• VIX | Education | Sep 12, 2016, 10:00 AM

    Market Volatility Does Live

    Market Volatility Does Live

    With respect to the old Christmas folklore story, 'Yes Virginia, there is Volatility'.  The massive move this past Friday was not telegraphed, but then the first big move down hardly ever is.  Nobody rings a bell at the top, nor at the bottom.  Navigating the markets without the proper instruments becomes a very dicey proposition, and certainly with the right tools there is no guarantee of success, certainly with the timing. For instance, the overbought sentiment has been frothy for[...]

  • Market News | Sep 11, 2016, 3:08 PM

    Weekend Review - Russell 2000 Options and Volatility - 9/5 - 9/9

    Weekend Review - Russell 2000 Options and Volatility - 9/5 - 9/9

    Stocks across the board had a tough week (or Friday) with both the Russell 2000 (RUT) and Russell 1000 (RUI) losing value.  Friday was especially tough on RUT with the small cap benchmark losing 3.3% while RUI was down 2.5%.  For the week RUT lost 2.8% while RUI was down 2.5% for the first ‘win’ by the large cap index in a few weeks.  For the year RUT is still in the lead, up 7.34% while RUI is now up 4.24% for 2016. In the volatility space the gap between[...]

  • Market News | Sep 11, 2016, 1:00 PM

    The Weekly Options News Roundup – 9/11/2016

    The Weekly Options News Roundup – 9/11/2016

    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. Portfolio Buffer This week, CBOE Vest announced it launched the CBOE Vest S&P 500 Buffer Protect Strategy Fund (BUIGX), the first mutual fund designed to provide investors with index-based buffer protection.  The fund follows the CBOE S&P 500 Buffer Protection Index Balanced Series, providing a risk[...]

  • Market News | VIX | Trader Talk | Trade Ideas | Sep 10, 2016, 2:17 PM

    Weekend Review - Volatility Indexes and ETPs - 9/5 - 9/9

    Weekend Review - Volatility Indexes and ETPs - 9/5 - 9/9

    VXST more than doubled as a function of the index being depressed in front of the three-day weekend and then in reaction to Friday’s SPX sell off.  As would be expected, the rest of the VXST-VIX-VXV-VXMT curve moved higher as well, but outside of VXST relative to VIX we are still in a state of contango. The 2.39% drop in the S&P 500 all came from Friday’s price action as did just about everything else on the table below.  Note that VXX rose 11% and UVXY gained[...]

  • Market News | VIX | Trader Talk | Trade Ideas | Sep 10, 2016, 9:30 AM

    Weekend Review - VIX Options and Futures - 9/5 - 9/9

    Weekend Review - VIX Options and Futures - 9/5 - 9/9

    The streak of SPX doldrums came to an end on Friday with the orderly drop of over 50 points for which resulted in VIX rising to 17.50.  Everything worth noting happened on Friday which may have added to the angst that resulted in the S&P 500 closing near the daily lows and VIX closing near the daily highs. Early Friday when VIX was at 13.93 and the big move was just getting started there was a split strike trade that came into the pit.  With the October future at 16.35[...]

  • Market News | Sep 9, 2016, 4:15 PM

    Emerging & European Equity Performance since Brexit

    Emerging & European Equity Performance since Brexit

    By: Richard Rosenthal - CBOE Director, Business Development Investor interest has been growing in the European and Emerging equity markets as evidenced by significant rallies in some of the major indexes, particularly the FTSE 100 and FTSE China 50. Comparing the performances of the offshore equity markets to the U.S., the outperformance has been impressive since the results of the Brexit announcement on June 24th.   The S&P 500 has rallied +6.6% compared to FTSE 100 +10.5% and FTSE[...]

  • Technical Analysis & Charts | VIX | Futures | Strategy | Sep 6, 2016, 9:43 AM

    BigTrends.com Weekly Market Outlook - Two Month Range Continues

    BigTrends.com Weekly Market Outlook - Two Month Range Continues

    Despite a couple of scares, stocks ended last week intact, and even up just a bit thanks to Friday's gain. On the other hand, last week's action still left the S&P 500 (SPX) (SPY) along with the other indices overvalued and overbought. Whether or not that matters remains to be seen, though it's interesting that the bears had more than ample opportunity to push the market over the cliff -- but they just never did it. All the same, the first full week of the worst month of the year for stocks[...]

