• Market News | Sep 26, 2016, 2:25 PM

    Presentation on Volatility Risk Premia at RMC Today

    Presentation on Volatility Risk Premia at RMC Today

    The second presentation on the first day of RMC featured a discussion titled Constructing / Deconstructing Volatility Risk Premia Strategies delivered by Roni Israelov from AQR Capital Management.  This presentation centered around an article that appeared in the Financial Analysts Journal in 2015 titled Covered Calls Uncovered which may be found at www.aqr.com/library/journal-articles/covered-calls-uncovered This presentation started out with a discussion of Covered Calls with the CBOE S&P[...]

  • Market News | Sep 26, 2016, 1:25 PM

    RMC Presentation by Bill Speth and Matt Moran from CBOE

    RMC Presentation by Bill Speth and Matt Moran from CBOE

    The first session that kicked off the 5th Annual European version of CBOE’s Risk Management Conference involved a discussion titled New Developments in Options and Volatility-Based Benchmarks delivered by Bill Speth and Matt Moran. Bill kicked things off talking about some current and pending strategy based indexes created by CBOE.  The indexes discussed were: CBOE Russell 2000 Conditional BuyWrite Index CBOE S&P 500 Smile Index CBOE S&P 500 Buffer Protect Strategy Series CBOE[...]

  • Market News | Technical Analysis & Charts | VIX | Futures | Sep 26, 2016, 9:48 AM

    BigTrends.com Weekly Market Outlook - September 26, 2016

    BigTrends.com Weekly Market Outlook - September 26, 2016

    While the market may have ended last week on a sour note, a little pre-weekend profit-taking can't entirely come as a surprise. Once traders learned on Wednesday the Federal Reserve wouldn't be imposing a rate-hike this month, they celebrated in the form of a 1.7% advance that lasted all the way through Thursday's close. Friday's 0.6% lull didn't even drag any of the major indices back below their most important technical levels. Still, stocks could just as easily kick-start a pullback here as they[...]

  • Market News | VIX | Sep 25, 2016, 3:00 PM

    The Weekly Options News Roundup – 9/25/2016

    The Weekly Options News Roundup – 9/25/2016

    2016 Risk Management Conference Europe Tomorrow kicks off the 5th annual CBOE Risk Management Conference Europe at the Powerscourt Hotel in County Wicklow, Ireland.  The industry’s top traders, strategists and researchers will convene to discuss the latest products and strategies for managing risks, that enhance yields and lower portfolio volatility. For more information, see http://www.cboermc.com. “2016 CBOE Risk Management Conference Europe” – Hedgeweek http://bit.ly/2dahuti Options[...]

  • Market News | Trader Talk | Trade Ideas | Sep 25, 2016, 10:25 AM

    Weekend Review - Russell 2000 Options and Volatility - 9/19 - 9/23

    Weekend Review - Russell 2000 Options and Volatility - 9/19 - 9/23

    The relative performance of small caps to large caps has been phenomenal for those who picked the equity market bottom back in February.  This past week the Russell 2000 (RUT) almost doubled the performance of the large cap focused Russell 1000 (RUI) rising 2.56% versus 1.30%.  This places RUT at up 10.45% for 2016 while RUI is up a still respectable 6.06%.  The really amazing numbers shows up when we look at what RUT has done relative to RUI since February 11th of this year. [...]

  • Market News | VIX | Trader Talk | Futures | Trade Ideas | Sep 24, 2016, 5:18 PM

    Weekend Review - VIX Futures and Options - 9/19 - 9/23

    Weekend Review - VIX Futures and Options - 9/19 - 9/23

    VIX reacted to the post FOMC rally by giving up just over 20% last week.  The standard September contract went off the board leaving October to take over as the front month.  With a little time until October expiration (10/19) the result has been resumption of pretty steep contango.  Of course there are some potentially market moving events between now and the end of the year so VIX futures bracing for some sort of spike may be expected. As I wrote the previous paragraph[...]

  • Market News | VIX | Trader Talk | Trade Ideas | Sep 24, 2016, 5:05 PM

    Weekend Review - Volatility Indexes and ETPs - 9/19 - 9/23

    Weekend Review - Volatility Indexes and ETPs - 9/19 - 9/23

    Janet Yellen spoke and volatility dropped.  I wonder if she's the kind of guest that shows up and ruins parties like she dampens any moves in S&P 500 volatility. The table below has a ton of red, as would be expected following a week where VIX drops about 20%.  I did field a question on Friday regarding last week's drop in the context of history and it ranks in about the top 50 week over week drops out of 1400 weekly observations.  VVIX continues to be resilient.  In[...]

