• Jun 12, 2017, 8:57 AM

    Human Behavior Creates Predictable Chart Patterns

    It was an interesting week in the stock market, with plenty of fear and greed to go around.  Same as it ever was, right?  As we analyze emotions and behavior they seem to parallel the price action in markets.  Excessive greed pushes prices ever higher, We saw new highs this week in names like Amazon and Google, while all of the most prominent indices at some point hit record highs during the week.  As prices continue to rise volatility shrinks and the perception about market[...]

  • Jun 11, 2017, 4:00 PM

    The Weekly Options News Roundup – 6/11/2017

    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. Bats Index Franchise Expanding On Tuesday, Bats Europe, a CBOE Holdings, Inc. company and the region’s largest equities exchange operator, announced it will expand its European index franchise with the planned launch of 18 new regional European benchmark indices.  The new indices, which are planned[...]

  • VIX | Trader Talk | Trade Ideas | Jun 10, 2017, 6:44 PM

    Weekend Review of VIX Options and Futures - 6/5/2017 - 6/9/2017

    VIX was higher by about 10% last week, but that did not have much of an impact on the rest of the term structure.  The futures were mixed which can be attributed to just how steep the VIX curve was going into the week.  Before things turned to the upside on Friday we experienced the lowest level for VIX since 1993.  The table below ranks the lowest inter-day lows for VIX since 1990.  Note Friday ranks 6th and 4 of the 10 on the list occurred this year.  A couple of bullish[...]

  • VIX | Trader Talk | Trade Ideas | Jun 10, 2017, 6:39 PM

    Weekend Review of Volatility Indexes and ETPs - 6/5/2017 - 6/9/2017

    That little bump in VXST that shows up on the far left side of the diagram below can be attributed to Friday afternoon activity.  VXST rose 0.75 Friday while VIX was up 0.54.  Shorter dated SPX option pricing is used to calculate VXST than VIX.  It may be the weakness Friday afternoon in large cap tech stocks may have traders worrying about the direction of the stock market over the short term.  Several things pop out at me on the table below.  VMAX had a nice week rising[...]

  • Market News | VIX | Trader Talk | Trade Ideas | Jun 10, 2017, 6:31 PM

    Weekend Review of Russell 2000 Options and Volatility - 6/5/2017 - 6/9/2017

    Small cap stocks prevailed last week as the Russell 2000 (RUT) gained over 1% while the Russell 1000 (RUI) was lower by about 1/3 of 1%.  Large cap stocks still hold a lead over small caps in 2017, but the Russell 2000 has kept pace with the Russell 1000 since the end of the first quarter so all the large cap outperformance may be attributed to the first three months of 2017.  On the volatility front VIX and the CBOE Russell 2000 Volatility Index (RVX) rose last week, with the relative[...]

  • Jun 5, 2017, 7:56 AM

    The Weekly Options News Roundup – 6/4/2017

    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.      Checking in at the Options Industry Conference Last month, the 35th annual Options Industry Conference was held in Scottsdale, AZ, where over 450 options industry professionals, including several CBOE leaders, gathered to discuss important issues facing the industry.  During the conference,[...]

  • Market News | Trader Talk | Trade Ideas | Jun 4, 2017, 12:57 PM

    Weekend Review of Russell 2000 Options and Volatility - 5/30/2017 - 6/2/2017

    Small caps had a nice week with the Russell 2000 (RUT) rising 1.67% while the Russell 1000 (RUI) was up 1.01%.  The large cap lead narrowed a bit, but the RUT still lags RUI by just over 5% year to date.  Continued low levels for VIX dominate the CBOE Russell 2000 (RVX) to VIX ratio which remains at historically high levels.  VIX under 10.00 and RVX over 15.00 results in a ratio in the mid- 50% range to end the week.   Mid-day Wednesday, with RUT around 1360 a bullish trade[...]

