• Market News | Trader Talk | Strategy | Trade Ideas | Dec 8, 2016, 1:11 PM

    Block Trade Analysis - Buyer of 250,000 XLF Jan 20th 25 Calls

    Block Trade Analysis - Buyer of 250,000 XLF Jan 20th 25 Calls

    All of equity market sectors the financial sector seems to have benefited the most since Donald Trump was elected President back on November 8th.  Note on the price chart below that as of mid-day today the Financial Select Sector SPDR Fund (XLF) is up about 19% since election day. Apparently one trader expects this bull run for XLF to continue into the new year.  This morning, less than 90 minutes into the trading day, there was a buyer of 250,000 XLF Jan 20th 25 Calls for 0.13. [...]

  • Market News | Trader Talk | Trade Ideas | Dec 6, 2016, 7:48 AM

    Block Trade Analysis - TOL Earnings Trade

    Block Trade Analysis - TOL Earnings Trade

    As I write this Toll Brothers (TOL) is trading up 0.73 to 31.20.  The company reported earnings this morning.  I scrambled to find a trade that called the direction of this earnings reaction from yesterday and didn’t have to look to hard.  With just under half an hour to the close and TOL trading at 30.47 someone came in and sold several hundred TOL Dec 9th 29.50 Puts for 0.50 and purchased the TOL Dec 9th 27.00 Puts for 0.15 netting a credit of 0.35 per spread.  The payoff[...]

  • VIX | Trader Talk | Trade Ideas | Dec 5, 2016, 3:42 PM

    Block Trade Analysis - Long Dec VIX Put

    Block Trade Analysis - Long Dec VIX Put

    Buying a single option is not the most exotic trade, but it can be interesting, especially when it involves buying a VIX option.  This morning, with VIX at 12.75 and the December VIX futures trading at 13.95 there was a buyer of 12,000 VIX Dec 21st 14.00 Puts for 1.10.  A payout at expiration on the morning of the 21st appears below.  Note the VIX futures and spot VIX levels when the trade was executed are highlighted on the diagram. Both the futures and spot index finished the day[...]

  • VIX | Trader Talk | Trade Ideas | Dec 5, 2016, 12:17 PM

    Whistling Over the Bridge

    Whistling Over the Bridge

    At my last writing I had taken an accounting-sheet loss by simply exchanging one security for a comparable one and then selling some options against that position with the intention of bringing in some extra return on that position.  Refresher: Converted to: (shown after just a few minutes as the position immediately resumed producing red ink): Well, what happened to those during the earthquake that was election night and the days leading up to it?  I said I'd report back on my bag of[...]

  • Market News | Strategy | Dec 5, 2016, 9:06 AM

    A Market Under Distribution Has No Mercy

    A Market Under Distribution Has No Mercy

    After a robust market rise on good turnover after the election, we find ourselves a month later wondering what is next.  Many thought a Trump victory was indeed the elixir needed to get the economy and markets moving, and that sentiment was pronounced immediately with a bullish market response.  Further, bonds were trashed, an amazing allocation shift that happened swiftly and with bold strokes. Markets tend to punish complacency when you least expect it.  As the volatility was sucked[...]

  • Market News | Dec 4, 2016, 4:00 PM

    The Weekly Options News Roundup – 12/4/2016

    The Weekly Options News Roundup – 12/4/2016

    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. Risk Managed Successfully CBOE wrapped up its 2nd annual Risk Management Conference (RMC) Asia in  Hong Kong Thursday.  Over a 160 financial professionals attended the two-day conference, discussing the latest products and strategies for managing risk, enhancing yield and lowering portfolio volatility,[...]

  • Market News | Dec 4, 2016, 11:29 AM

    Earnings Week of 12/5 - 12/9

    Earnings Week of 12/5 - 12/9

    As always the data below is based on the last three years of earnings results unless the ticker is in italics.  The columns show the biggest rally, biggest drop, average move, and what the stock did last quarter in reaction to earnings.  Finally, double check the earnings dates as not all were confirmed.

  • Market News | VIX | Trader Talk | Trade Ideas | Dec 4, 2016, 11:09 AM

    Weekend Review - Russell 2000 Options and Volatility - 11/28 - 12/2

    Weekend Review - Russell 2000 Options and Volatility - 11/28 - 12/2

    The Russell 2000 (RUT) took a rest for dominating the Russell 1000 (RUI) last week.  Neither index RUT dropped 2.8% while RUI was down about 1.1%.  Since the election the Russell 2000 had gone a bit parabolic, something we don’t often see from broad based indexes.  As of Friday RUT is up 15.7% while RUI is up 7.5% for 2016. The chart below breaks down performance for both RUI and RUT since the election.  Despite the tough week RUT is up 10.0% since November[...]

