• VIX | Trader Talk | Education | Aug 30, 2017, 12:31 PM

    ETH Liquidity Continues to Improve

    ETH Liquidity Continues to Improve

    CBOE’s Extended Trading Hours (ETH) offers trading in the Exchange’s flagship SPX, SPXW, and VIX® option products beginning at 8:00 a.m. London time.  CBOE made ETH available in March 2015 and has seen significant growth in 2017. Liquidity has continued to improve and has most recently dramatically increased with the entrance of two London-based dealers willing and able to commit capital to trades.  Average daily volume has jumped from 4,400 contracts in 2016 to 7,500[...]

  • Aug 27, 2017, 3:30 PM

    The Weekly Options News Roundup – 8/27/2017

    The Weekly Options News Roundup – 8/27/2017

    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.       VIX Fix:  Volatility on Ice   Markets ended the week mixed after a steep drop on more geopolitical fears. Now that tough talk between President Trump and North Korea has simmered, markets have since rebounded.  The CBOE Volatility Index (VIX) saw a pop early in the week to over[...]

  • Aug 25, 2017, 3:46 PM

    Record Days for VIX Futures and Options Volume and Open Interest This Month

    Record Days for VIX Futures and Options Volume and Open Interest This Month

    Despite the fact that the average daily closing value of the CBOE Volatility Index® (VIX®) is about 11.5 so far this year, VIX futures and options both had record days for volume and for open interest this month. OPEN INTEREST RECORDS. VIX futures hit a new record for open interest with more than 673,000 contracts on August 7, and VIX options reached a new record for open interest with 14,783,380 contracts open on August 15. VOLUME RECORDS. August 10 was an all-time record volume day[...]

  • Aug 25, 2017, 8:39 AM

    Open Interest Grows for CBOE Options on EAFE and EM Indexes

    Open Interest Grows for CBOE Options on EAFE and EM Indexes

    Investors who wish to explore large-sized cash-settled index tools that can help manage global equity risk are taking a look at CBOE’s options on the MSCI EAFE® Index (ticker MXEA) and on the MSCI Emerging Markets Index (ticker MXEF). These index options have the potential to generate more income by receiving options premiums, and to help protect a portfolio from damaging huge drawdowns.  The combined aggregate open interest for MXEA and MXEF options grew from around 3,200 contacts[...]

  • Aug 21, 2017, 12:36 PM

    Earnings and Confidence Make For a Powerful Combination, But...

    Earnings and Confidence Make For a Powerful Combination, But...

    Since the election the stock market has been on a roll, and even bonds have shown strength.  We are just about finished with second quarter earnings reports and we have seen some solid surprises to the upside, a near 10% gain in earnings over 2016.  This follows another double digit gain from first quarter, and some estimates have the second half of 2017 coming in with double digit gains.  This will help buoy the markets until the earnings cycle inflects to the downside.  That[...]

  • Education | Aug 18, 2017, 1:26 PM

    Demand for Disaster Protection Increases as CBOE SKEW Index Tops 142 Each Day This Week

    Demand for Disaster Protection Increases as CBOE SKEW Index Tops 142 Each Day This Week

    The CBOE SKEW Index (SKEW) topped 142 on each of the first four trading days this week. The long-term daily average for the SKEW Index (since January 1990) is 118.8, but the daily average for the SKEW Index in 2017 (through August 17) is a much higher 134.5. CBOE SKEW Index values, which are calculated from weighted strips of out-of-the-money S&P 500 options, often rise to higher levels as investors become more fearful of a “black swan” event — an unexpected event of large magnitude[...]

  • Aug 14, 2017, 8:53 AM

    Why Does August Get Such a Bad Rap?

    Why Does August Get Such a Bad Rap?

    We are in the midst of August, the "dog days of summer", and all we hear about now is a 'seasonally weak' period for markets.  History is on the side of these commenters, yet maybe things are a bit different today.  Let's flesh it out and see if we can take advantage. August seems to get the blame for many bad things to come.  There are no 'pure' or 'fun' holidays in August, and in the northern hemisphere it is usually the hottest time of the year (weather-wise).  As it relates[...]

  • Aug 13, 2017, 3:30 PM

    The Weekly Options News Roundup – 8/13/2017

    The Weekly Options News Roundup – 8/13/2017

    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.      VIX Fix: “Fire and Fury” in the Markets As the war of words between the U.S. and North Korea escalated this week, major market indicators, fresh off record highs, tumbled, while volatility, complacent most of the summer, surged.  The CBOE Volatility Index (VIX) spiked 44% on Thursday,[...]

