• VIX | Trader Talk | Education | Strategy | Trade Ideas | Dec 1, 2016, 2:47 AM

    Long Volatility Discussion at CBOE RMC

    Govert Heijboer from True Partner Advisor and James Murray from NSW Treasury Corporation split the duties for a discussion titled Implementing Long Volatility Exposures for Hedging and Alpha today in Hong Kong. Murray led off by discussing risk management and the objectives of long volatility risk management strategies.  He noted that there is no free lunch when getting long volatility exposure and strategies are a trade-off between convexity, timing, basis and time decay.  A final thought[...]
  • VIX | Trader Talk | Education | Trade Ideas | Dec 1, 2016, 12:02 AM

    Short Volatility Strategies Discussed at CBOE RMC

    Tanuj Dutt, CFA from Nikko Asset Management and Selim Piot from Barclays Capital teamed up to deliver a session on Implementing Short Volatility Strategies at the 2nd Annual CBOE RMC in Hong Kong today. Piot led things off by discussing how short volatility strategies may be implemented.  He noted the diversification benefits of substituting a part of equity risk with short volatility exposure and followed that thought stating that a portfolio of short volatility across regions and different[...]
  • VIX | Trader Talk | Education | Trade Ideas | Nov 30, 2016, 11:32 PM

    Discussion of Market Dislocations at RMC Asia

    The keynote speaker this morning for the 2nd Annual Risk Management Conference Asia was Rebecca Cheong who is Head of Americas Equity Derivatives Strategy for UBS Securities.  She also grew up in Hong Kong so this was a special treat for her as well as the attendees. Rebecca’s presentation was titled Cross-Asset Dislocations and Market Signal.  She started out discussing the difference between a true Cross-Asset Dislocation and a Temporary Dislocation.  A Temporary Dislocation[...]
  • Market News | Nov 30, 2016, 7:30 PM

    2016 CBOE Risk Management Conference Asia

    2016 CBOE Risk Management Conference Asia Options Hub Blog Edward Tilly Remarks Thursday, December 1, 2016 CEO Edward Tilly on CBOE Innovation and Bats Acquisition       Kicking off the start of Day Two of CBOE RMC Asia 2016 in Hong Kong, CBOE Holdings CEO Edward Tilly updated conference attendees on CBOE Holdings’ planned acquisition of Bats Global Markets and on CBOE’s ongoing development of new products, services and tools. Tilly noted that industry participants’[...]
  • Market News | Nov 30, 2016, 5:54 AM

    Asked at RMC - What's Implied from Implied Volatilities?

    The final session on Day 1 of this year’s CBOE Risk Management Conference in Hong Kong posed the question, “What’s Implied from Implied Volatilities and Volatility Products?"  This session was a combination of talks from William Chan, Head of Asia Pacific Equity Derivatives Research for Bank of America Merrill Lynch and Tim Edwards, Senior Director of Index Investment Strategy for S&P Dow Jones Indices. Edwards kicked the session off by discussing VIX and noting that[...]
  • Market News | Education | Strategy | Trade Ideas | Nov 30, 2016, 1:12 AM

    Wide Variety of CBOE Benchmark Indexes Discussed at RMC

    Matt Moran and Bruce Traan, both from CBOE, delivered the second session at this year’s CBOE Risk Management Conference in Hong Kong.  Bruce kicked things off with a discussion titled “New Developments in Options and Volatility-Based Benchmarks”.  Matt followed with “Options and Volatility Based Benchmark Indexes”. Bruce noted that demand for passive investing is growing and smart-beta is the fastest growing segment of passive investing.  He highlighted[...]
  • Trader Talk | Education | Strategy | Trade Ideas | Nov 29, 2016, 11:49 PM

    Dan Passarelli Discusses Getting a Volatility Edge

    The first presentation at the 2nd Annual Asian version of CBOE’s Risk Management Conference featured an informative tutorial from Dan Passarelli of Market Taker Mentoring.  Dan’s talk was titled Directional Options Strategies and Trade Management. He kicked things off with a quick review of the option greeks and then dove into directional strategies.  He emphasized that trades can start with a directional outlook, but there are other factors that come into play with respect[...]
  • Market News | Strategy | Election & VIX | 2016 Recap | Nov 29, 2016, 11:24 AM

