• Technical Analysis & Charts | VIX | Futures | Strategy | Jul 5, 2016, 9:40 AM

    BigTrends.com Weekly Market Outlook - Will The Post-Brexit Rally Continue?

    BigTrends.com Weekly Market Outlook - Will The Post-Brexit Rally Continue?

    Despite the horrific start on Monday, the bulls were decidedly in charge over the course of the last four days of last week, setting up a weekly gain of 5.1% for the S&P 500 (SPX) (SPY). The index is almost back to where it was before the Brexit vote shocked the world... for better or worse. To that end, it's interesting (though not entirely surprising) that the rally started to slow on Friday. Perhaps it was just a small wave of profit-taking in front of a long weekend. Or, perhaps the market[...]

  • VIX | Education | Jul 5, 2016, 9:13 AM

    Gaps and Volatility: Will it Be a 'V' or a 'W'?

    Gaps and Volatility: Will it Be a 'V' or a 'W'?

    Since the middle of June we have seen some remarkable market action. What started out with a rather shallow dip morphed into a near-catastrophic drop following the Brexit decision toward the end of the month, leaving many to wonder if they should have followed the 'sell in May and go Away' advice from the prior month. Volatility started to kick up mid-month as the Brexit vote came closer, in fact European markets reacted far more negatively leading up to the vote with the VSTOXX term structure showing[...]

  • Market News | Jul 4, 2016, 6:58 AM

    Weekend Review - Volatility Indexes and ETPs - 6/24 - 7/1

    Weekend Review - Volatility Indexes and ETPs - 6/24 - 7/1

    In hindsight volatility definitely overshot to the upside in response to Brexit and the price action on Monday where VIX and the S&P 500 both moved lower together was a sign of things to come last week. The 42.66% drop in VIX was the biggest week over week drop on record (going back to 1990). The whole VXST – VIX – VXV – VXMT underwent a shift from one extreme to the other last week. SKEW put in an all-time high and then backed off to more normal levels. TYVIX also[...]

  • Market News | VIX | Trader Talk | Futures | Strategy | Trade Ideas | Jul 3, 2016, 9:20 AM

    Weekend Review - VIX Futures and Options - 6/27 - 7/1

    Weekend Review - VIX Futures and Options - 6/27 - 7/1

    The curve below is what happens when you have the biggest week over week drop for VIX on record. The 42% loss in VIX shattered the previous largest drop of 36.53% which occurred in the last week of 2012. Not so coincidentally both were weeks before a three-day weekend. Late Monday, with the July VIX Futures at 23.70 and spot VIX at 23.85 someone came in taking a long position in the VIX Jul 20th 22 Puts paying 2.75. The payoff at July settlement appears below, but by the end of the week[...]

  • Market News | VIX | Trader Talk | Trade Ideas | Jul 2, 2016, 7:42 PM

    Weekend Review - Russell 2000 Options and Volatility - 6/27 - 7/1

    Weekend Review - Russell 2000 Options and Volatility - 6/27 - 7/1

    Small cap stocks, in the form of the Russell 2000 Index (RUT) were up 2.51% last week, which was a nice rebound from the previous week’s reaction to Brexit vote. However, large cap stocks rebounded by a wider margin with the Russell 1000 (RUI) gaining 3.10%. Both benchmark indexes are higher for 2016 but RUI is had a 1.01% lead on RUT (2.85% vs. 1.84%). VIX experienced the biggest weekly drop on record losing just over 42%. The chart below is just as dramatic, but in the other[...]

  • Market News | Strategy | Cboe Benchmark Indexes | Jul 1, 2016, 3:02 PM

    Less Left-Tail Risk for BFLY Index - Blog #2 on 30-Year Price History

    Less Left-Tail Risk for BFLY Index - Blog #2 on 30-Year Price History

    This is the second 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, three decades ago.] Over the past three decades the CBOE S&P 500 Iron Butterfly Index (BFLY) demonstrated the ability to help manage drawdowns and left tail risk. The BFLY Index is designed to track the performance of a hypothetical option trading strategy that 1) sells a rolling monthly at-the-money (ATM) S&P[...]

  • Market News | Cboe Benchmark Indexes | Jul 1, 2016, 12:58 PM

    Strong Risk-Adjusted Returns for PUT Index – Blog #1 on 30-Year Price History

    Strong Risk-Adjusted Returns for PUT Index – Blog #1 on 30-Year Price History

    [This is the first 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, three decades ago.] The CBOE S&P 500 PutWrite Index (PUT) – is an award-winning benchmark index for a strategy that has grown in popularity over the past decade; arguably is the world’s best-known and leading gauge of the cash-secured put-writing strategy; has facilitated increased use of cash-secured[...]

