• Market News | Nov 6, 2016, 12:17 PM

    Earnings Week of 11/7 - 11/11

    Earnings Week of 11/7 - 11/11

    Earnings season is starting to wind down, but there are plenty of stocks with Weeklys reporting this week.  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.

  • VIX | Trader Talk | Trade Ideas | Election & VIX | 2016 Recap | Nov 6, 2016, 8:48 AM

    Weekend Review - VIX Options and Futures - 10/31 - 11/4

    Weekend Review - VIX Options and Futures - 10/31 - 11/4

    Volatility rose as we approach Tuesday’s big decision.  VIX gained almost 40% and the November contract moved up 16% which placed the short end of the curve in backwardation.  One other thing I’d like to point out below is the ‘dip’ that is the December contract.  Due to the Holidays there is a seasonal impact on the curve, however, this is the first weekend this stood out this much. One trader is expecting the dust to clear and VIX to fall rapidly to normal[...]

  • Market News | Nov 5, 2016, 7:57 PM

    Weekend Review - Volatility Indexes and ETPs - 10/31 - 11/4

    Weekend Review - Volatility Indexes and ETPs - 10/31 - 11/4

    Short dated volatility in the form of VXST was up over 70% last week.  The uncertainty around this election has reached a frenzied point.  That combined with the S&P 500 dropping about 2% resulted in the whole curve shifting higher.  I discussed the 2012 before and after curves in an earlier blog which can be read here.  I do expect short dated volatility to fall back in line, but where the rest of the indexes will be is anyone’s guess and depends heavily on the reaction[...]

  • VIX | Trader Talk | Trade Ideas | Election & VIX | 2016 Recap | Nov 5, 2016, 7:09 PM

    Volatility History Lesson - The 2012 Election

    Volatility History Lesson - The 2012 Election

    I’ve been getting lots of questions with respect to how volatility acts around US elections.  We don’t have a lot of history to work with, but we do have data on how the four volatility indexes based on SPX option trading did four years ago.  I did a little digging and reconstructed the VXST – VIX – VXV – VXMT curves from the Friday before and Friday after the 2012 election. The pre-election curve was slightly inverted with VXST at a premium to spot VIX.  [...]

  • Market News | VIX | Trader Talk | Trade Ideas | Nov 5, 2016, 8:00 AM

    Weekend Review - Russell 2000 Options and Volatility - 10/31 - 11/4

    Weekend Review - Russell 2000 Options and Volatility - 10/31 - 11/4

    It’s a stretch, but the race to the end of 2017 is shaping up like the most recent World Series that captivated my home town.  Early this year the Russell 1000 (RUI) dominated performance, then it looked like the Russell 2000 was going to run away with the out performance crown.  Suddenly, a couple of weeks ago, RUI got a second wind and is making a run at RUT.  Last week RUI closed the gap a tad losing 1.92% while RUT was down 2.08%.  For the year RUT is up 2.43% and RUI[...]

  • Market News | Election & VIX | 2016 Recap | Nov 4, 2016, 2:11 PM

    Big Week for New Inquiries Re: Portfolio Protection, as Daily Volume Spikes for SPX Puts (992k), VIX Calls (590k), and VIX Futures (319k)

    Big Week for New Inquiries Re: Portfolio Protection, as Daily Volume Spikes for SPX Puts (992k), VIX Calls (590k), and VIX Futures (319k)

    This week has been a big week regrading new interest in tools for portfolio protection. We spoke with a Wall Street Journal reporter to provide information on the VIX and VVIX indexes that was used in a story entitled “Election Fear Creeps Into the Market.” In addition, I spoke with multiple investment advisers who said that this was the busiest week of the year in terms of new client inquiries on protective strategies. Both the VIX and CBOE VIX of VIX (VVIX) indexes have risen each[...]

  • VIX | Trader Talk | Trade Ideas | Election & VIX | 2016 Recap | Nov 4, 2016, 8:47 AM

    Now Even Long Term Volatility is Reacting to the Election

    Now Even Long Term Volatility is Reacting to the Election

    A bonus with respect to the Cubs pulling off what we all thought was impossible has been a distraction from the political process we have all been enduring.  Before bringing everyone back to reality I want to throw an interesting thought out there.  If three years ago someone had said the Cubs will win the World Series and less than a week later Donald Trump would be elected President of the United States, you would think they were referring to a subplot in Back to the Future IV. We know[...]

