• Weekend Review - Russell 2000 Options and Volatility - 5/2 - 5/6

    Weekend Review - Russell 2000 Options and Volatility - 5/2 - 5/6

    Small cap stocks get so close and then seem to fall back when reaching unchanged on the year or catching up with the performance of large cap stocks. This week the Russell 2000 (RUT) dropped 1.44% while the large cap focused Russell 1000 (RUI) lost 0.49%. This places RUT in the red by 1.86% for 2016 while RUI is still up 0.55%. With the underperformance of small cap stocks last week came a relative rise in the CBOE Russell 2000 Volatility Index (RVX). The RVX / VIX premium began the[...]

  • Education | Futures | Strategy | May 6, 2016, 4:25 PM

    Rising Volatility on China?

    Rising Volatility on China?

    With the recent launch of cash-settled options on FTSE China 50 Mini-Index (Ticker: FXTM), traders have an opportunity to express a view on the Chinese market or movement in volatility is available. Based on 50 of the largest and most liquid Chinese stocks (H Shares, Red Chips, and P Chips) trading in Hong Kong, cash-settled options on the FTSE China 50 Mini-Index is now listed on CBOE. FTSE China 50 Index Price & Volatility FTSE China 50 Index price movement changes on a monthly basis is typically[...]

  • Market News | May 6, 2016, 1:48 PM

    The Weekly Options News Roundup – 5/6/2016

    The Weekly Options News Roundup – 5/6/2016

    The Weekly News Roundup is your weekly recap of CBOE features, options industry news and VIX and volatility-related articles from print, broadcast, online and social media outlets. London Calling As a result of inroads made by CBOE’s business development team throughout Europe, CBOE plans to open an office in London this July.     This will be the first international business development base the exchange has established outside the U.S., paving the way for an increased[...]

  • VIX | Futures | May 6, 2016, 10:30 AM

    Record Volume in April for SPX Wednesday-Expiring Weeklys Options

    Record Volume in April for SPX Wednesday-Expiring Weeklys Options

    In February CBOE launched S&P 500® Index (SPX) Wednesday-expiring WeeklysSM options. Last month the average daily volume for the "Wednesday Weeklys" rose to a record high of 72,957 contracts. In the February press release CBOE Holdings CEO Edward T. Tilly said – "We are pleased to further expand our SPX product complex with the introduction of SPX Weeklys with Wednesday expirations. Wednesday Weeklys, in addition to end-of-the-week expirations, will increase opportunities[...]

  • Market News | VIX | Trader Talk | May 5, 2016, 3:25 PM

    Non-Farm Payrolls, VIX, and the Fed Ahead!

    Non-Farm Payrolls, VIX, and the Fed Ahead!

    The monthly Employment Situation, or Non-Farm Payroll data will be released before the market opens tomorrow (5/6). This tends to be a market moving event, and given the “data dependency” of the Federal Reserve Open Market Committee (FOMC) and Chair Yellen’s emphasis on the health of the labor market, these are particularly meaningful data points. According to Reuters, the consensus analyst expectation calls for a net addition of 202,000 jobs in April. The unemployment rate likely[...]

  • Market News | Trader Talk | Trade Ideas | May 4, 2016, 9:28 PM

    Earnings Next Week - 5/9 - 5/13

    Earnings Next Week - 5/9 - 5/13

    The earnings calendar continues to offer several opportunities to trade around announcements next week.  As always the data below is based on the last three years of earnings results, unless the data is in italics.  In those cases less than three years worth of history is available.  The columns show the biggest rally, biggest drop, average move, and what the stock did last quarter in reaction to earnings.   As always, dates are as of the date of publication and are subject to[...]

  • Market News | Education | May 3, 2016, 10:51 AM

    Morningstar Places Dozens of Funds in New “Option Writing” Category

    Morningstar Places Dozens of Funds in New “Option Writing” Category

    In a key development during the past week, Morningstar placed dozens of mutual funds in its new Option Writing category in its U.S Retail Category system. LESS VOLATILITY FOR BENCHMARK INDEXES THAT WRITE SPX OPTIONS Morningstar’s Category Index for the new Option Writing category is the CBOE S&P 500 BuyWrite Index (BXM). There are some people who still wonder if use of options usually adds to volatility, and if option writing strategies always have lower returns than equity indexes[...]

  • Market News | Technical Analysis & Charts | VIX | Futures | May 2, 2016, 10:21 AM

    Weekly Market Outlook - Is The Market Rolling Over?

    Weekly Market Outlook - Is The Market Rolling Over?