  • Market News | VIX | Trader Talk | Futures | Strategy | Jun 30, 2016, 6:04 PM

    First Half of 2016 Confirms a Higher Volatility Regime

    First Half of 2016 Confirms a Higher Volatility Regime

    We are already half way done with 2016 and it appears what we thought going into the year is being confirmed by SPX implied volatility. If the Fall of 2015 there was lots of chatter about the equity markets in the US shifting from a low to a high volatility regime. The low volatility regime had been in place for several years and the first signal of a change came back in late August 2015 when VIX topped 50 intraday for the first time since the great financial crisis. I have two favorite charts[...]

  • Education | Jun 30, 2016, 4:43 PM

    Mid-Year Update on Volatility Indexes, and Thirty Years of Price History for Benchmark Indexes

    Mid-Year Update on Volatility Indexes, and Thirty Years of Price History for Benchmark Indexes

    Here are mid-year updates on benchmark indexes and volatility indexes at CBOE – (1) Nine CBOE benchmark indexes all have had less volatility than key stock indexes over the last three decades; (2) The highest daily closing values for select volatility indexes so far this year were 28.14 on Feb. 11 for the VIX Index, and 125.13 on June 24 for the VVIX Index. The CBOE/CME FX British Pound Volatility Index (BPVIX) rose prior to the Brexit referendum, and its daily closing values had a big range[...]

  • Market News | Jun 29, 2016, 2:49 PM

    A Little Perspective on Yesterday's Record High SKEW

    A Little Perspective on Yesterday's Record High SKEW

    We have data for the CBOE SKEW Index (SKEW) going back to the first trading day in 1990. Yesterday, SKEW finished the day at the highest level over this period closing at 153.66. The chart below shows the annual high low and average by year going back to 1990. That highest green dot is yesterday’s close. So exactly what does that mean? In simple terms it means the relative implied volatility for SPX out of the money puts is elevated when compared to near at the money puts. SKEW[...]

  • Market News | Jun 29, 2016, 2:42 PM

    CBOE SKEW Index Rose to 153.66 on June 28, Its All-Time High

    CBOE SKEW Index Rose to 153.66 on June 28, Its All-Time High

    On June 28 the CBOE SKEW Index rose to 153.66, the all-time high for its price history that began in January 1990. Here are the relatively high values for the CBOE SKEW Index in recent days -- 15-Jun                   140.91 16-Jun                   142.50 17-Jun                   137.94 20-Jun               [...]

  • Education | Jun 29, 2016, 1:14 PM

    CBOE RMC Europe Keynote Address Speaker Announced

    CBOE RMC Europe Keynote Address Speaker Announced

    Independence Day is just around the corner which means I’m starting to look forward to my Fall travel schedule. Two of the things I get to do (I say this as I consider it a great perk of my job) is attend CBOE’s Risk Management conferences in Europe and Asia. The European version is scheduled for September 26 – 28 when we return to the Powerscourt Hotel in County Wicklow outside of Dublin Ireland. Today I learned that the keynote speaker will be Jim VandeHei who was a co-founder[...]

  • Market News | Jun 28, 2016, 11:06 AM

    Did Social Media Sentiment Regarding the Pound Predict Brexit?

    Did Social Media Sentiment Regarding the Pound Predict Brexit?

    One commentator described the Brexit process was described as entering uncharted territory over the weekend. The same could be said for gauging social media sentiment. Our friends at Social Market Analytics continue to take a look at data that may have been a predictor of an outcome that the pollsters and bookies got very wrong. I received a couple of charts this morning and one completely stands out. Below is a chart of the sentiment with respect to the British Pound versus the US Dollar[...]

  • Market News | VIX | Trader Talk | Education | Trade Ideas | Jun 28, 2016, 9:19 AM

    How Did the Brexit Timeline Affect Volatility?

    How Did the Brexit Timeline Affect Volatility?

    Editors note - the following blog was put together by a team of interns from CBOE.  Nicholas Ghilardi will be a Junior at the University of Illinois in Urbana-Champaign and is majoring in Engineering Physics with a minor in Mathematics. Gillian Hood will be Junior at Vanderbilt University and is majoring in Economics with minors in Corporate Strategy and Finance. Noah Silverman will be a Sophomore at Washington University in St. Louis and is majoring in Finance.  Last Thursday,[...]

  • Technical Analysis & Charts | VIX | Futures | Jun 27, 2016, 12:34 PM

    Weekly Market Outlook - Where Things Stand After Brexit

    Weekly Market Outlook - Where Things Stand After Brexit

    Through Thursday, not only was the market's action palatable, it was downright bullish. Investors were increasingly confident the Brexit wouldn't happen. Big mistake. When traders realized the "leave" crowd just edged out the "remain" crowd, it pulled the rug out from underneath the bullishness. When all was said and done, Friday's 3.6% plunge from the S&P 500 (SPX) (SPY) translated into a loss of 1.6% for the week. Now what? Good question. Perhaps the one-day drubbing[...]