    Election Night Option Liquidity

    CBOE’s Extended Trading Hours (ETH) options session reached a significant milestone in the wake of the surprising U.S. election results, surpassing 100,000 contracts for the first time on November 9. CBOE introduced the ETH options session in 2015 on our SPX and VIX products. The primary motivation for offering these products during off-market hours was to provide market participants with the opportunity to react to global events at the time of those events taking place, rather than having[...]
  • Market News | Technical Analysis & Charts | VIX | Nov 28, 2016, 11:13 AM

    BigTrends.com Weekly Market Outlook - Will The Rally Sputter Here?

    The volume may not have been great behind the shortened trading week's gains, but a gain in a gain nonetheless. And, this one was particularly noteworthy in that all the major indices made their way into record high territory.... at a time when they weren't supposed to. Can it last? That's the $64,000 question. From a momentum and technical perspective, the picture is bullish - yes, there's reason to expect more upside from here. But there is reason to believe the rally may sputter soon and possibly[...]
  • Market News | Strategy | Nov 28, 2016, 9:15 AM

    Metals and Mining: Buyers Transition to New Groups

    Over the past several years we have seen selling pressure intensify in metals and mining names as policy directives shifted away from this group. Not only was less money invested in coal, copper, materials and the like but costly regulations put some of these companies against the wall, and in many cases out of business totally. Stocks like Cliffs Natural, Freeport McMoran and US Steel are a shadow of their former selves. Once boasting robust stock prices and strong balance sheets, these and many[...]
  • Market News | Nov 26, 2016, 9:43 PM

    Earnings Week of 11/28 - 12/2

    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.
  • Election & VIX | 2016 Recap | Nov 26, 2016, 8:59 PM

    Weekend Review - VIX Options and Futures - 11/21 - 11/25

    VIX managed to threaten to break below 12 this past Friday as all seems right in the world.  Who would have thought all being right in the world would involve Donald Trump as our current president elect?  Before the hate mail comes, I’m neutral on this topic, the point I’m trying to make is who would have thought VIX would be so low just a couple of weeks after his upset victory?  Last week we experienced the slightest VIX curve move that I can recall.  However, when[...]
  • Market News | Nov 26, 2016, 6:31 AM

    Weekend Review - Volatility Indexes and ETPs - 11/21 - 11/25

    The VXST – VIX – VXV – VXMT curve mostly shifted lower this past week with VXST being the exception.  We give VXST a pass as far as information goes since holiday weeks tend to put pressure on a measure of 9-day volatility. My eye first went to TYVIX when looking this table over.  Bond volatility has been elevated as that market has taken center stage since the election.  TYVIX didn’t do a whole lot last week, but that is deceiving as it remains at the high[...]
  • Market News | VIX | Trader Talk | Trade Ideas | Nov 26, 2016, 6:01 AM

    Weekend Review - Russell 2000 Options and Volatility - 11/21 - 11/25

    Small cap stocks seem to love the outcome of the election.  Since the market close on election-day the Russell 2000 (RUT) is up over 12% while the Russell 1000 (RUI) has gained just over 3%.  The 10% lead that RUT has on RUI has just about all come from the post-election rally for small caps.   The CBOE Russell 2000 Volatility Index (RVX) over VIX premium finished just under 47% this past week.  This is the second highest level for 2016.  A combination of higher[...]
  • Market News | Trader Talk | Strategy | Trade Ideas | Nov 22, 2016, 8:16 PM

    Block Trade Analysis - MDT Earnings

    Shares of Medtronic (MDT) took it on the chin Tuesday in response to their most recent earnings report.  The average move for the stock over the last three years was up or down about 2% and the biggest drop over that time period was just over 4%.  Those numbers truly contrast with the recent 8.7% drop. Midday Monday, someone who had a pretty bearish outlook for MDT shares purchased 2500 MDT Nov 25th 79 Puts for 0.38.  To help pay for those options they also sold 2500 MDT Nov 25th 84[...]