Cboe Blogs

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[...]

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[...]

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[...]

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[...]

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[...]

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[...]

I read the other day that some experts predicted the markets were going to be in trouble and start falling if the 10 year bond rose above 2.6%.  Listen, I believe there is a technical reason here, a price channel that would be penetrated from the start of about thirty years ago - hence, a long term trend breaking.  In addition, I also heard the recent rally was phony, something like the term 'fake news' being tossed around daily.  The rally is going to fail, it's only a matter of time; [...]

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 Hosts Press Briefing at FIA Conference On Wednesday, CBOE hosted a press briefing for journalists attending the 42nd annual international Futures Industry Association (FIA) Conference in Boca Raton, Florida. Chairman and CEO Ed Tilly, President and COO, Chris Concannon, CSO and[...]

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[...]

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%[...]

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[...]

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[...]

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[...]

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[...]

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[...]