  • Market News | VIX | Trader Talk | Trade Ideas | Election & VIX | 2016 Recap | Nov 1, 2016, 4:16 PM

    Volatility and the Election Update

    Volatility and the Election Update

    Usually by this time in the election season we have a pretty good idea of who is going to win the election.  However, like everything associated with this election, it is different this time.  Things changed on a dime late last week and I'm having a hard time figuring out what to highlight with respect to the volatility markets.  So forgive me if I miss a thing or two here... Last Monday I showed the chart below and highlighted that implied volatility for SPX options expiring just[...]

  • Election & VIX | 2016 Recap | Nov 1, 2016, 2:38 PM

    Open Interest Rises to 9 Million for SPX Puts and 4.7 Million for VIX Calls, while Implied Vol is Higher for the Nov. 9 Index Option Expirations

    Open Interest Rises to 9 Million for SPX Puts and 4.7 Million for VIX Calls, while Implied Vol is Higher for the Nov. 9 Index Option Expirations

    Several recent news stories have covered this topic - how can investors protect their portfolios in the event of stock market moves during and after the U.S. election on November 8? For investors who are concerned that stock indexes could decline and volatility indexes could soar in future weeks, two of the simpler index option strategies to consider are (1) buying S&P 500 (SPX) protective put options, and (2) buying call options on the CBOE volatility Index (VIX). In the charts below, not that[...]

  • VIX | Trader Talk | Trade Ideas | Election & VIX | 2016 Recap | Nov 1, 2016, 9:01 AM

    The Election and Market Sector Volatility Part 2

    The Election and Market Sector Volatility Part 2

    Update - I expanded on the information below in this video after writing this blog earlier today. LimelightPlayerUtil.initEmbed('limelight_player_532992'); So, last week I looked at the implied volatility of various option markets that expired just before and just after next week’s election.  You can read all about that here.  Of course, as we all know, things changed a bit last Friday.  When things change, I start running numbers.  First I updated the table from last week[...]

  • VIX | Trader Talk | Trade Ideas | Oct 31, 2016, 7:04 PM

    Trick Now, Treat Later

    Trick Now, Treat Later

    After having a pretty good week shorting anything with a ticker (no, not really - just a few select names) and getting away with it, I got caught with my shorts up on Friday afternoon.  Who can predict green ticks higher than the Empire State Building that materialize while you're waiting by the microwave for coffee to warm?  So I decided to transmogrify the offending position into a Frankenstein's monster of sorts, fitting for the candy festival otherwise known as October 31st. I booked[...]

  • Market News | Technical Analysis & Charts | Futures | Strategy | Oct 31, 2016, 10:03 AM

    BigTrends.com Weekly Market Outlook - October 31, 2016

    BigTrends.com Weekly Market Outlook - October 31, 2016

    Stocks tried to get the market back in a bullish groove, staging a pretty solid advance on Monday of last week. It wasn't meant to be though. That rally effort petered out beginning on Tuesday, and then accelerated as the week wore on with the weight of a big Q2 rally still getting in the way. By the time Friday's closing bell rang most of the indices were within easy reach of a major support level. One stumble this week could finally pop this fragile (albeit short-term) bubble. And if there was[...]

  • Market News | Trader Talk | Oct 31, 2016, 9:41 AM

    Uncertainties Create a Pause For Market Participants

    Uncertainties Create a Pause For Market Participants

    These next eight to ten days will be quite interesting as the outcome of some events will unfold, as the Fed policy and election uncertainties will create headaches for market players. The Fed has a meeting this week and it is widely held they will not make a move on interest rates, rather they will continue to provide clues toward a December rate hike.  Whether that is good policy shift is open to debate, but certainly there is a swarm of support to hike the rate before the end of 2016. [...]

  • Market News | Oct 30, 2016, 4:00 PM

    The Weekly Options News Roundup – 10/30/2016

    The Weekly Options News Roundup – 10/30/2016

    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 Hosts Institutional “VIP” Summit On Thursday, CBOE hosted its 1st ever Institutional VIP -- “Volatility Investor Program” -- Summit, a day of events for principal volatility managers and institutional allocators that focused on how volatility investing can be utilized to improve portfolio[...]

  • VIX | Trader Talk | Trade Ideas | Election & VIX | Oct 30, 2016, 12:36 PM

    Weekend Review - Volatility Indexes and ETPs - 10/24 - 10/28

    Weekend Review - Volatility Indexes and ETPs - 10/24 - 10/28

    As a good number, but not all (some of us are White Sox fans) of the traders on the floor at CBOE were starting to think about where they were going to be that evening to watch Game 3 of the World Series, some news broke that shook the equity markets.  I don’t need to regurgitate all that here.  In fact, regurgitate is a good word to describe the election process this year. The curve below is partially a result of the uncertainty around the election, but also reflects a relationship[...]