  • Aug 11, 2017, 8:12 AM

    Volatility Takes the Stairs Down and the Elevator Up

    Volatility Takes the Stairs Down and the Elevator Up

    There are countless market/trader sayings that get bandied about depending on the macro environment (and perhaps your position). For example, who hasn’t heard? Trying to catch a falling knife The trend is your friend Dead-cat bounce Picking up pennies (used to be 1/8ths) in front of a steamroller In the options world, one truism that was likely overheard on trading desks yesterday: “volatility takes the stairs down and the elevator up”. Of late, there’s[...]

  • Education | Aug 7, 2017, 8:47 AM

    Take The Markets Seriously, Even When Others Won't

    Take The Markets Seriously, Even When Others Won't

    There is a buzz around markets these days, many are in complete disbelief or denial that the bull market continues to rage on.  The length of this run is now about nine years, and we have barely had any correction.  That is not to say we won't have one coming, and certainly with the bias toward short volatility (skew, tail risk), short SPX puts, and other more esoteric products - there will likely be an unwind that will feel monumental.  There may be no getting around it, and it[...]

  • Aug 6, 2017, 3:30 PM

    The Weekly Options News Roundup – 8/6/2017

    The Weekly Options News Roundup – 8/6/2017

    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.      The Futures of Bitcoins On Wednesday, CBOE announced that it has entered into an exclusive license agreement with Gemini Trust Company to use Gemini’s bitcoin market data for bitcoin derivatives and indices.  Under the terms of the agreement, CBOE will have a multi-year exclusive global[...]

  • Aug 2, 2017, 3:30 PM

    Bearish on TSLA in Front of Earnings

    Bearish on TSLA in Front of Earnings

    Other trades of note: Teva Pharmaceutical Industries Limited (TEVA) at 31.10, a Bull Put Spread traded 520 times. The trader sold the Aug 4th 34/32 spread for a credit of 1.57. TEVA is expected to report earnings on Thursday, August 3, before the market open. Otonomy, Inc. (OTIC) at 18.35, a Calendar Spread traded 1,700 times. The trader sold the Oct 20th 20 Calls and bought the Sept 15th 20 Calls collecting 2.00. OTIC is expected to report earnings on Thursday, August 3, after the market[...]

  • Aug 1, 2017, 3:50 PM

    AAPL Calls Purchased in Front of Earnings

    AAPL Calls Purchased in Front of Earnings

    Other trades of note by Lauren Ravalli: NXP Semiconductors N.V. (NXPI) at 110.70, a Calendar Spread traded 2,500 times. The trader sold the Oct 20th 115 Calls and bought the Jan 19th 115 Calls paying 2.20. Intel Corporation (INTC) at 35.97, a Bear Call Spread traded 1,000 times. The trader sold the Aug 4th 35/36.50 spread for a .95 credit. Citigroup Inc. (C) at 69.19, a Bull Call Spread traded 500 times. The trader bought the March 16th 77.50/85 spread paying 1.00. DISH Network (DISH)[...]

  • VIX | Morning Call | Aug 1, 2017, 7:39 AM

    CBOE Morning Call 8/1/2017

    CBOE Morning Call 8/1/2017

    Big Picture About 3/4‘s of the companies in the S&P 500 that have already reported second quarter earnings beat their estimates.  This sounds impressive, but according the Bank of America Merrill Lynch the stock price reactions have been muted (despite the S&P 500 pushing the 2500 level).  Yesterday the Chicago PMI was lower than expectations, but Pending Home Sales was higher than expectations.  Nothing can go wrong if housing sales are strong, right?  We get[...]

  • Earnings | Jul 31, 2017, 3:22 PM

    Under Armour Call Skewed Into Earnings

    Under Armour Call Skewed Into Earnings

    Other trades of note: ViewRay, Inc. (VRAY) at 4.61, a 1x2 Ratio Spread traded. The trader bought 900 Sept 15th 5 Calls for .50 and sold 1,800 Sept 15th 7.50 Calls at .05. They paid .40 for the package. iShares Russell 2000 ETF (IWM) at 141.38, a Bear Put Spread traded 15,000 times. The trader bought the Aug 4th 141/138 spread paying .53. Exxon Mobil Corporation (XOM) at 79.87, a Bull Call Spread traded 1,000 times. The trader bought the Aug 4th 80/80.50 spread paying .22. XOM reported earnings[...]