• BigTrends.com Weekly Market Outlook - Mildly Bullish Undertow

    BigTrends.com Weekly Market Outlook - Mildly Bullish Undertow

    Stocks managed to log a gain last week, but it was a "just barely" situation. The S&P 500 (SPX) (SPY) ended only 0.1% higher than it ended the prior week, and still closed below all of its key technical resistance levels. The bulls are going to have to do better than this to achieve escape velocity. Still, the undertow remains technically bullish, and a break above the ceilings here is within easy reach. We'll look at the hurdles and weigh the odds after a quick run-down of last[...]

  • Market News | Oct 3, 2016, 8:58 AM

    M&A Is a Sign of Economic Health

    M&A Is a Sign of Economic Health

    Last year was a record year for M&A, but going unnoticed in 2016 is the plethora of mergers that have taken place across many sectors.  Whether it is airlines, media, semiconductors or chemicals - this year has been one of the biggest on record in size and scope.  Yet, one wonders why so many mergers are happening with the stock market at/near all time highs just about the entire year?  The worst of course occurred during the first six weeks of the year and it has been up ever[...]

  • Market News | Oct 2, 2016, 4:00 PM

    The Weekly Options News Roundup – 10/2/2016

    The Weekly Options News Roundup – 10/2/2016

    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. CBOE RMC Europe’s High 5 CBOE held its 5th annual Risk Management Conference (RMC) Europe in County Wicklow, Ireland earlier this week.  “The Volatility Summit,” as RMC is sometimes affectionately called, was attended by nearly  200 financial professionals.  Sessions covered new CBOE[...]

  • Market News | VIX | Trader Talk | Trade Ideas | Oct 2, 2016, 8:39 AM

    Weekend Review - VIX Options and Futures - 9/26 - 9/30

    Weekend Review - VIX Options and Futures - 9/26 - 9/30

    The VIX curve did The Twist (cue Chuck Berry) as spot VIX rose 8% and the front month October contract was up by just over 1%.  Beyond the front month all things were red. The highest closing level for VIX last week came on Monday with the spot index finishing the day at 14.50.  One trader had an expectation that this move up would very short lived and decided to sell a call spread with VIX Weeklys Options that expired on the open this past Wednesday.  Just a few minutes[...]

  • Market News | VIX | Trader Talk | Trade Ideas | Oct 1, 2016, 12:53 PM

    Weekend Review - Russell 2000 Options and Volatility - 9/26 - 9/30

    Weekend Review - Russell 2000 Options and Volatility - 9/26 - 9/30

    For the first time in a while the Russell 1000 was higher while the Russell 2000 lost value last week.  The numbers were slight with RUI up 0.15% and RUT down 0.26%.  For the year RUT still maintains a nice lead with three months to go in 2016. The CBOE Russell 2000 Volatility Index maintains a high spread relative to VIX continuing to hover around that 40% level.   On Monday the Russell 2000 came under a little pressure and one trader decided to take advantage of this[...]

  • Market News | Oct 1, 2016, 11:21 AM

    Weekend Review - Volatility Indexes and ETPs - 9/26 - 9/30

    Weekend Review - Volatility Indexes and ETPs - 9/26 - 9/30

    The VXST – VIX – VXV – VXMT Curve is a consistent way to look at different S&P 500 Option Implied Volatility time frames.  All four indexes moved up a bit last week, with the curve shape maintaining a pretty steep shape. The ETPs were a mixed bag last week.  VXX and the other long funds that focus on the short end of the curve were higher last week.  VXZ, which focuses on the longer end of the curve was lower, being a victim of the steep contango[...]

  • Market News | Education | Strategy | Election & VIX | Sep 30, 2016, 2:28 PM

    More SPXW and VIX “Election Spread” Expiration Dates for Targeted Strategies

    More SPXW and VIX “Election Spread” Expiration Dates for Targeted Strategies

    As the November 8 date for the U.S. Presidential election approaches, I have heard quite a bit of interest from investors in the use of SPX and VIX options and VIX futures with various expirations over the next six weeks.  Added expiration dates provide investors with the opportunity to implement more targeted buying, selling, hedging and spreading strategies. As shown in the two tables below, a September 28 CBOE Circular, and on cboe.com, by the end of next week there will be SPXW option expirations[...]

  • Market News | Sep 30, 2016, 6:30 AM

    Panel on The Evolution of Options and Futures Strategies at RMC Europe

    Panel on The Evolution of Options and Futures Strategies at RMC Europe

    Andy Nybo from Tabb Group delivered a presentation and then headed a panel discussion on The Evolution of Options and Futures Strategies on the Buyside Trading Desk at CBOE’s RMC Conference Wednesday.  The panelists that followed Nybo’s presentation were: Jared Dubin, Head of Systematic Strategy Research, LMR Partners John Fennell, Executive Vice President, Financial Risk Management, The Options Clearing Corporation Patrick A. Luongo, head of AES Options Sales, Credit Suisse Alex[...]

