• Market News | VIX | Trader Talk | Strategy | Trade Ideas | Jul 10, 2016, 12:18 PM

    Weekend Review - VIX Options and Futures - 7/5/2016 - 7/8/2016

    Weekend Review - VIX Options and Futures - 7/5/2016 - 7/8/2016

    VIX finished the week at 13.20 – only 0.10 higher than lowest 2016 close of 13.10.  The front month (July) futures contract was down slightly more than VIX this past week.  Anecdotally I’ve noticed in the past when we see VIX down significantly in reaction to the employment number that the front month contract seems to give up extra value.  I attribute this to a lack of anticipated market news after the employment number until expiration. At least on trader[...]

  • VIX | Jul 10, 2016, 8:57 AM

    Weekend Review - Volatility Indexes and ETPs - 7/5/2016 - 7/8/2016

    Weekend Review - Volatility Indexes and ETPs - 7/5/2016 - 7/8/2016

    I was participating in the Vol Views podcast Friday around lunch time and decided to take a look at the whole suite of volatility indexes and see if anything was higher.  None of the 29 volatility indexes CBOE quotes were higher at that time and none of them finished higher on Friday.  The list below shows the price changes ranked on a percentage basis for yesterday. The four S&P 500 related volatility indexes moved lower last week.  The largest drop came from VIX[...]

  • Market News | VIX | Trader Talk | Trade Ideas | Jul 9, 2016, 12:07 PM

    Weekend Review - Russell 2000 Options and Volatility - 7/5/2016 - 7/8/2016

    Weekend Review - Russell 2000 Options and Volatility - 7/5/2016 - 7/8/2016

    On Thursday there was a trending hashtag on Twitter #ThursdayThoughts or something like that.  I was tempted to tweet something like “Buy on any weakness #ThursdayThoughts” but was afraid CBOE wouldn’t find the humor in something that looks like a recommendation.  However, if I had done so I would have looked darn good on Friday.  The tide took all ships higher with RUT gaining 2.4% on the day and RUI up 1.5%.  The Friday rally helped place RUT up 3.65% for the[...]

  • Market News | Jul 9, 2016, 9:54 AM

    The Weekly Options News Roundup – 7/8/2016

    The Weekly Options News Roundup – 7/8/2016

    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. More Tools for “Target Outcome Investing” CBOE announced this week that it has created a series of 13 “enhanced growth indexes,” the second in a family of options-based strategy performance benchmarks designed to target the outcomes of specific investment strategies. These benchmarks measure[...]

  • Market News | Cboe Benchmark Indexes | Jul 9, 2016, 9:49 AM

    CMBO Index and Selling of SPX Calls and Puts – Blog #6 on 30-Year Price History

    CMBO Index and Selling of SPX Calls and Puts – Blog #6 on 30-Year Price History

    A 2011 paper by the consulting firm Cambridge Associates - Highlights from the Benefits of Selling Volatility – noted that -- “Over the past 20 years, a strategy of systematically selling out of the money puts and calls on the S&P 500 Index (a short strangle portfolio) would not only have soundly beaten equity returns with lower volatility, but also offered similar returns to the median hedge fund manager tracked by Cambridge Associates, albeit with slightly higher volatility …” In[...]

  • Cboe Benchmark Indexes | Jul 8, 2016, 11:32 AM

    Managing Risk and Return with CLLZ and Zero-Cost Put Spread Collar - Blog #5 on 30-Year Price History

    Managing Risk and Return with CLLZ and Zero-Cost Put Spread Collar - Blog #5 on 30-Year Price History

    [This is the fifth in a series of nine blogs to be published in early July at the CBOE Options Hub on nine CBOE benchmark indexes which have price histories that begin on June 30, 1986.] In recent years I have heard from some money managers that the put-spread collar strategy is becoming more popular, and in 2015 CBOE introduced the CBOE S&P 500 Zero-Cost Put Spread Collar Index (CLLZ). The CLLZ Index now has more than 30 years of price history. FEWER BIG DOWNSIDE MOVES FOR CLLZ The histogram[...]

  • Market News | VIX | Trader Talk | Strategy | Trade Ideas | Jul 8, 2016, 10:59 AM

    Gold - Where's the Risk?

    Gold - Where's the Risk?

    I’ve kept my eye off gold this year and boy have I missed a ride. The GLD ETF is up about 28% in 2016 which leaves most markets in the dust. Apparently #Gold is a trending topic today on Twitter as well. S0 even though the shiny metal is higher, is there any opportunity being anticipated for the rest of 2016? To get a feel for what the market thinks, I always consult option implied volatility. Luckily CBOE has the CBOE Gold ETF Volatility Index (GVZ) where I can get an idea if option[...]