    Following through on the budding bearish effort from two weeks ago, the bears fended off a bullish bounce-back effort over the course of the first half of last week. It wasn't meant to be, however. Between Thursday's and Friday's high-volume selling, the S&P 500 (SPX) (SPY) booked a 1.2% loss last week, and broke below some key support levels in the process. If history is any indication, this stumble may well be the beginning of a more serious pullback. We'll dissect the rollover effort[...]

  • Technical Analysis & Charts | May 2, 2016, 9:28 AM

    2016 SPX 500 Chart Has Similar Pattern as 2008

    2016 SPX 500 Chart Has Similar Pattern as 2008

    We often look at charts to find recognizable and repeatable patterns, hoping to take notice of a previous move that may have a high probability of happening again.  In the universe of technical analysis, there are a plethora of technical patterns with setups for both bullish and bearish plays.  You can find a nice sampling of those below.  But the important takeaway from the analysis is to have an open mind without bias, identify a pattern and which way is most 'likely' and play it[...]

  • Market News | Trader Talk | Trade Ideas | May 1, 2016, 12:47 PM

    Weekend Review - VIX Options and Futures - 4/25 - 4/29

    Weekend Review - VIX Options and Futures - 4/25 - 4/29

    With the drop in the S&P 500 last week VIX rallied almost 20%. Contango was pretty steep going into the week so the front month May future gained just over 4% as the index played some catch up with the futures contract. The generic curve I create with the front five weeks of futures managed to shift higher, but also remain in a pretty steep angle. We have less than a year of data to work with, but so far flat is the most common shape for this curve. Only for the last few[...]

  • Market News | Trader Talk | Futures | Trade Ideas | May 1, 2016, 11:30 AM

    Weekend Review - Volatility Indexes and ETPs - 4/25 - 4/29

    Weekend Review - Volatility Indexes and ETPs - 4/25 - 4/29

    The weakness in the S&P 500 last week, although not really dramatic, did result in pretty big moves out of the four S&P 500 related volatility indexes. They were coming off pretty low levels which attributes to the large moves, at least on a percentage basis. The curve remains steep, which indicates the market remains concerned about whether stocks can move to the upside this year. On the table below VVIX continues to stand out finishing the week over 90.00. Two weeks ago TYVIX[...]

  • Market News | VIX | Trader Talk | Trade Ideas | May 1, 2016, 9:24 AM

    Weekend Review - Russell 2000 Index and Volatility - 4/25 - 4/29

    Weekend Review - Russell 2000 Index and Volatility - 4/25 - 4/29

    Stocks had a tough week and the Russell 2000 (RUT) was down 1.4% on the week and took the small cap benchmark from positive to negative territory for 2016. Large cap stocks held up a bit better with the Russell 1000 (RUI) losing 1.26% and the large cap benchmark remains positive on the year by just over 1%. Even though RUT underperformed a bit, the CBOE Russell 2000 Volatility Index (RVX) premium to VIX dropped a bit and both volatility indexes climbed last week.  The RVX / VIX[...]

  • Market News | Education | Apr 29, 2016, 3:35 PM

    The Weekly Options News Roundup – 4/29/2016

    The Weekly Options News Roundup – 4/29/2016

    The Weekly News Roundup is your weekly recap of CBOE features, options industry news and VIX and volatility-related articles from print, broadcast, online and social media outlets. CBOE Livevol Aims to Be a “Data Amazon” CBOE announced Thursday it has launched a new website, CBOE Livevol Data Shop, offering clients a full suite of uniquely customizable market data.  With the new Data Shop website, clients no longer have to purchase data or subscribe to data sets on a one-size-fits-all[...]

  • Market News | Education | Apr 29, 2016, 9:15 AM

    CBOE LIVEVOL LAUNCHES NEW DATA SHOP WEBSITE

    CBOE LIVEVOL LAUNCHES NEW DATA SHOP WEBSITE

    The Chicago Board Options Exchange® (CBOE®) today announced that it has launched a new website, CBOE Livevol Data Shop, which offers clients a full suite of uniquely customizable market data sets. The new CBOE Livevol Data Shop, available at datashop.cboe.com, provides users with direct and immediate access to a comprehensive set of market intelligence for options, equities, indexes and exchange-traded funds (ETFs). The user-friendly website provides access to detailed calculations, including[...]

  • Trader Talk | Trade Ideas | Apr 28, 2016, 10:40 AM

    Earnings Next Week - 5/2 - 5/6

    Earnings Next Week - 5/2 - 5/6

    We still have a pretty heavy earnings calendar going into next week.  With a couple of exceptions (tickers in italics) these are 3 year numbers representing the first day stock price reaction after the announcement.