• VIX | French Election | Apr 11, 2017, 7:43 PM

    How I Know the US Market is Waking Up to the French Election

    I was discussing the current state of the markets with a trader today and noted that VIX is perking up based on the uncertainty surrounding the upcoming French election.  He challenged me on this and said the geopolitical situation had more to do with the recent rise in VIX, not the French election.  I know I’m right and the picture below proves it.  Above is a depiction of the at the money implied volatility for SPX options expiring each Monday, Wednesday, and Friday for the[...]

  • What's Trading | Apr 11, 2017, 2:03 PM

    What's Trading Today - Buyer of Puts on TWTR

    Today’s What’s Trading episode was a discussion of a big put buyer in TWTR. A link to the video is below.  Click Here for Today's Video The payoff diagram here shows the outcome of this trade if it is held until September expiration. The maximum loss is limited to the price paid for each put. Profits can be earned below the break-even point of 11.45.

  • What's Trading | Apr 10, 2017, 1:18 PM

    What's Trading Today - SPX Broken Wing Butterfly

    Today’s What’s Trading episode was a discussion of a SPX Broken Wing Iron Butterfly expiring this coming Thursday April 13th.  Link to the video is below and after that some additional commentary about today's trade. Click Here for Today's Video The payoff diagram below shows the outcome if this trade is held through Thursday’s close.  Between 2345.60 and 2374.40 this trade makes a profit.  The payoff diagram below also highlights that the risk of loss is bigger[...]

  • Apr 10, 2017, 11:44 AM

    Can Trump Really Take Credit For This Recent Rally?

    We all are aware of the stock market at/near all time highs, a stunning run post-election.  President Donald Trump has taken some (most?) of the credit for a surge in stock prices, but is it all due to his election?  We can certainly say sentiment has improved since the election results were rendered, but there were other things happening that also deserve credit for that strong move upward in the stock market.  We should start by stating the obvious - a potential for strong fiscal[...]

  • Apr 9, 2017, 1:52 PM

    The Weekly Options News Roundup – 4/9/2017

    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.       CBOE Hosts Chicago’s CAIA Chapter On Wednesday, Edward Szado of Providence College and Joe Gits of Social Market Analytics (SMA) delivered presentations at CBOE on the topic of Using Sentiment Analysis and the Volatility Risk Premium to Enhance Portfolio Returns A number subjects were[...]

  • Market News | VIX | Trader Talk | Trade Ideas | Apr 9, 2017, 10:32 AM

    Weekend Review of Russell 2000 Options and Volatility - 4/3/2017 - 4/7/2017

    An emerging theme in 2017 is that when stocks come under pressure the Russell 2000 (RUT) seems to take it on the chin a bit more than the Russell 1000 (RUI).  Last week the large cap focused RUI was lower by 0.33% while RUT lost just over 1.5%.  This widens the lead that RUI has on RUT to about 4.5% for 2017.  With small caps leading stocks lower the relative level of small cap volatility remains high compared to large cap volatility.  The best way to measure this is the CBOE[...]

  • Market News | VIX | Trader Talk | Trade Ideas | Apr 9, 2017, 10:29 AM

    Weekend Review of Volatility Indexes and ETPs - 4/3/2017 - 4/7/2017

    When there is not a whole lot going on to impact the financial markets we can get fixated on different topics.  Maybe that is what is going on with me and the French Election process.  The steep difference between VXST and VIX on the chart below may reflect the time frame being measured by VXST being just short of the pending rise in implied volatility that is expected in front of round one of the election in a couple of weeks.  It will be interesting to see if we get a relative rise[...]

  • VIX | Trader Talk | Trade Ideas | French Election | Apr 8, 2017, 1:05 PM

    Weekend Review of VIX Options and Futures - 4/3/2017 - 4/7/2017

    The S&P 500 lost about 0.3% last week and VIX rose.  I think the VIX to S&P 500 relationship is only part of the story related to VIX rising last week.  It appears the pending election process in France is starting to influence US volatility.  Note that April is a bit higher than May volatility in the orange circle on the chart below.  This is a fairly rare occurrence for the futures considering the current low level of VIX.  As long as there is a cloud of uncertainty[...]

