the year compared to 12.5% for the Russell 1000 (RUI).  Friday was the end of the third quarter and with the late quarter move RUT ended up 5.33% higher while RUI gained 3.97%.  The relationship between the CBOE Russell 2000 Volatility Index (RVX) and VIX visited 2017 lows over the past couple of weeks as small cap stocks outperformed large caps.  Despite the[...]

  • Benchmark Indexes Historical Pricing | Sep 28, 2017, 8:06 AM

    Panel in NYC on Accessing the Volatility Risk Premium with Cash-Secured Put Writing

    Panel in NYC on Accessing the Volatility Risk Premium with Cash-Secured Put Writing

    Earlier this month CBOE and CAIA Association teamed up to present a panel discussion in New York City on Accessing the Volatility Risk Premium with Cash-Secured Put Writing. I was pleased to see great feedback on the event. SPEAKERS The panel discussion featured four speakers who are shown (left to right) in the above picture -- Derek Devens, Managing Director, Neuberger Berman Robert Specht, Portfolio Manager, Additive Advisory and Capital Tripp Zimmerman, CFA, Associate Director of Research,[...]

  • VIX | Trader Talk | Sep 27, 2017, 12:38 PM

    Block Trade Analysis - Buyer of 100,000 VIX Oct 17 Calls

    Block Trade Analysis - Buyer of 100,000 VIX Oct 17 Calls

    Another big bullish VIX trade came into the pit today, with VIX just over 10.00 and the October futures at 12.20, a buyer of about 100,000 VIX Oct 17 Calls came into the market paying 0.45 for the whole lot.  The trade got divided up around the pit in several pieces, which shows up in the time and sales from LiveVol below.  There’s just under 3 weeks October 18th when these options settle on the market open so the buyer is either speculating on a volatility spike, or guarding against[...]

  • Sep 26, 2017, 3:51 PM

    New Daily Volume Record of 2.61 Million for VIX Options, as Investors Engage in Hedging and in Short VIX Futures Trades

    New Daily Volume Record of 2.61 Million for VIX Options, as Investors Engage in Hedging and in Short VIX Futures Trades

    On September 25th a new daily volume record of 2.61 million contracts was set for options on the CBOE Volatility Index® (VIX®), as the VIX Index rose 6.5% to close at 10.21 that day. TOP TEN VOLUME DAYS FOR VIX OPTIONS Four of the top ten days for VIX options volume occurred in 2017. NEWS COVERAGE OF TRADING ACTIVITY IN VIX OPTIONS AND VIX FUTURES Recent news coverage has highlighted investor use of both VIX options and VIX futures. A September 25 news story in Reuters entitled “VIX[...]

  • Market News | VIX | Trader Talk | Trade Ideas | Sep 25, 2017, 4:57 PM

    Block Trade Analysis - VIX Roll Trade

    Block Trade Analysis - VIX Roll Trade

    Back in the day, when I was a lad in Junior High School, the Dead Kennedys remade the theme to the TV show Rawhide.  The song begins, “Rollin’ rollin’ rollin’”, which is the ear worm I get when I see a trade like we had in the VIX pit today.  Specifically, an October spread that got put on in July was rolled out to December.    The first part of the story begins on Friday July 21st when a trader initiated a spread that sold 1 VIX Oct 12 Put for 0.75,[...]

  • Trader Talk | Sep 20, 2017, 12:12 PM

    Block Trade Analysis: Big Emerging Market Index Put Sale

    Block Trade Analysis: Big Emerging Market Index Put Sale

    Everyone knows the equity markets have been putting up a solid 2017.  The S&P 500 is up about 12% and developed markets, excluding North America, as measured by the MSCI EAFE (MXEA) Index is up about 17.5% for 2017.  However, emerging markets, as displayed by the performance of the MSCI Emerging Markets Index (MXEF) has gained almost 29%.  The chart below shows the performance for MXEF in 2017.     A big trade came into the MXEF post at CBOE yesterday that seems[...]