  • Market News | Sep 6, 2016, 9:07 AM

    Worry + Price Action = New Market Highs

    Worry + Price Action = New Market Highs

    The most hated rally of all time.  That is what I've been hearing of late, and no wonder so many are frustrated by missing out on the upside when the 'wall of worry' is up.  When doubt creeps in so does courage or boldness, as the market moves without the majority of the crowd.  Yet, it seems every bull rally is hated due to this same reason.  When the wall of worry is showing, 'high price' warnings come out almost daily then markets will defy the consensus. Of course, it cuts[...]

  • Market News | VIX | Trader Talk | Trade Ideas | Sep 5, 2016, 8:40 AM

    Weekend Review - Russell 2000 Options and Volatility - 8/29 - 9/2

    Weekend Review - Russell 2000 Options and Volatility - 8/29 - 9/2

    I went to the horse track for the first time in about a decade just before writing this blog.  In one race, a horse (not mine of course) steadily pulled away into the finish of a race.  That’s sort of what is happening with the Russell 2000 (RUT) performance relative to the large cap focused Russell 1000 (RUI). RUT gained almost twice as much at RUI last week (1.19% versus 0.62%).  This places RUT up 10.21% for 2016 and RUI up only 6.81%. VIX finished the week under[...]

  • Market News | VIX | Trader Talk | Trade Ideas | Sep 4, 2016, 11:40 AM

    Weekend Review - Volatility Indexes and ETPs - 8/29 - 9/2

    Weekend Review - Volatility Indexes and ETPs - 8/29 - 9/2

    The VXST – VIX – VXV – VXMT curve does what it normally does on a pre three-day weekend week and got steeper.  It’s been a while since I ran the numbers but I’m fairly certain VXST almost always drops before a holiday weekend and then rebounds when we all return to work refreshed and ready to trade. SKEW below 130 was the first thing that stood out to me on the table below.  A quick check and I saw that it had been consistently higher than 130[...]

  • VIX | Trader Talk | Trade Ideas | Sep 3, 2016, 10:31 AM

    Weekend Review - VIX Futures and Options - 8/29 - 9/2

    Weekend Review - VIX Futures and Options - 8/29 - 9/2

    VIX finished the week just under 12.  We can attribute this to a combination of the equity market being pleased by Friday’s August Non-Farm Payroll report along with the three-day weekend effect.  Note the September futures, which settle on the 21st moved lower, but held up a bit relative to spot VIX.  This is common regardless of the directional move out of the index, but is accentuated whenever we have a long weekend. Despite there only being one trading day (and[...]

  • Market News | Sep 2, 2016, 1:54 PM

    The Weekly Options News Roundup – 9/2/2016

    The Weekly Options News Roundup – 9/2/2016

    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 To Global Students from Northwestern University’s Kellogg School of Management Global Executive MBA Network visited CBOE on Wednesday.  The group, which included international students and alum from Beijing, Hong Kong, Tel Aviv, Toronto and Germany, as well as the U.S., toured the trading floor[...]

  • Market News | Trader Talk | Trade Ideas | Aug 31, 2016, 6:57 PM

    Earnings Next Week - 9/6 - 9/9

    Earnings Next Week - 9/6 - 9/9

    Due to the short week we only have three stocks with Weeklys available for trading reporting earnings.  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 | VIX | Futures | Aug 31, 2016, 4:21 PM

    Sept. 22 Webinar - Institutional Investors and Case Studies on Use of the VIX

    Sept. 22 Webinar - Institutional Investors and Case Studies on Use of the VIX

    On Thursday, September 22 at 2:00 p.m. E.T., S&P Dow Jones Indices and CBOE will co-host a complimentary webinar for financial professionals on the topic of -- How are Institutional Investors Using the VIX®?  Financial professionals who wish to register and see more information are welcome to visit this link -- http://bit.ly/VIX-Sep22. Featured institutional investor speakers will be: (1) John Burkhartzmeyer, State of Wisconsin Investment Board (SWIB); (2) Scott Maidel, CFA, CAIA,[...]

  • VIX | Trader Talk | Trade Ideas | Aug 30, 2016, 7:45 AM

    See a Profit, Pick it Up

    See a Profit, Pick it Up

    She sells short shares down by the SVXY shore... Or something like that goes the nursery rhyme.  But does she buy calls to go with those shares?  Probably not. Here's why I did it: I wanted a chance to benefit from the SVXY downside I envisioned without worrying excessively about the potential penalty for being significantly unfortunate in my timing/prediction.  So, feeling confident that my dream of SVXY put through the macerator would come true, I decided on a price I'd be willing[...]