  • Market News | VIX | Trader Talk | Trade Ideas | Jun 3, 2017, 8:31 PM

    Weekend Review of Volatility Indexes and ETPs - 5/30/2017 - 6/2/2017

    The VXST – VIX – VXV – VXMT week over week curve change only has one noticeable move.  VXST was up nicely last week, but we are going to attribute the whole move to the 3 day weekend effect and say the curve was basically unchanged.  The long volatility funds drifted down and short volatility ruled the week with SVXY rising 2% and relative newcomer VMIN gaining 2.2% last week.  Worth noting below is VVIX which remains above 80.00 despite VIX closing for the second[...]

  • VIX | Trader Talk | Trade Ideas | Jun 3, 2017, 7:40 PM

    Weekend Review of VIX Options and Futures - 5/30/2017 - 6/2/2017

    VIX dropped slightly as the S&P 500 powered to more all-time highs last week.  The slight drop in VIX can be attributed to the already extremely low level that it closed last week.  The futures all dropped a little as well, which may be more about moving along in time than lower volatility expectations.  VIX closed under 10.00 more times this year than any other year in history.  The average for VIX is historically low as well in 2017.  So, why is the short VIX trade[...]

  • Jun 2, 2017, 8:58 AM

    VIX Index Closes Below 10 Again, as Professor Called VIX Level the Biggest Financial Mystery

    On June 1st the CBOE Volatility Index® (VIX®) closed at 9.89. June 1st marked only the 14th day on which the VIX Index closed below 10 (its price history begins in 1990). Six of the 14 days on which the VIX Index closed below 10 occurred in 2017 (see Exhibit 1 below for a list of all 14 dates). REMARKS AT CFA ANNUAL CONFERENCE On May 21 through 24 I listened to several outstanding speakers 70th CFA Institute Annual Conference in Philadelphia. Speakers’ remarks that were among the most[...]

  • Jun 1, 2017, 9:24 AM

    ETH Option Volume Continues to Grow

      May turned out to be CBOE’s second highest volume month during the Exchange’s Extended Trading Hours options session.  Average daily volume during ETH in May was 11,763 contracts per day, surpassed only by November’s 14,118 contracts per day.  However, May’s volume was much more consistent, as opposed to the November volume which was highly concentrated in a single trading day in the wake of the U.S. Presidential election.  More market participants appear[...]

  • Market News | May 31, 2017, 8:14 PM

    June is Reconstruction Time for FTSE Russell Indexes

    When Memorial Day comes around most people start to think about their summer plans or how they are going to entertain their children until school starts back.  Of course I’m not like most people and when we enter June my thoughts are all about the Russell Reconstitution process.  Before joining CBOE I would monitor the reconstitution process and try to trade around stocks that were going to be added or deleted from the Russell 2000. Now as an employee of CBOE I monitor the process[...]

  • Earnings | May 30, 2017, 6:23 PM

    Earnings Week of 5/30/2017 - 6/2/2017

    It is a short week, but we still have a few companies reporting.  The stocks below have Weeklys available for trading and the numbers represent the last 12 quarters of one day price reactions to their announcement.  As always double check the dates as none have been confirmed.

  • VIX | Trader Talk | Trade Ideas | May 28, 2017, 9:36 AM

    Weekend Review of Volatility Indexes and ETPs - 5/22/2017 - 5/26/2017

    VXST closed Friday at an all-time low of 7.60 which sounds impressive until you hear that for VXST the history we have to work with only goes back to 2011.  I am going to make a bold prediction and say that VXST will move higher when the market reopens on Tuesday.  Read that as sarcasm as VXST has never followed a three-day weekend without moving higher.  After having a short period of upward movement, the VIX related funds gave back performance and then some last week.  The[...]

  • VIX | Trader Talk | Trade Ideas | May 28, 2017, 8:40 AM

    Weekend Review of VIX Options and Futures - 5/22/2017 - 5/26/2017

    VIX finished the week at 9.81, just a tad above the post 2008 lows put in earlier this month.  The June 2017 VIX cycle is five weeks long so there’s still plenty of time until June 21st expiration.  The result is one of the steepest curves a can recall in the six years of posting these weekend blogs.  Friday, about an hour into the trading day, there was an interesting bull put spread executed in the VIX pit.  With VIX at 9.80 and the June 7th VIX Future at 10.80 someone[...]