  • Sep 19, 2017, 12:27 PM

    A Couple of Common Sense Indicators

    A Couple of Common Sense Indicators

    As I have learned and taught about technical analysis over the years, it is certainly not a sophisticated science.  If you have a set of eyes, can see recognizable patterns that repeat over and over again we can draw some conclusions, and from that high probabilities of success.  There are no guarantees of course, but I'll take the high odds of human behavior repeating over and over  again. A couple of coincident indicators I look at include new highs/lows and the bullish percent indicator. [...]

  • VIX | Trader Talk | Education | Futures | Strategy | Trade Ideas | Sep 16, 2017, 5:15 AM

    Weekend Review of VIX Futures and Options - 9/11/2017 - 9/15/2017

    Weekend Review of VIX Futures and Options - 9/11/2017 - 9/15/2017

    VIX threatened to close the week with a 9 handle, but managed to stay out of single digit territory.  Spot VIX was down over 16% and the standard September futures contract which goes off the board on the open Wednesday was down 16% as well.  There’s still a premium of 0.95 between spot and September VIX, but the gap that has persisted until recently is closing.  October, which will take over as the front month, remains at a premium of about 1.75.  Friday was fairly quiet,[...]

  • Weekend Review of Russell 2000 Options and Volatility - 9/11/2017 - 9/15/2017

    Weekend Review of Russell 2000 Options and Volatility - 9/11/2017 - 9/15/2017

    Small cap stocks had a great week last week with the Russell 2000 (RUT) rising 2.25% which the large cap focused Russell 1000 (RUI) was up about 1.6%.  For the year RUI still has just over a 6% lead on RUT. Small cap volatility as measured by the CBOE Russell 2000 Volatility Index (RVX) has spent most of 2017 at a historically high premium relative to large cap volatility, best depicted by VIX.  The chart below shows RVX basically crashing to the lowest levels seen in 2017 last week. [...]

  • Sep 14, 2017, 1:05 PM

    Turn Your Collar Inside-Out

    Turn Your Collar Inside-Out

    Ever make a sandwich so big and poorly constructed that the second you pick it up, the insides propel themselves out and all you're left with is a few pieces of dry toast?  Me neither, but I can envision it happening.  Keep stacking the vegetables without regard to sound principles of sandwich engineering and you may end up with a floor salad.  Well, I set out to make a short sandwich (reverse collar, you could also call it) on Tuesday, September 12th, hoping for the best, as always,[...]

  • VIX | Trader Talk | Education | Sep 13, 2017, 9:29 AM

    Panel on Sourcing Index Option Liquidity at RMC Europe

    Panel on Sourcing Index Option Liquidity at RMC Europe

    Henry Schwartz, President of Trade Alert led a panel discussion on Sourcing Liquidity in Index Options today at RMC in Europe.  The panelists were: Kristin Boyd, Director, Credit Suisse William Ellington, Managing Partner, X-Change Financial Access LLC Stacey Gilbert, Head of Derivatives Strategy, Susquehanna Sander van Zelm, Head of Institutional Trading, Optiver Henry started things off giving an overview of the US options industry.  He noted that indexes (specifically[...]

  • VIX | Trader Talk | Education | Sep 13, 2017, 4:08 AM

    Panel on Volatility ETPs at CBOE RMC

    Panel on Volatility ETPs at CBOE RMC

    Nick Cherney, Head of Exchange Traded Products at Janus Henderson and Pete Clarke, Global Head of Equity Derivatives Strategy at UBS split duties for a session titled Design and Trading of US and European Volatility Related ETPs at RMC today. Cherney kicked things off giving a history of VIX related ETPs and demonstrating the tremendous growth of these markets.  He also noted the VSTOXX futures market is growing, but that the size of that market is much smaller than the VIX futures market. [...]