• 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[...]

  • Jul 24, 2017, 11:04 AM

    Market Performance Post QE

    Market Performance Post QE

    Many market cynics of the quantitative easing (QE) program could not wait to pounce on the negatives of such a system.  When the Fed implemented a few of these programs following the worst financial crisis since the Great Depression, many were dumbfounded and ridiculed the Fed for shoring up the banks and thus the stock market.  Not only bringing rates down to zero but juicing up the bond market by adding what seemed to be unlimited bond purchases to their portfolio.  Many scoffed[...]

  • Jul 24, 2017, 8:46 AM

    Strong Growth in Volume for Mini-SPX (XSP) Options

    Strong Growth in Volume for Mini-SPX (XSP) Options

    A portfolio manager recently called me to discuss Mini-SPX (ticker XSP) options, and told me he is trading the XSP options and he liked several features about the XSP options, including the “no-early-call-away” feature, the tax treatment, the contract size, and the fact that the XSP options prices appeared to track pretty well the prices of the larger-sized options on the S&P 500® Index (ticker SPX).  GROWTH IN VOLUME FOR XSP OPTIONS As shown in the chart below, the average[...]

  • Morning Call | Jul 24, 2017, 7:28 AM

    CBOE Morning Call - 7/24/2017

    CBOE Morning Call - 7/24/2017

    Big Picture VIX finished the week last week just above the all-time low.  There was a very large VIX spread trade using October options on Friday.  More about that trade appeared in the VIX Weekend Review - Weekend Review of VIX Options and Futures 7/17/2017 - 7/21/2017 It is a huge week for earnings, over seventy companies with Weeklys available for trading report earnings.  More about that below.  Also, Wednesday we get the release of information that will follow a two day[...]

  • Jul 23, 2017, 4:30 PM

    The Weekly Options News Roundup – 7/23/2017

    The Weekly Options News Roundup – 7/23/2017

    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.      Army Brigadier General Rings Opening Bell On Wednesday, CBOE welcomed Army Brigadier General Ronald J. Place to the trading floor to ring the bell as part of the national “Meet Your Army” initiative.  A video of the bell- ringing ceremony can be viewed here. MiFID Ready On Tuesday,[...]

  • VIX | Trader Talk | Trade Ideas | Jul 22, 2017, 3:10 PM

    Weekend Review of Volatility Indexes and ETPs - 07/17/2017 - 7/21/2017

    Weekend Review of Volatility Indexes and ETPs - 07/17/2017 - 7/21/2017

    VIX finished the week just off all-time lows and the VXST - VIX - VXV - VXMT curve shifted lower.  This is a result of realized volatility for S&P 500 price action remaining low and there not appearing to be any speed bumps on the horizon for the financial markets.  VVIX dipped below 80.00 to finish the week and TYVIX is near all-time lows despite there being an FOMC meeting this Wednesday.  The long funds continue to suffer (discussed a little more shortly) and the short funds[...]

  • Market News | Trader Talk | Trade Ideas | Jul 22, 2017, 3:01 PM

    Weekend Review of Russell 2000 Options and Volatility - 7/17/2017 - 7/21/2017

    Weekend Review of Russell 2000 Options and Volatility - 7/17/2017 - 7/21/2017

    Small and large cap index finished the week in what I will call a statistical tie up about 0.5%.  For the year the Russell 1000 (RUI) is now up over 10% while the Russell 2000 has gained a respectable 5.8% in 2017.  We are early in the 3rd quarter of the year, but so far RUI is up 1.98% versus RUT 1.45%.  With VIX so low the CBOE Russell 2000 Volatility (RVX) premium to VIX has popped up a bit.  I’m attributing more to low VIX than high small cap volatility.  It[...]

