• Cboe Benchmark Indexes | Oct 26, 2016, 3:57 PM

    eVestment adds CBOE Strategy Benchmark Indexes

    eVestment adds CBOE Strategy Benchmark Indexes

    The following headlines appeared in the trade publications Pension & Investments…. “Hawaii assigns $1.6 billion total to 4 managers for options-based strategies” (March 21, 2016) “South Carolina allocates nearly $1.9 billion to equity options, infrastructure strategies” (April 21, 2016) The rationale for Hawaii and South Carolina’s interest in using options strategies to mitigate risk and enhance yields was outlined in the recent article in The Wall St. Journal… “In[...]

  • VIX | Trader Talk | Trade Ideas | Election & VIX | Oct 26, 2016, 10:47 AM

    Analyzing Equity Market Sector Risk and the Election

    Analyzing Equity Market Sector Risk and the Election

    So, what do Mexico and the Biotech industry have in common?  They both seem to be braced for excess volatility following the US Presidential election.  Before jumping into all that I’ll explain the table that sums all this up. A couple of days ago I posted a blog showing that SPX option implied volatility jumped about 2 points when comparing at the money options.   Our friends at CBOE LiveVol calculates ATM implied volatility for all option markets.  Using that information[...]

  • Election & VIX | Oct 25, 2016, 2:53 PM

    Election Week SPX Expirations on Monday, Wednesday and Friday, with Higher Implied Volatility for SPX Puts on Nov. 9

    Election Week SPX Expirations on Monday, Wednesday and Friday, with Higher Implied Volatility for SPX Puts on Nov. 9

    In the October 22 Striking Price column in Barron’s, Steve Sears wrote --“keep an eye on the CBOE Volatility Index, or VIX. Already, some investors are preparing for significant volatility around the Nov. 8 election. Investors recently bought about 6,000 VIX Nov. 30 calls and about 9,000 Nov. 17 calls.” IMPLIED VOLATILITY FOR S&P 500 PUTS  The table below shows samplings of implied volatility estimates for S&P 500 2100 options with select expiration dates. The Monday,[...]

  • Technical Analysis & Charts | Trade Ideas | Oct 25, 2016, 1:59 PM

    Probing the Buy Side of VOD

    Probing the Buy Side of VOD

    One pattern that I notice all the time when using Fibonacci ratios, is that many moves tend to terminate at extensions of prior swings.  I'm starting to get interested in VOD due to this pattern.  Not only are we seeing some key extensions on this chart which are illustrated with the "green lines", but we are also seeing a nice overlap with many other Fibonacci price relationships.  There are two zones that stand out in particular and the first one is being tested right here[...]

  • Market News | VIX | Trader Talk | Election & VIX | Oct 24, 2016, 4:58 PM

    "Election Certainty" Not Showing Up In SPX Options Market

    "Election Certainty" Not Showing Up In SPX Options Market

    So we keep hearing that the market is unconcerned with respect to the upcoming election or stated another way the stock market is discounting a victory by Hillary Clinton.  I am always skeptical when being told that the market thinks one thing or another without some sort of numbers to back up the statement.  With respect to the market discounting a pending event as being a non-event I always turn to volatility.  Specifically, implied volatility. If stock market participants are discounting[...]

  • Technical Analysis & Charts | VIX | Oct 24, 2016, 1:14 PM

    BigTrends.com Weekly Market Outlook - Lower Highs

    BigTrends.com Weekly Market Outlook - Lower Highs

    The bulls and the bears both took their shots at knocking the market off of the fence it's currently perched on. Neither team could get the job done. Stocks pretty much ended last week where they started it, but more than that they ended the week still trapped between a rock and a hard place. We'll look at the range bound stagnation after painting the bigger picture with the broad brush strokes of last week's and this week's economic news. Economic Data A pretty good dose of economic[...]

  • Trader Talk | Strategy | Oct 24, 2016, 9:13 AM

    The Time to Listen to Market Prophets? Not EVER!

    The Time to Listen to Market Prophets?  Not EVER!

    With so much uncertainty in the world most investors/traders get anxious and worried over losing money and start listening to market sages and so-called prophets.  That is typical and quite natural, yet when the underwear starts getting tight and we begin to sweat because the markets are misbehaving, well we tend to reach for whatever (or, whomever) makes the most sense.  To top the list of uncertainties include the upcoming election, which many are starting to believe is to be a Hillary[...]