  • Market News | Dec 4, 2016, 5:34 AM

    Weekend Review - Volatility Indexes and ETPs - 11/28 - 12/2

    Weekend Review - Volatility Indexes and ETPs - 11/28 - 12/2

    VXST got a little bump based on the drop in the S&P 500 and a potentially market moving event going on this weekend in Italy.  Rising 30% is impressive, but the move was off a pretty low base.  The rest of the curve moved higher as well as all volatility indexes based on S&P 500 Index option pricing had been under pressure since the election. TYVIX is where the volatility is at these days.  Although the measure of 10YR US Treasury Note volatility was up only about[...]

  • Market News | VIX | Trader Talk | Strategy | Trade Ideas | Dec 4, 2016, 5:05 AM

    Weekend Review - VIX Options and Futures - 11/28 - 12/2

    Weekend Review - VIX Options and Futures - 11/28 - 12/2

    VIX gained over 14% last week as volatility rose in reaction to a 1% drop in the S&P 500.  It is hard to quantify, but I’m thinking that a part of the rise is VIX can be attributed to the vote going on in Italy this weekend.  Note that the curve shift was not exactly uniform and the futures lagged the move in the index.  Barring a volatility spike in reaction to this weekend or some other unforeseen market moving event, I would not be surprised to see the VIX curve return[...]

  • VIX | Trader Talk | Education | Trade Ideas | Dec 1, 2016, 2:59 AM

    Volatility Panel Discussion at CBOE RMC

    Volatility Panel Discussion at CBOE RMC

    The final session at the 2nd Annual CBOE RMC Asia featured a panel discussion hosted by Steven Sears from Barrons.  The participants were: David Dredge from City Financial Investment Company Pte Ltd Richard Johnston from Albourne Partners (Asia) Limited Benoit Meulot from Nine Masts Capital Limited Laurent Poirot from GF Asset Management Some highlighted quotes from the panel – “For long volatility strategies you have to have some sort of management plan” “There is[...]

  • VIX | Trader Talk | Education | Strategy | Trade Ideas | Dec 1, 2016, 2:47 AM

    Long Volatility Discussion at CBOE RMC

    Long Volatility Discussion at CBOE RMC

    Govert Heijboer from True Partner Advisor and James Murray from NSW Treasury Corporation split the duties for a discussion titled Implementing Long Volatility Exposures for Hedging and Alpha today in Hong Kong. Murray led off by discussing risk management and the objectives of long volatility risk management strategies.  He noted that there is no free lunch when getting long volatility exposure and strategies are a trade-off between convexity, timing, basis and time decay.  A final thought[...]

  • VIX | Trader Talk | Education | Trade Ideas | Dec 1, 2016, 12:02 AM

    Short Volatility Strategies Discussed at CBOE RMC

    Short Volatility Strategies Discussed at CBOE RMC

    Tanuj Dutt, CFA from Nikko Asset Management and Selim Piot from Barclays Capital teamed up to deliver a session on Implementing Short Volatility Strategies at the 2nd Annual CBOE RMC in Hong Kong today. Piot led things off by discussing how short volatility strategies may be implemented.  He noted the diversification benefits of substituting a part of equity risk with short volatility exposure and followed that thought stating that a portfolio of short volatility across regions and different[...]

  • VIX | Trader Talk | Education | Trade Ideas | Nov 30, 2016, 11:32 PM

    Discussion of Market Dislocations at RMC Asia

    Discussion of Market Dislocations at RMC Asia

    The keynote speaker this morning for the 2nd Annual Risk Management Conference Asia was Rebecca Cheong who is Head of Americas Equity Derivatives Strategy for UBS Securities.  She also grew up in Hong Kong so this was a special treat for her as well as the attendees. Rebecca’s presentation was titled Cross-Asset Dislocations and Market Signal.  She started out discussing the difference between a true Cross-Asset Dislocation and a Temporary Dislocation.  A Temporary Dislocation[...]

  • Market News | Nov 30, 2016, 7:30 PM

    2016 CBOE Risk Management Conference Asia

    2016 CBOE Risk Management Conference Asia

    2016 CBOE Risk Management Conference Asia Options Hub Blog Edward Tilly Remarks Thursday, December 1, 2016 CEO Edward Tilly on CBOE Innovation and Bats Acquisition       Kicking off the start of Day Two of CBOE RMC Asia 2016 in Hong Kong, CBOE Holdings CEO Edward Tilly updated conference attendees on CBOE Holdings’ planned acquisition of Bats Global Markets and on CBOE’s ongoing development of new products, services and tools. Tilly noted that industry participants’[...]