  • Cboe Benchmark Indexes | Sep 21, 2016, 3:48 PM

    New Heat Map Shows Less Downside for BXMD and PUT Indexes - Blog #1 on the Wilshire Paper

    New Heat Map Shows Less Downside for BXMD and PUT Indexes - Blog #1 on the Wilshire Paper

    Wilshire Associates recently was ranked as one of the world’s ten largest investment consultants due to the fact that it had more than $1 trillion in worldwide institutional assets under advisement, according to the survey published in the Nov. 30, 2015 issue of Pensions & Investments. A new study - “Three Decades of Options-Based Benchmark Indices with Premium Selling or Buying: A Performance Analysis” – was released this week. The study was commissioned by CBOE and authored[...]

  • Market News | Trader Talk | Strategy | Sep 19, 2016, 10:37 AM

    Earnings This Week - 9/19 - 9/23

    Earnings This Week - 9/19 - 9/23

    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.

  • Market News | Technical Analysis & Charts | VIX | Strategy | Sep 19, 2016, 9:35 AM

    BigTrends.com Weekly Market Outlook - Fed Wednesday Looms

    BigTrends.com Weekly Market Outlook - Fed Wednesday Looms

    As much as the bulls tried last week, they could never get the market back above a key hurdle. The threat of a September rate hike just continued to circulate, and never gave the buyers a chance to get traction. Then again, the bears didn't make any progress either. They had several opportunities to deal a short-term death blow to the market, but could never get the job done. With the a key rate hike decision looming on Wednesday, odds are good traders aren't going to make any major push before then.[...]

  • Market News | Sep 19, 2016, 9:13 AM

    Central Bankers Paying Lip Service

    Central Bankers Paying Lip Service

    How much longer must we pay heed to lip service of central bankers, who continuous whine and plead their case but seem unable to pull the trigger on a policy directive?  Just over a week ago some Fed Governors came out and sent obligatory warnings to markets saying 'rate hikes may come sooner than you think, so take heed'.  Just days later, a couple of other Fed Governors turned that around 180 degrees and said 'not so fast on a rate hike, let's watch the data'.  This recent comment[...]

  • Market News | VIX | Trader Talk | Trade Ideas | Sep 18, 2016, 2:53 PM

    Weekend Review - VIX Futures and Options - 9/12 - 9/16

    Weekend Review - VIX Futures and Options - 9/12 - 9/16

    VIX gave up a little over 12% while the futures were lower, but not nearly to the extent that spot VIX lost value.  We are back to contango in the blink of an eye. VIX options and futures trade until 3:15 Chicago time each day.  Late Friday, after the official stock market closing time of 3:00, someone came in and did a pretty interesting trade in VIX.  The trade involved a purchase of 3,000 VIX Sep 21st 20 Calls at 0.19 each and then sold 10,000 VIX Sep 21st 23 Calls[...]

  • Market News | Sep 18, 2016, 1:00 PM

    The Weekly Options News Roundup – 9/18/2016

    The Weekly Options News Roundup – 9/18/2016

    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. Global Index Options Emerging On Thursday, CBOE announced plans to launch options on the FTSE Emerging Index (FTEM) beginning September 26th.   The FTSE Emerging index is a market-capitalization weighted index that represents the performance of large and mid-cap companies from advanced and secondary emerging[...]

  • Market News | VIX | Trader Talk | Trade Ideas | Sep 18, 2016, 7:25 AM

    Weekend Review - Volatility Indexes and ETPs - 9/12 - 9/16

    Weekend Review - Volatility Indexes and ETPs - 9/12 - 9/16

    After a lot of zigging and zagging VIX and the other S&P 500 related volatility indexes finished lower on a week over week basis.  The curve depicting the relationship among VXST, VIX, VXV, and VXMT even returned to a historically normally shape. I found VVIX remaining over 100 interesting despite last week's drop in VIX.  Also, the drop in TYVIX is noteworthy as it occurred in front of a week where we get a Fed decision. In the exchange traded product space the long funds[...]

  • Market News | Sep 17, 2016, 12:19 PM

    Weekend Review - Russell 2000 Options and Volatility - 9/12 - 9/16

    Weekend Review - Russell 2000 Options and Volatility - 9/12 - 9/16

    Both the Russell 100 and Russel 2000 were up 0.48% last week.  For the year RUT maintains a lead of 3.10% (7.83% vs. 4.73%). Both VIX and the CBOE Russell 2000 Volatility index (RVX) lost value last week.   This took the RVX / VIX premium down to under 20% for the first time since June. First thing Friday, with the Russell 2000 around 1225, someone came into the RUT pit with a trade that is targeting a fairly wide range for the Russell 2000 at the end of the month.  The trade[...]

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