• Earnings | May 30, 2017, 6:23 PM

    Earnings Week of 5/30/2017 - 6/2/2017

    It is a short week, but we still have a few companies reporting.  The stocks below have Weeklys available for trading and the numbers represent the last 12 quarters of one day price reactions to their announcement.  As always double check the dates as none have been confirmed.

  • VIX | Trader Talk | Trade Ideas | May 28, 2017, 9:36 AM

    Weekend Review of Volatility Indexes and ETPs - 5/22/2017 - 5/26/2017

    VXST closed Friday at an all-time low of 7.60 which sounds impressive until you hear that for VXST the history we have to work with only goes back to 2011.  I am going to make a bold prediction and say that VXST will move higher when the market reopens on Tuesday.  Read that as sarcasm as VXST has never followed a three-day weekend without moving higher.  After having a short period of upward movement, the VIX related funds gave back performance and then some last week.  The[...]

  • VIX | Trader Talk | Trade Ideas | May 28, 2017, 8:40 AM

    Weekend Review of VIX Options and Futures - 5/22/2017 - 5/26/2017

    VIX finished the week at 9.81, just a tad above the post 2008 lows put in earlier this month.  The June 2017 VIX cycle is five weeks long so there’s still plenty of time until June 21st expiration.  The result is one of the steepest curves a can recall in the six years of posting these weekend blogs.  Friday, about an hour into the trading day, there was an interesting bull put spread executed in the VIX pit.  With VIX at 9.80 and the June 7th VIX Future at 10.80 someone[...]

  • VIX | Trader Talk | Trade Ideas | May 27, 2017, 12:56 PM

    Weekend Review of Russell 2000 Options and Volatility - 5/22/2017 - 5/26/2017

    Large cap dominance continued last week as the Russell 1000 (RUI) gained 1.41% last week outdoing the Russell 2000 (RUT) performance of 1.09%.  For the year RUI is just a little under 6% ahead of RUT. With VIX finishing the week below 10.00 the CBOE Russell 2000 Volatility Index (RVX) level relative to VIX is at high levels.  That is really more of a function of low volatility across the board, but continued underperformance of small caps is probably a contributing factor as well. [...]

  • Earnings | May 22, 2017, 10:10 AM

    Earnings Week of 5/22/2017 - 5/26/2017

    Things are starting to taper a bit, but not too much as there are several companies with Weeklys reporting next week.  The stocks below have Weeklys available for trading and the numbers represent the last 12 quarters of one day price reactions to their announcement.  As always double check the dates as none have been confirmed.

  • May 21, 2017, 4:30 PM

    The Weekly Options News Roundup – 5/21/2017

    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.      The CBOE Honors On Wednesday evening, CBOE honored former Chairman and CEO Bill Brodsky at a farewell gala in the grand ballroom of Chicago’s historic Navy Pier, attended by hundreds of financial industry professionals. Current CBOE Chairman and CEO Ed Tilly presented Bill and Joan[...]

  • VIX | Trader Talk | Trade Ideas | May 21, 2017, 5:55 AM

    Weekend Review of Volatility Indexes and ETPs - 5/15/2017 - 5/19/2017

    The week over week VXST – VIX – VXV – VXMT curve moved higher and appears to have done so in a very parallel fashion.  Since the week over week change doesn’t do the actual activity justice so I added the Wednesday closing curve to the graphic below.  I was honestly a little surprised at how little the S&P 500 dropped on a week over week basis and double checked the number.  I made a joking prediction Thursday morning that we would retrace the Trump Dump[...]

  • Market News | VIX | Trader Talk | Strategy | Trade Ideas | May 20, 2017, 5:23 PM

    Weekend Review of Russell 2000 Options and Volatility - 5/15/2017 to 5/19/2017

    Small caps did not have a good week, despite the rebound in the equity markets after Wednesday’s swoon.  The Russell 2000 (RUT) was down over 1% last week actually dipping into negative territory for 2017 before recovering at the end of the week.  Large cap stocks as represented by the Russell 1000 (RUI) held up better than small caps with RUI down only 0.40% for the week. When volatility spikes the relative move is usually greater for VIX that the CBOE Russell 2000 Volatility Index[...]