  • Market News | Sep 30, 2016, 4:42 AM

    Discussion on Improving Trading Using Correlation Information at RMC

    Discussion on Improving Trading Using Correlation Information at RMC

    Three presenters worked together on a presentation that asks the question, Can We Improve Trading Using Correlation Information?  Kokou Agbo-Blou from Societe Generale, Neale Jackson of 36 South Capital Advisors, and Trung-Tu Nguyen of Capital Fund Management all divided duties to answer this question. Each speaker took on various parts of the presentation relating to their individual expertise.  The presentation discussed the difference between long-term correlations and short-term correlations. [...]

  • Market News | Sep 29, 2016, 3:30 PM

    Chris Cole's Keynote Address on Volatility at CBOE RMC Europe

    Chris Cole's Keynote Address on Volatility at CBOE RMC Europe

    Christopher Cole who is a Managing Partner at Artemis Capital Management kicked off the final day of the 5th Annual European of CBOE’s Risk Management Conference.  He gave his view of the current market environment while also framing the discussion around a paper he authored, Volatility and the Allegory of the Prisoner’s Dilemma.  A PDF of that paper may be found here – Cole Volatility paper I was fortunate enough to see Chris speak on this paper in the past.  Although[...]

  • Market News | Sep 29, 2016, 1:21 PM

    Session Focusing on European Market Volatility at RMC

    Session Focusing on European Market Volatility at RMC

    For the final presentation of the second day at CBOE RMC Europe, Abhinandan Deb from Bank of America Merrill Lynch and Michael Stephens from Pioneer Investment Management split duties to discuss Global Volatility Trading Opportunities with a Focus on Europe. Their talk spent some time discussing the fallout from Brexit and potential market fragmentation risk along with geopolitical and central bank risk.  They also discussed the impact of structural investor flows and strategies to gain alpha[...]

  • Market News | Sep 28, 2016, 11:55 AM

    Presentation at CBOE RMC on Hedging with VIX Options

    Presentation at CBOE RMC on Hedging with VIX Options

    Rocky Fishman, Equity Derivatives Strategist from Deutsche Bank Securities and Andrew Warwick, Managing Director from Blackrock teamed up to discuss Hedging with VIX Option at CBOE’s Risk Management Conference in Ireland Tuesday. They focused on evaluating VIX option strategies, not just from implementation to expiration, but also looking at the behavior of positions over a multi-week period.  A comparison was made between SPX and VIX option hedging as well as looking at when it may be[...]

  • Market News | Education | Sep 28, 2016, 4:25 AM

    New Paper by Fund Evaluation Group Analyzes CBOE Russell Benchmark Index Suite with Strong Performance by PUTR Index

    New Paper by Fund Evaluation Group Analyzes CBOE Russell Benchmark Index Suite with Strong Performance by PUTR Index

    This week a new paper by Fund Evaluation Group (FEG) --  Evaluating Options For Enhanced Risk-Adjusted Returns: CBOE Russell 2000 Option Benchmark Suite and Case Studies on Fund Use of Options (2016) - was released and presented at the Fifth Annual CBOE Risk Management Conference (RMC) Europe. A link to the new 18-page paper is at www.cboe.com/benchmarks, and below in this blog are 6 of the 30 exhibits in the paper. DESCRIPTIONS OF INDEXES ANALYZED PUTR INDEX HAD HIGHEST GROWTH PUTR[...]

  • Market News | Sep 27, 2016, 2:02 PM

    Discussions Focusing on Short Volatility Strategies Today at RMC

    Discussions Focusing on Short Volatility Strategies Today at RMC

    Stephen Crewe from Fulcrum Asset management and Dhvani Gupta from Barclays shared the presentation duties during a session titled Implementing Systematic Short Volatility Strategies at the 5th Annual European CBOE RMC this afternoon. Dhvani Gupta started things off noting that the SPX Implied – Realized Volatility Premium has averaged 4.3% since January 1990 through present.  She noted that short volatility exposure has benefits beyond traditional diversification techniques so she suggests[...]

  • Market News | Sep 27, 2016, 1:04 PM

    Long Volatility Alternatives Discussed at RMC

    Long Volatility Alternatives Discussed at RMC

    Daniel Danon from Assenagon Asset management and Nicolas Vanhoutteghem from Argentiere Capital teamed up for a discussion around Implementing Long Volatility Exposures at CBOE RMC in Ireland this afternoon. Danon kicked things off with a discussion centering around creating an affordable volatility exposure.  This is a topic that we could probably have a single full day conference discussing as the flexibility around how to gain long volatility exposure without suffering the costs often associated[...]