  • Strategy | Trade Ideas | Oct 24, 2016, 9:10 AM

    Admiral SPO Puts his Mark on Microsoft

    Admiral SPO Puts his Mark on Microsoft

    Maury, Maury, Maury! Admiral SPO Puts his Mark on Microsoft. Knowing Maury’s thirst for shekels and his motto of "the best things in life are FREE" the Admiral launched a timely pre-earnings trade, a call time back spread. Maury, known for his Pavlovian behavior jumped in!  On Thursday, October 20th, the day Microsoft earnings were scheduled to come out after the bell, one day prior to OCT options expiration Admiral sent out the mother of all Maury trades at 2:56 PM CT: Sell[...]

  • Market News | Oct 23, 2016, 4:30 PM

    The Weekly Options News Roundup – 10/23/2016

    The Weekly Options News Roundup – 10/23/2016

    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. A Second VESTment Launches On Monday, October 18, CBOE Vest announced the launch of the CBOE Vest Defined Distribution Strategy Fund (VDDIX).  VDDIX, the second mutual fund to be launched by CBOE Vest, seeks to generate consistent periodic distributions while preserving capital over the long term. For more information,[...]

  • Market News | VIX | Trader Talk | Trade Ideas | Oct 23, 2016, 8:04 AM

    Weekend Review - Volatility Indexes and ETPs - 10/17 - 10/21

    Weekend Review - Volatility Indexes and ETPs - 10/17 - 10/21

    In a bear market we refer to market bounces as ‘relief rallies’.  The drop in volatility last week may be attributed to some sort of relief, whether with respect to expectations around the coming election or that a good part of earnings season has passed without any catastrophic results.  Whatever the reason the curve moved lower as the S&P moved up slightly and the shape is a little less steep. The long volatility funds had a tough time last week with VXX losing[...]

  • Market News | VIX | Trader Talk | Trade Ideas | Oct 22, 2016, 3:39 PM

    Weekend Review - VIX Futures and Options - 10/17 - 10/21

    Weekend Review - VIX Futures and Options - 10/17 - 10/21

    VIX worked lower as we all survived, endured, or got through the final debate on this Presidential election.  The stock market moving up a little probably helped the cause as well.  November took over as the front month contract and finished the week at 15.575 or a spread of just over 2.20 when compared to the spot index.  This is actually a pretty narrow spread relative to how steep the VIX curve has been over the past few months. On Friday one trader came in with the[...]

  • Market News | VIX | Trader Talk | Trade Ideas | Oct 22, 2016, 3:10 PM

    Weekend Review - Russell 2000 Options and Volatility - 10/17 - 10/21

    Weekend Review - Russell 2000 Options and Volatility - 10/17 - 10/21

    Last week the Russell 1000 (RUI) and Russell 2000 (RUT) both gained a little ground, with RUI rising 0.41% and RUT winning the week by a nose by moving higher by 0.49%.  For the year RUT is about 3.4% higher than RUI. Both VIX and the Russell 2000 Volatility Index (RVX) were lower last week as the equity markets survived (and we endured) the final debate before the presidential election.  The RVX / VIX ratio gained a bit with the drop in volatility but is still off 2016 highs. On[...]

  • Market News | Trader Talk | Trade Ideas | Oct 20, 2016, 3:40 PM

    Earnings Week of 10/24 - 10/28

    Earnings Week of 10/24 - 10/28

    This week is by far the busiest of earnings season with over 100 companies with  Weeklys available for trading reporting results.   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.

  • Trader Talk | Oct 17, 2016, 10:56 AM

    Bullish Trade for National Pasta Day

    Bullish Trade for National Pasta Day

    In honor of National Pasta Day, I went searching for a trade that is bullish on a restaurant that serves its share of Italian food.  One Friday, I guess in anticipation of a surge in the consumption of food at Olive Garden, someone put on a bull call spread using options on Darden Restaurants (DRI).  When the stock was trading at 62.62 someone came in a purchased the DRI Nov 18th 62.50 Calls for 1.53 and sold the DRI Nov 18th 65.00 Calls for 0.55 and a net cost of 0.98.  A payoff at[...]

  • Technical Analysis & Charts | VIX | Strategy | Oct 17, 2016, 9:43 AM

    BigTrends.com Weekly Market Outlook - Damage Control

    BigTrends.com Weekly Market Outlook - Damage Control

    The bulls tried and tried, but it was a lost cause last week. Stocks never recovered from last Tuesday's stumble, and the bulls squandered their best chance to get back on a bullish track on Friday. All the major indices closed below key technical levels on Friday when the bullish effort that day petered out. Near-term the market still isn't completely past the point of no return, but it's close, and it's pointed in that direction.  However, while the tide may be pointed in a bearish direction,[...]