  • Market News | Trader Talk | Trade Ideas | Jul 7, 2016, 4:37 PM

    Earnings Next Week - 7/11 - 7/15

    Earnings Next Week - 7/11 - 7/15

    Things start to get interesting as the early reporters give us results for the second quarter beginning next week.  As always the data below is based on the last three years of earnings results.  The columns show the biggest rally, biggest drop, average move, and what the stock did last quarter in reaction to earnings.  

  • Cboe Benchmark Indexes | Jul 7, 2016, 4:00 PM

    Enhanced Risk-Adjusted Returns with BXMD Index - Blog #4 on 30-Year Price History

    Enhanced Risk-Adjusted Returns with BXMD Index - Blog #4 on 30-Year Price History

    [This is the fourth in a series of nine blogs that are being published in early July at the CBOE Options Hub on nine CBOE benchmark indexes which have price histories that begin on June 30, 1986, more than three decades ago.] Over the past thirty-year time period (ending June 30) the CBOE S&P 500 30-Delta BuyWrite Index (BXMD) rose 1955%, with higher returns and lower volatility than the S&P 500®, MSCI EAFE®, and S&P GSCI indexes. Note in the line chart below that the BXMD index[...]

  • VIX | Jul 7, 2016, 2:54 PM

    VIX Roll-Over: Sigma Channels, Sentiment Readings & Order Flow Color

    VIX Roll-Over: Sigma Channels, Sentiment Readings & Order Flow Color

    Chart 1: VIX Sigma Channels Chart Worth noting is that VIX hit +3 sigma on Thursday before last in post-Brexit trading, creating the second spike in volatility for CY 2016.  While June lows of SPX are expected to be tested, the timing ideally should be a bit further out in late July, with spot VIX targeting 24 to 27 range, as this retest in volatility comes in about 4-5 weeks apart. Chart2: VIX Futures 3-mo. Spread Indicator     This 3-mo spread is favorite of[...]

  • Market News | Trader Talk | Trade Ideas | Jul 6, 2016, 2:02 PM

    Three Trades for #NationalFriedChickenDay

    Three Trades for #NationalFriedChickenDay

    Nothing gets the instructors at the Options Institute more excited than national holidays. Today’s event is National Fried Chicken Day which has us collectively getting together to determine how investors and traders can use the option market to trade America’s second favorite fried food. Peter Lusk suggested we take a look at Yum Brands (YUM) which owns his favorite fast food outlet Kentucky Fried Chicken or just KFC for the kids. Peter is often seen on the weekend heading home on his[...]

  • Cboe Benchmark Indexes | Jul 6, 2016, 12:05 PM

    In Today’s Market with Lower Yields on “Traditional” Investments -- Explore CBOE Benchmark Indexes

    In Today’s Market with Lower Yields on “Traditional” Investments -- Explore CBOE Benchmark Indexes

    A recent piece in the Wall Street Journal noted that – “The yield on the benchmark 10-year U.S. Treasury note fell to its lowest level ever Tuesday, a new milestone in a three-decade downward run that even veteran traders never thought would go so far or last so long. The yield closed below 1.4% for the first time … according to data going back to 1977. The question now is how low can they go. Investors buying Treasurys now are taking big risks, as prices of longer-term debt can[...]

  • VIX | Trader Talk | Trade Ideas | Jul 5, 2016, 4:49 PM

    Profiting from the Side Dishes

    Profiting from the Side Dishes

    If it sounded like I had a little trick up my sleeve upon hastily closing my last post with a promise of quick and interesting updates, here's a confession:  Yes, one typing hand closed the post while the other was closing my TVIX short (see detail below). Crown jewel of June 21st, an otherwise lackluster day Everyone who lived through it will agree that nothing in particular happened on June 21st, but somehow I got a little shaken up inside and decided it was a good idea to close[...]

  • Market News | Trade Ideas | Jul 5, 2016, 11:59 AM

    Earnings Week of 7/5/2016 - 7/8/2016

    Earnings Week of 7/5/2016 - 7/8/2016

    This is the last of the lull weeks with only two companies reporting earnings that have short dated options available for trading.  As always the data below is based on the last three years of earnings results.  The columns show the biggest rally, biggest drop, average move, and what the stock did last quarter in reaction to earnings.  

  • Cboe Benchmark Indexes | Jul 5, 2016, 11:31 AM

    Managing Downside Exposure with PPUT Index - Blog #3 on 30-Year Price History

    Managing Downside Exposure with PPUT Index - Blog #3 on 30-Year Price History

    [This is the third in a series of nine blogs to be published in early July at the CBOE Options Hub on nine CBOE benchmark indexes which have price histories that begin on June 30, 1986, more than three decades ago.] When a novice investor asks me to describe an options strategy, I often use an insurance analogy – millions of people buy insurance policies and pay premiums to insure their autos and homes against disasters, and equity options investors pay premiums to mitigate downside equity[...]