  • VIX | Trader Talk | Trade Ideas | French Election | Apr 4, 2017, 3:11 PM

    VIX, VSTOXX, and the French Election

    About a year ago, we were all starting to focus on the Brexit referendum which we ‘knew’ wasn’t going to pass.  There were several lessons from the Brexit experience with the top one being do not discount an election until all the votes are counted.  This played out again in November, but that’s not what this blog is about.  This blog is about how VSTOXX and VIX are behaving in front of the pending French election process.  First, going back to June 2016[...]

  • Apr 2, 2017, 2:36 PM

    The Weekly Options News Roundup – 4/2/2017

    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.      CBOE’s Other Asset Class On Thursday, CBOE’s Phil Slocum, EVP, Chief Risk Officer, Deb Peters, VP, Options Institute, Doug Hoffman, Director and Tom Knorring, VP, Market Data Sales, retired after many years of dedicated service.  CBOE staff and family joined the retirees[...]

  • Weekend Review of VIX Futures and Options - 3/27 - 3/31

    The Friday to Friday change in the VIX term structure was as orderly as I’ve seen it in some time.  VIX has had a lower average daily close during a quarter only once, the fourth quarter of 2006.  However, the low to high range for VIX has never been tighter than what we experienced in the first quarter of 2017 with the range of 2.54.  On average the range of closing VIX prices is about 10.60 so the VIX market may be a bit wound up to the point where a big move to the upside[...]

  • Market News | Trader Talk | Trade Ideas | Apr 2, 2017, 10:42 AM

    Weekend Review of Russell 2000 Options and Volatility - 3/27 - 3/30

    The first quarter of the 2017 performance race between the Russell 1000 (RUI) and Russell 2000 (RUT) came to close with large caps up 5.51% and the small cap focused RUT up 2.12%.  The consensus feeling is that RUT got a little too far ahead of RUI from election day through the end of 2016 and RUI was due for a bit of catching up.  The small cap versus large cap risk index is a good way to explain the chart below.  Small cap expected volatility is best represented by the CBOE Russell[...]

  • VIX | Trader Talk | Trade Ideas | French Election | Apr 2, 2017, 9:50 AM

    Weekend Review of Volatility Indexes and ETPs - 3/27 - 3/31

    The shift lower in the VXST – VIX – VXV – VXMT curve was 75% parallel and 25% dramatic.  The dramatic move was at the shorter end of the curve where VXST dropped 28% moving from a premium to discount relative to VIX.  As noted volatility was lower across the board.  Of interest below, VVIX finished below 80 and TYVIX remained at very low levels. For the volatility bulls the only glimmer of hope is SKEW around 140, but it is pretty difficult to get excited about[...]

  • Mar 31, 2017, 12:17 PM

    Conversion of SPXPM Options to Symbol SPXW

    CBOE is planning a change to the symbol for existing SPXPM option series to option symbol SPXW in both the Regular Trading Hours (RTH) and Extended Trading Hours (ETH) session. The change is scheduled to be effective May 1, 2017. This conversion is designed to allow greater ease of access for those looking to place spreads from week to week.  We have received some very positive feedback from institutional investors on this change to the symbol SPXW. After the conversion, on standard expiration[...]

  • Mar 27, 2017, 12:31 PM

    Markets Require Leadership to Rise

    I think the title might seem rather elementary, but nothing in market analysis is really too complex.  When the market is rising with great breadth and broad participation it tends to be longer-lasting and stable.  Recall that post-election we witnessed some amazing rally days, market breadth very strong and equally strong turnover.  That basics - a market rallying on higher volume and participation can lead to higher prices. Of course, nothing is a guarantee.  Yet, we follow[...]