  • VIX | Trader Talk | Trade Ideas | May 20, 2017, 5:14 PM

    Weekend Review of VIX Futures and Options - 5/15/2017 to 5/19/2017

    The term structure and payoff below does not do any justice to what those of us that focus on VIX and related markets this past week.  In fact, when the dust settled, all the standard futures were hardly changed on the week. Just to record what did happen last week I made a second term structure chart that includes the close on Wednesday in addition to the Friday closing curves.  As Wednesday was one of the biggest moves for VIX to the upside in several months, there were a few brave[...]

  • Earnings | May 15, 2017, 1:56 PM

    Earnings Week of 5/15/2017 - 5/19/2017

    Things are starting to taper a bit, but not too much as there are several companies with Weeklys reporting next week.  The stocks below have Weeklys available for trading and the numbers represent the last 12 quarters of one day price reactions to their announcement.  As always double check the dates as none have been confirmed.

  • Market News | Strategy | May 15, 2017, 8:12 AM

    Volatility and Holidays Are An Opportunity to Sell Premium

    Whenever we come upon a holiday it's time to take a breath and step back.  But as option traders, there is no such break as we are mindful of volatility and the option decay that constantly exists in these derivatives.  Time is a critical component of option value, and when there are fewer days to trade an option the decay becomes a detriment to the option buyer.  Over the next couple of weeks, the markets will be closed for a full session (Memorial Day).  Hence, over the next[...]

  • May 14, 2017, 4:30 PM

    The Weekly Options News Roundup – 5/14/2017

    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.      Bill Brodsky’s Look Back After leading CBOE for 20 years as Chairman and CEO, Bill Brodsky retired from the exchange two months ago. During his tenure as Chairman and CEO, Bill oversaw a number of major initiatives at CBOE such as the migration of the traditional floor-based trading to an[...]

  • May 13, 2017, 9:29 AM

    Weekend Review of Russell 2000 Options and Volatility - 5/8/2017 - 5/12/2017

    The dominance of large cap stocks in 2017 continued last week as the Russell 1000 (RUI) lost 0.41% while the Russell 2000 (RUT) was down over 1%.  This widens the performance gap for 2017 to put RUI in a 4.8% lead relative to RUT. The combination of small cap underperformance and VIX remaining at low levels resulted in the CBOE Russell 2000 Volatility Index (RVX) to VIX ratio to climb back to the 50% range.  On Monday one daring soul put on a high dollar risk, low dollar reward trade[...]

  • VIX | Trader Talk | Trade Ideas | May 13, 2017, 9:24 AM

    Weekend Review of Volatility Indexes and ETPs - 5/8/2017 - 5/12/2017

    This time last week we were all pretty certain that the final round of the French election was a done deal.  Short term SPX implied volatility wasn’t taking any chances with VXST closing last Friday at 11.40.  With the election outcome going as expected VXST got a little crushed and the shape of the VXST – VIX – VXV – VXMT curve moved back to contango.  Both the S&P 500 and VIX dropped last week, as the number of potential stock market land mines over[...]

  • VIX | Trader Talk | Trade Ideas | May 13, 2017, 9:17 AM

    Weekend Review of VIX Futures and Options - 5/8/2017 - 5/12/2017

    VIX was slightly lower on the week despite the S&P 500 dropping as well.  The near dated futures worked lower with May finishing Friday at premium of just over 0.80 as that contract goes off the board this coming week.  From August and beyond the futures were actually higher which creates a pretty steep curve below. On Tuesday, we got what I am going to refer to as a MOAVCS (Mother of all VIX Call Spreads).  Near the end of the day a trader came in and purchased at least 195,000[...]