• VIX | Futures | Jun 24, 2016, 10:46 AM

    14 Volatility Indexes (including VXEFA, JYVIX & VIX®) Rise by More Than 10% Friday Morning

    14 Volatility Indexes (including VXEFA, JYVIX & VIX®) Rise by More Than 10% Friday Morning

    After the news of the results on the Brexit referendum were disclosed, implied volatility for many key securities worldwide rose, and the values of 14 volatility indexes at CBOE – (tickers: VXEFA, JYVIX, EVZ, VXO, VIX®, VXN, VXGS, VXXLE, VXD, EUVIX, VXIBM, VXST, VXGOG, and RVX) – rose by more than 10% by 9 am CT on Friday, June 23. To see updates on price movements for 29 volatility indexes, visit www.cboe.com/volatility. FUTURES ON VIX® INDEX Reported trading volume in VIX[...]

  • Market News | VIX | Futures | Jun 24, 2016, 7:00 AM

    Checking in on the VIX Overnight Action

    Checking in on the VIX Overnight Action

    Things are moving faster than I can type this morning, but here’s a quick update and some perspective on the overnight VIX action in response to Britain voting to exit the EU. Global stock futures are lower and we all know that results in higher volatility. The curve made a pretty dramatic shift with VIX rising over 40%. The table above only shows the monthly contracts, but it is worth noting that the VIX Weekly Futures contract expiring next Wednesday was up about 40% to 22.50 when I last[...]

  • Market News | Jun 22, 2016, 2:35 PM

    A Final Look at #Brexit from Social Market Analytics

    A Final Look at #Brexit from Social Market Analytics

    This morning our friends at Social Market Analytics offered up a final look at the twitter chatter with respect to the vote in Britain tomorrow that will determined the country’s fate with respect to EU membership. The hashtag #Brexit was mentioned 139,758 times in the 24-hour period ending this morning. The chart below shows how often other hastags were combined with #Brexit. #voteleave and #leaveeu were mentioned 33,751 times in conjunction with #brexit. Hashtags that indicate a preference[...]

  • VIX | Trader Talk | Strategy | Trade Ideas | Jun 22, 2016, 1:53 PM

    Taking Apples from Somewhere Near the Top of the Tree

    Taking Apples from Somewhere Near the Top of the Tree

    The best way to tell a story (well, maybe not always) is to tell it in the order in which it happened. In this case, I'll start where I left off, and that means to describe the mystery position I took at the end of the last post. I made mention of it, but did not divulge it. It turns out I opened and closed that position all on the same day, so that by the time my last article went to press, it was already in the can. Here's the rundown for my June 3rd open/shut: Pictorial illustration of the entry[...]

  • Technical Analysis & Charts | VIX | Futures | Strategy | Jun 20, 2016, 1:24 PM

    Weekly Market Outlook - Will Support Hold?

    Weekly Market Outlook - Will Support Hold?

    The bulls did everything they could to get the rally back on track last week after the early breakdown. But, it just wasn't meant to be. Once the S&P 500 (SPX) (SPY) fell under the 50-day moving average line on Wednesday, the index -- despite trying -- just couldn't climb back above it. When all was said and done, the market lost 1.18% of its value last week. Still, stocks have a few rabbits they could pull out of a hat and move higher rather than losing any more ground. And, even if they[...]

  • Market News | Trader Talk | Strategy | Jun 20, 2016, 10:55 AM

    Jobs Report Shocks the Federal Reserve into Submission

    Jobs Report Shocks the Federal Reserve into Submission

    There is no doubt the Federal Reserve committee dialed it back significantly from the recent 'rate hike' rhetoric we have been hearing about lately.  It was only a month ago we heard most of the Fed Governors boldly claim a rate hike was coming and probably sooner than everyone believed. However, they presented a mixed picture of the economy, seeing some growth areas but weakness in others. This from their recent statement:  Information received since the Federal Open Market Committee met[...]

  • Market News | VIX | Trader Talk | Trade Ideas | Jun 19, 2016, 10:48 AM

    Weekend Review - Russell 2000 Options and Volatility - 6/13 - 6/17

    Weekend Review - Russell 2000 Options and Volatility - 6/13 - 6/17

    Despite global concerns dominating the market chatter last week, large cap stocks outperformed small cap stocks. Both were lower as the Russell 1000 (RUI) lost 1.16% while the Russell 2000 (RUT) gave up 1.65%. RUI widened the lead on RUT and is now up 1.33% for 2016 while RUT is still higher, but by only 0.78%. The CBOE Russell 2000 Volatility Index (RVX) rose last week, but not nearly as much as the gains we saw from VIX. As global concerns entered the marketplace, the RVX[...]