  • VIX | Trader Talk | Trade Ideas | Jul 21, 2017, 6:54 PM

    Weekend Review of VIX Futures and Options - 7/17/2017 - 7/21/2017

    Weekend Review of VIX Futures and Options - 7/17/2017 - 7/21/2017

    VIX closed Friday a tad shy of an all-time low while the S&P 500 continues to push higher having gained just over ½ a percent last week.  The curve below does appear steep, but the context of VIX being so low should be taken into account. One trader came into the VIX pit mid-day on Friday with what could be considered a massive trade.  With VIX at 9.76 and the standard October contract at 13.70 someone came in with a three-leg bullish trade on VIX.  They sold 262,441 VIX[...]

  • Morning Call | Jul 21, 2017, 8:13 AM

    CBOE Morning Call - 7/21/2017

    CBOE Morning Call - 7/21/2017

    Big Picture Two big themes to watch going into next week.  We get the brunt of 2Q 2017 earnings reports next week which creates some trading opportunities (for the short-term people here) and also gives us some insight into what companies think about the second half of this year (for those of us in the long game).  Also, we do get an FOMC announcement on Wednesday.  The fixed income futures market is pricing in a 96.9% chance that rates remain unchanged and the odds of a December[...]

  • Earnings | Jul 21, 2017, 8:07 AM

    Earnings Week of 7/24/2017 - 7/28/2017

    Earnings Week of 7/24/2017 - 7/28/2017

    Long long long long long list of companies with Weeklys reporting next week.  None of the times are confirmed so double check and the numbers below represent the last three years of stock price reactions to earnings.

  • Trader Talk | Trade Ideas | Jul 20, 2017, 3:31 PM

    What's Trading Now? EBAY Bull Put Spread Into Earnings

    What's Trading Now?  EBAY Bull Put Spread Into Earnings

    Other trades of note: Health Care Select Sector SPDR ETF (XLV) at 80.94, a Bear Put Spread traded 1,430 times. The trader bought the Sept 15th 80/74 spread paying .85. iShares MSCI EAFE ETF (EFA) at 66.77, a Bull Put Spread traded 4,684 times. The trader sold the Sept 15th 64/61 spread for a credit of .16. Energy Transfer Equity, L.P. (ETE) at 18.20, a Risk Reversal traded 2,000 times. The trader sold the Oct 20th 18 Puts and bought the Oct 20th 19 Calls collecting .46. Russell 2000 Index[...]

  • Morning Call | Jul 20, 2017, 9:05 AM

    CBOE Morning Call - 7/20/2017

    CBOE Morning Call - 7/20/2017

    Big Picture 25 of the 500 stocks in the S&P 500 report earnings today, next week we get the brunt of earnings seasons with about 25% of the stocks that have Weeklys reporting earnings.  The oil market continues to attract a lot of attention and oil futures topped $50 for the first time since early June.  USO skew appears below with risk appearing to be priced in equally on the upside and downside.    Overnight / Pre-Market The Bank of Japan left interest rates unchanged[...]

  • Morning Call | Jul 19, 2017, 7:37 AM

    CBOE Morning Call - 7/19/2017

    CBOE Morning Call - 7/19/2017

    Big Picture Earnings season continues with results being somewhat mixed so far.  The economic calendar is fairly light this week.  We do get the EIA Crude Oi stockpile change numbers at 9:30 Chicago time – expectations are for a drop of 3.214 million, last week’s number was down 7.564 million.  Tonight, the Bank of Japan will announce their interest rate decision (think FOMC in Japan) with expectations for the no change maintaining a short term policy interest rate of[...]

  • Morning Call | Jul 18, 2017, 8:17 AM

    CBOE Morning Call - 7/18/2017

    CBOE Morning Call - 7/18/2017

    Big Picture Health care reform appears to be dead in the Senate, the market has yawned probably having discounted the outcome already or possibly just not caring.  For the most part the market is focused on earnings. Volatility Index Performance The suite of volatility indexes calculated by CBOE finished last week at very low levels.  Despite this they were mixed yesterday with VXST leading to the upside.   Overnight / Pre-Market Netflix (NFLX) hit a homer after the close and the[...]