• Morning Call | Jul 31, 2017, 7:18 AM

    CBOE Morning Call 7/31/2017

    CBOE Morning Call 7/31/2017

    Big Picture There are over a hundred stocks with Weeklys reporting this week in what is probably the heaviest portion of the earnings calendar.  All eyes will be on AAPL’s report tomorrow after the close which as well as financials will probably give us some insight into product launches coming in the next few months.  The economic calendar is heavier this week than last week with Personal Income and ISM tomorrow, the ADP employment number Wednesday, Factory Orders and Services[...]

  • Jul 30, 2017, 9:09 AM

    The Weekly Options News Roundup – 7/30/2017

    The Weekly Options News Roundup – 7/30/2017

    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.      Mini’s Large Move Volume in CBOE’s Mini-SPX (XSP) options has risen about 140% since February, with average daily volume growing from 7,765 contracts in February to 21,981 in July (through July 26).  To read more on the growth of mini S&P 500 contracts, see this recent blog[...]

  • Market News | Trader Talk | Trade Ideas | Jul 29, 2017, 11:36 AM

    Weekend Review of Russell 2000 Options and Volatility 7/24/2017 - 7/28/2017

    Weekend Review of Russell 2000 Options and Volatility 7/24/2017 - 7/28/2017

    Large cap stocks held up better than small caps last week and the Russell 1000 (RUI) is now outperforming the Russell 2000 (RUT) by just about 1.00% for the third quarter.  I had high hopes for small cap stocks in the second half of 2017, but those hopes are starting to fade.   The CBOE Russell 2000 (RVX) premium to VIX topped 50% for the first time since early June.  My excuse for the higher RVX to VIX relationship has been blamed on VIX, but with VIX rising a bit next week I have[...]

  • VIX | Trader Talk | Trade Ideas | Jul 29, 2017, 11:32 AM

    Weekend Review of Volatility Indexes and ETPs 7/24/2017 to 7/28/2017

    Weekend Review of Volatility Indexes and ETPs 7/24/2017 to 7/28/2017

    On a week over week basis the S&P 500 was down fractionally.  One would not assume such a small move from SPX when looking at the VXST – VIX – VXV – VXMT curve below.  VXST and VIX made nice moves to the upside while the longer end of the curve moved up a bit less resulting in a slight flattening of the curve.  The long funds that focus on the first and second month futures were up slightly while the short funds were down slightly.  SKEW and VVIX both[...]

  • VIX | Trader Talk | Trade Ideas | Jul 29, 2017, 9:11 AM

    Weekend Review of VIX Futures and Options 7/24/2017 - 7/28/2017

    Weekend Review of VIX Futures and Options 7/24/2017 - 7/28/2017

    This past week is one of those weeks where those new to VIX futures get a lesson in price behavior and the lack of fair value that exists between the futures and the spot index.  VIX rose almost 10% on the week, the August contract was unchanged and the rest of the curve actually moved lower.  The curve had been steep and the result was futures not budging too much when VIX got moving to the upside.  As we enter the last five months of the year I would like to highlight where we[...]

  • Morning Call | Jul 28, 2017, 8:12 AM

    CBOE Morning Call 7/28/17

    CBOE Morning Call 7/28/17

    Big Picture Earnings continue to be skewed to the positive side as far as stock price reactions go, although the stock market seems to taking a breather.  JP Morgan followed Goldman Sachs’ lead and said some nasty things about tech stocks which hit the Nasdaq particularly hard yesterday and took other sectors down with it.  VXN (think Nasdaq VIX) was up much more than the other broad-based equity volatility indexes.  Needless to say, traders will probably focus on large tech[...]

  • Jul 27, 2017, 3:28 PM

    Amazon Earnings Delivered Tonight

    Amazon Earnings Delivered Tonight

    Other trades of note: Twitter, Inc. (TWTR) at 17.08, a Bull Put Spread traded 1,000 times. The trader sold the Jul 28th 18/17 spread for a credit of .72. TWTR reported earnings this morning. SPDR S&P Retail ETF (XRT) at 41.25, a Bear Put Spread traded 590 times. The trader bought the Aug 25th 40.50/38.50 spread paying .37. iPath S&P 500 VIX Futures ETN (VXX) at 11.02, a Bull Call Spread traded 2,000 times. The trader bought the Aug 18th 13/15 spread paying .12. Tenet Healthcare Corporation[...]

  • Earnings | Jul 27, 2017, 12:20 PM

    Earnings Week of July 31 to August 4

    Earnings Week of July 31 to August 4

    The biggest week for 2Q earnings is upon us.  As always the numbers below represent the last 12 quarters of one day stock price reaction to earnings. 