  • Weekend Review - Volatility Indexes and ETPs - 6/13 - 6/17

    Weekend Review - Volatility Indexes and ETPs - 6/13 - 6/17

    The VXST – VIX – VXV – VXMT curve moved from contango to an unusual shape this past week. Lots of things point to the markets being concerned about next week’s ‘should I stay or should I go’ vote in Britain. VXST represents short term SPX option volatility and the options that expire just after the vote are feeding that calculation.  I’m going to say results in VXST finishing the week at such an elevated level last week have a little to do with Brexit. With[...]

  • Market News | VIX | Trader Talk | Futures | Strategy | Trade Ideas | Jun 17, 2016, 11:00 PM

    Weekend Review - VIX Futures and Options - 6/13 - 6/17

    Weekend Review - VIX Futures and Options - 6/13 - 6/17

    I’ve been around long enough to remember when the time in the markets between Memorial Day and Labor Day were quiet enough for traders to spend several afternoons at Wrigley field without feeling they were missing anything. This past week no one could have gotten away with playing hooky. As the stock market came under pressure, VIX climbed to the highest levels we have seen since February. Everyone is focused on Brexit as the ‘reason’ for the markets to be doing what they are doing.[...]

  • Market News | VIX | Jun 17, 2016, 2:01 PM

    The Weekly Options News Roundup – 6/17/2016

    The Weekly Options News Roundup – 6/17/2016

    Social Powers That Be On Tuesday, CBOE announced it plans to develop a series of social media-based strategy benchmark indexes using Social Market Analytics’ (SMA) state-of-the-art analytics. SMA chief executive officer Joseph A Gits IV, commented:  “CBOE is an unrivaled product innovator and a leader in the index space and SMA is a leader in providing actionable social media metrics.  We look forward to working with CBOE to create these first-of-their-kind indexes.”  For[...]

  • Market News | Trader Talk | Futures | Trade Ideas | Jun 16, 2016, 6:18 PM

    A Quick Look at Options versus Futures

    A Quick Look at Options versus Futures

    When short dated options were introduced on stocks and ETFs I made an assumption. We all know assumptions may be wrong, and that is the case here. I thought the major use of short dated options would be to take advantage of at the money time decay.   I was actually half wrong as we do see option short sellers come into the market place fairly frequently when expiration is approaching. The use I did not foresee involves using a short dated options as a substitute for a futures trade. A few[...]

  • Market News | Trader Talk | Trade Ideas | Jun 15, 2016, 7:17 PM

    Earnings Next Week - 6/20 - 6/24

    Earnings Next Week - 6/20 - 6/24

    It is a very quiet week for earnings enthusiasts as only four companies with short dated options will be reporting earnings.  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.  

  • Market News | Education | Futures | Jun 15, 2016, 3:28 PM

    SPXW Wednesday-Expiring Weekly Options Volume Grows to More Than 100,000 Per Day

    SPXW Wednesday-Expiring Weekly Options Volume Grows to More Than 100,000 Per Day

    On February 23, 2016, CBOE launched trading of weekly options on the S&P 500® Index which expire on Wednesdays. The average daily volume for SPXW Wednesday-Expiring Weekly Options grew from 74,114 in May, to 105,768 so far this month (through June 14). POTENTIAL BENEFITS – PRESS RELEASE CBOE’s February press release noted – "We are pleased to further expand our SPX product complex with the introduction of SPX Weeklys with Wednesday expirations," said CBOE Holdings[...]

  • Market News | Trader Talk | Education | Jun 14, 2016, 8:00 PM

    The Smooth Process Known as Russell Reconstitution

    The Smooth Process Known as Russell Reconstitution

    June means a lot of different things to different people. For my kids it’s get out of school time. For my wife it’s how long until my kids go back to school time. For me it is Russell Reconstitution time. Before joining CBOE I would monitor the reconstitution process and try to trade around stocks that were going to be added or deleted from the Russell 2000. Now as an employee of CBOE I monitor the process since we are home for options trading on many FTSE Russell Indexes. Four of those[...]

  • Market News | Trader Talk | Trade Ideas | Jun 13, 2016, 11:10 AM

    #Brexit Update from Social Market Analytics

    #Brexit Update from Social Market Analytics

    Over the weekend I noticed the headlines regarding Brexit.  It appears the polls are starting to point to a shift in sentiment with respect to Britain exiting the EU. Those leaning toward leaving seem to slightly outnumber those who consider staying in the EU a good idea. To see how the situation looks from a social media standpoint I asked the guys at Social Market Analytics for a quick update. This first graph shows that over the last 24 hours 213,595 tweets have included the hashtag[...]