• Feb 6, 2017, 7:21 AM

    Unexpected and Vicious

    Today's saga starts on January 24th, just two days ago but it seems like last week.  I had just, the day prior, added to my core short TVIX position to raise the number of shares from 2,000 to 2,500 as you see in the portfolio graphic below.  The price for that lot of 500 was $6.26.  This will be revisited later in the post. First, let's dispose of the TNA story.  You'll see that standing out at the top of the graphic like the subject of a "which of these things is not like the[...]

  • Education | Strategy | Jan 30, 2017, 3:38 PM

    Trading to Win? Break Those Bad Habits

    We are all creatures of habit, and with so much going around us in our lives at the speed of light we tend to fall into some set routines. That is often the case for us as option traders, and while some routines are efficient and allow us to make quick decisions, others can be quite harmful and cause some dangerous missteps.  Many of us are unaware of these habits, they become instinctual.  When that occurs the bad habits become tough to break. Our habitual characteristics are different[...]

  • Jan 29, 2017, 1:32 PM

    Weekend Review of Russell 2000 Options and Volatility - 1/23 - 1/27

    Small cap stocks rebounded with the Russell 2000 (RUT) gaining 1.4% last week which places RUT at up 1% for 2017.  Large caps, as represented by the Russell 1000 (RUI) were up just over 1% for the week which places RUI at up 2.59% for 2017.   The CBOE Russell 2000 Volatility Index (RVX) is hovering around very low levels.  However, when compared to VIX, things look a little different as the relative premium continues to loom around the highest levels seen in some time. [...]

  • Jan 29, 2017, 12:44 PM

    Weekend Review of Volatility Indexes and ETPs - 1/23 - 1/27

    All four of the S&P 500 related volatility indexes quoted by CBOE were lower last week.  The price action resulted in the usual cries that VIX is too low, but after this first chart I’m going to show where volatility has been lower and not just decades ago, but much more recently. To get a historical perspective I compared all four volatility indexes to their 2016 lows as well as lowest prices since 2008.  The asterisk on the chart for post 2008 lows is there since we only have[...]

  • Jan 29, 2017, 11:59 AM

    Weekend Review of VIX Futures and Options 1/23 - 1/27

    VIX fell to multi-year lows last week which reflects quantitatively a lack of concern in the equity markets.  What I found interesting with respect to the numbers below was how the February future lost more than spot VIX last week.  This sort of price behavior is usually associated with expiration rapidly approaching or little in the way of economic events on the horizon.  That’s not the case here as February contracts expire in a couple of weeks and the coming week brings us[...]

  • Jan 27, 2017, 2:05 PM

    Earnings Week of 1/30 - 2/3

    We have a full earnings calendar next week.   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.  Finally, double check the earnings dates as not all were confirmed.

  • Jan 22, 2017, 7:17 AM

    Weekend Review of Russell 2000 Options and Volatility - 1/17 - 1/20

    Large cap stocks ruled the week last week, at least in relative terms as the Russell 1000 (RUI) only gave up 0.18% while the Russell 2000 (RUT) was down 1.47%.  Without checking I’m pretty sure that’s the biggest large cap out performance since the election.  Small cap volatility remains elevated relative to large cap volatility as indicated by the CBOE Russell 2000 Volatility Index (RVX) levels relative to VIX.  I left 2016 on this chart because I don’t think the[...]

  • Jan 21, 2017, 4:40 PM

    Weekend Review of Volatility Indexes and ETPs - 1/17 - 1/20

    The four volatility indexes based on S&P 500 option pricing were mixed on a week over week basis.  VXST and VIX rose while VXV and VXMT dropped slightly.  The result was a slight week over week twist in the curve below.  Note a couple of additions to the table below, VMAX and VMIN which have a different construction than VXX and XIV will now be monitored on a week over week basis.  Both have a shorter-term outlook than the standard VIX related funds.  The big standout[...]

  • Market News | VIX | Trader Talk | Trade Ideas | Jan 21, 2017, 1:58 PM

    Weekend Review of VIX Futures and Options - 1/17 - 1/21

    The S&P 500 dropped a bit and VIX rose some last week.  For all the fear and uncertainty that has been in the air around the beginning of the Trump era in Washington DC, the markets have remained calm and not done a whole lot in the past few weeks.   We did get January VIX options settlement last week with VRO coming in at 12.42.  This is something I’m watching closely as I got a twitter question awhile back with respect to streaks where standard VIX settlement had[...]

  • Market News | VIX | Jan 20, 2017, 11:04 AM

    CBOE SKEW Index Tops 140 Two Days in a Row, as Demand for Disaster Protection Increases

    The CBOE SKEW Index (SKEW) values, which are calculated from weighted strips of out-of-the-money S&P 500 options, generally rise to higher levels as investors become more fearful of a negative equity “black swan” event — an unexpected event of large magnitude and consequence. Key facts about recent SKEW values -- TWO DAYS IN A ROW. SKEW closed at 143.43 on January 18, and 141.03 on January 19 (the sixth time in its 27-year history that the index closed above 140 two days in[...]

  • Market News | Trader Talk | Jan 19, 2017, 4:32 PM

    Earnings Week of 1/23 - 1/27

    Earnings season is in full swing this week with something for everyone on the list below.  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.  Finally, double check the earnings dates as not all were confirmed.

  • Market News | VIX | Jan 18, 2017, 6:17 PM

    Volatility ETF Twice Nominated for 2016 ETF.com Awards

    We all have our morning rituals and one of mine involves checking the daily ETF.Com email I receive at CBOE.  The top story was the nominations for the annual ETF.Com awards ceremony which is scheduled for March 30th in New York.  I went through the list of nominees highlighting partners of CBOE and was delighted to see the REX VolMAXX Long VIX Weekly Futures Strategy ETF (Ticker: VMAX) recognized with a nomination in two categories.  VMAX has been nominated for both Most Innovative[...]

  • Trader Talk | Jan 17, 2017, 11:49 AM

    Jesse Livermore: Lessons From the Greatest Trader

    From the Mind of the Greatest Trader - Jesse Livermore Starting the new year is a great time to reflect on what happened on the past but also to look ahead of what's to come.  My reflection is about my trading history and analyzing where I can become better.  I also look to others to see where I can pick up ideas to improve.  One of my favorite trading books of all time is Reminiscence of a Stock Operator by Edwin Lefevre.  It is the true life story of Jesse Livermore, a stock[...]

  • Market News | Trader Talk | Trade Ideas | Jan 16, 2017, 9:08 AM

    Block Trade Analysis - XLI Bull Put Spreads from Friday

    Since the election of Donald Trump the stock market has been on a bullish run.  One sector that may benefit from the new administration is the industrial sector, whether that is due to an increase in infrastructure spending or through an increase in domestic manufacturing.  On Friday, last week there were a couple of bullish option trades that came into the Industrial Selector Sector SPDR Fund (XLI) ETF option market worth taking a look at. Before discussing these two trades I wanted to[...]

  • VIX | Election & VIX | Jan 16, 2017, 6:53 AM

    Contrasting SPX and VIX - MLK Weekend 2016 and 2017

    2016 was a year lots of people would like to forget for a variety of reasons.  Personally, I had a great year and didn’t know any celebrities who will be celebrated posthumously at the various spring award shows.  If we go back 52 weeks to MLK weekend in 2016 the markets were about as opposite as they could be relative to where we are today. As a quick reminder, many market participants were nervous going into 2016, we had just experienced our first interest rate hike in years and[...]