  • Morning Call | Jul 27, 2017, 6:28 AM

    CBOE Morning Call 7/27/2017

    CBOE Morning Call 7/27/2017

    Big Picture The FOMC didn’t offer up any surprises yesterday afternoon and the stock market reacted with a giant yawn.  VIX finally put in a new all-time intraday low hitting 8.84 as the FOMC announcement was just about to hit the tape.  Before the day was done VIX had worked its way up to 9.60.  The odds of a rate hike in December still remains at about 50%, but I’m taking the no hike side of that bet.  It will take very little in the form of negative news for the[...]

  • Earnings | Jul 26, 2017, 2:53 PM

    Twitter Earnings Trending $TWTR ATM Straddle

    Twitter Earnings Trending $TWTR ATM Straddle

    Other trades of note: iPath S&P 500 VIX Futures ETN (VXX) at 11.03, a Bull Call Spread traded 8,350 times. The trader bought the Aug 18th 13/15 spread paying .12. Nike, Inc. (NKE) at 58.90, a Bear Call Spread traded 1,650 times. The trader sold the Jan 19th 60/65 spread for a credit of 1.68. Hilton Worldwide Holdings, Inc. (HLT) at 63.55, a Bull Call Spread traded 2,724 times. The trader bought the Sept 15th 65/70 spread paying 1.20. United States Oil (USO) at 9.86, a Bear Put Spread traded[...]

  • Morning Call | Jul 26, 2017, 6:58 AM

    CBOE Morning Call 7/26/2017

    CBOE Morning Call 7/26/2017

    Big Picture Today there will be lots of talk about the FOMC, but the chances of anything truly unexpected coming this afternoon are very low.  This week, I have heard about a dozen people state that when we get an FOMC announcement the stock market goes up.  I was wondering if part of yesterday’s strength could be attributed to that mindset.  Remember when everyone is like minded, it may be time to go the other way.  We are beginning to hear grumblings of who may be appointed[...]

  • Jul 25, 2017, 4:18 PM

    We Know VIX is Low - The Why and What May Be Next

    We Know VIX is Low - The Why and What May Be Next

    Regardless of how you state it, VIX is low.  Today VIX got as low as 9.04 which is the second lowest intraday low on record.  The lowest print for VIX came on December 27, 1993 with a low of 8.89.  I could waste a thousand more words describing how low VIX is relative to history, but instead of doing that I’d like to dive a bit into what it means.  VIX is low, but market volatility is low as well.  What I mean by that is the realized volatility of the S&P 500 is[...]

  • Earnings | Jul 25, 2017, 2:33 PM

    What's Trading Now - Freeport McMoran (FCX)

    What's Trading Now - Freeport McMoran (FCX)

    Other trades of note: iPath S&P 500 VIX Futures ETN (VXX) at 10.99, a Bull Call Spread traded 5,888 times. The trader bought the Aug 18th 14.50/16.50 spread paying .07. Time Warner Inc. (TWX) at 100.22, a Bull Call Spread traded 2,000 times. The trader bought the Oct 20th 100/105 spread paying 2.85. TWX is expected to report earnings on Wednesday, August 2nd before market open. iShares Russell 2000 ETF (IWM) at 143.61, a Calendar Spread traded 1,250 times. The trader sold the Jul 28th[...]

  • Morning Call | Jul 25, 2017, 6:57 AM

    CBOE Morning Call - 7/25/2017

    CBOE Morning Call - 7/25/2017

    Big Picture Today is the first day of a two-day FOMC meeting.  As a gentle reminder, there are S&P 500 (SPX) options expiring on the close tomorrow which are perfect for expressing an opinion about the potential market reaction (or lack thereof) to the FOMC announcement tomorrow afternoon.  Also, the earnings calendar is so heavy for the next three days it should be on a weight loss reality show. Overnight / Pre-Market Japanese stocks were slightly lower overnight.  Both the EuroStoxx[...]

  • What's Trading | Jul 24, 2017, 2:44 PM

    What's Trading Today - MCD and More

    What's Trading Today - MCD and More

    Other trades of note by Lauren Ravalli Facebook, Inc. (FB) at 165.29, a Bear Call Spread traded 9,200 times. The trader sold the Jul 28th 170/177.5 spread for a credit of 1.40. FB is expected to report earnings on Wednesday, July 26th after market close. Russell 2000 Index (RUT) at 1,431.93, a Bull Put Spread traded 1,402 times. The trader sold the Aug 18th 1,280/1,250 spread for a credit of .30. Starbucks Corporation (SBUX) at 58.18 a Long Straddle traded 1,000 times. The trader bought[...]