• Feb 13, 2017, 11:13 AM

    CBOE Benchmark Indexes and More Interest in Mitigation of Drawdown Risk

    Investors recently have shown increased interest in protection from large peak-to-trough drawdowns in their portfolios.  In the 27 years from 1990 through 2016, the average value of the CBOE SKEW Index (SKEW) was 118.4, but in the 20 recent trading days since January 13, the SKEW Index averaged 134.5, and ranged between a low of 128.80 and a high of 146.33. A high SKEW Index value could be indicative of high demand for S&P 500® (SPX) protective put options. www.cboe.com/SKEW. In the[...]

  • Feb 13, 2017, 10:00 AM

    Listen to the Message of the Markets

    There is no disputing the fact markets are in a bullish trend right now.  Since the election there has been few corrective days, and that seems to disturb some people.  Investors prefer to wait for those dips to buy, but that was require superior timing and execution.  Some are very good at this skill, and using technical analysis gives one a leg up on this timing - especially when the signs point to an overbought condition. As a technician, I look at many different indicators that[...]

  • Feb 12, 2017, 3:00 PM

    The Weekly Options News Roundup – 2/12/2017

    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.      Twitter Trafficking Market Direction Twitter is taking on a new role as a predictive analytics tool that market participants are relying on to potentially enhance their portfolios. The CBOE-SMA Large Cap Index (SMLC) Index is a useful tool for investors to obtain useful actionable[...]

  • Market News | VIX | Trader Talk | Trade Ideas | Feb 12, 2017, 12:20 PM

    Weekend Review of Russell 2000 Options and Volatility - 2/6 - 2/10

    Both the Russell 1000 (RUI) and Russell 2000 (RUT) were up about 0.80% for the week.  For the year, RUI still holds a performance lead of about 1.3%.  Just for fun and because it was a year ago this weekend that the US equity markets put in the 2016 lows I decided to see where things stood at that time.  As of February 11th of last year RUT was down 16.0% and RUI was down only 11.3%.  Man what a difference a year makes.  In the volatility space, the Russell 2000 Volatility[...]

  • Market News | VIX | Trader Talk | Trade Ideas | Feb 12, 2017, 11:27 AM

    Weekend Review of Volatility Indexes and ETPs - 2/6 - 2/10

    There was a slight and uniform shift lower in the term structure of S&P 500 related volatility indexes last week.  One might say this is a case of all indexes not having much more room to drop.  An ETN I don’t mention too much was interesting to me this week.  VXZ was unchanged on the week as the longer end of the VIX futures curve was mixed.  TYVIX also rebounded a bit at concerns over interest rates had been trending lower.  The March Fed meeting concludes on[...]

  • Market News | VIX | Trader Talk | Trade Ideas | Feb 12, 2017, 8:15 AM

    Weekend Review of VIX Futures and Options - 2/6 - 2/10

    VIX was little changed last week as the S&P 500 moved higher.  When VIX has a ‘10’ handle and stocks move higher we tend not to see the sort of reaction we might see if VIX were at higher levels.  The most interesting thing below is the front two month futures contracts.  February, which goes off the board this coming week, lost 6% playing catch up with spot VIX.  March dropped almost 4%, but is still at a premium of about 2.50 to spot VIX. We get a heads up[...]

  • Feb 8, 2017, 3:28 PM

    Portfolio Protection, Tail Risk and 15 Histograms

    With U.S. stock market indexes recently hitting all-time highs, there is quite a bit investor uncertainty about the markets and there is high demand for protection from large market declines. One metric providing evidence of this high demand is the CBOE SKEW Index (SKEW). In the 27 years from 1990 through 2016, the average daily level for the SKEW Index was 118.4, and the average level of SKEW never topped 130 in any of those 27 years. In the year 2017 (through February 7) the average daily level[...]

  • Earnings | Feb 8, 2017, 12:49 PM

    Earnings Week of 2/13 - 2/17

    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.

  • Feb 8, 2017, 10:29 AM

    42% Rise for the SMLC Sentiment-Based Index That Analyzes Twitter Traffic

    In recent months many press stories have covered the topic of how Twitter tweets possibly could influence the prices of stocks or the direction of the economy. News reports indicate that there are hundreds of millions of tweets posted per day. One challenging question for investors could be – can useful actionable information be gleaned from Twitter postings to identify stocks that have positive bullish sentiment? One tool that has potential to be useful to investors is the CBOE-SMA Large Cap[...]

  • Market News | VIX | Trader Talk | Trade Ideas | Feb 7, 2017, 1:14 PM

    Finding Volatility in the US Equity Markets

    VIX is low, we all know VIX is low.  I type that and feel I need to stop channeling Dr. Seuss.  However, there are some pockets of volatility in the US equity markets, we just need to know where to look.  Since CBOE quotes several volatility indexes that are based on the US markets I went searching for places where the market is still pricing in a little concern about the future.  Two areas that stood out –  tail risk and small cap risk.  Let’s start with[...]

  • Feb 6, 2017, 3:07 PM

    Breaking Some Bad Trading Habits - Part 2

    Last week we gave out a few bad trading habits that many of us seem to suffer from.  However, we are all different and have certain habits that make us feel comfortable.  Yet, some habits should be broken and not encouraged, as they will make us vulnerable.  I asked some of my close colleagues in the chat room what habits they could identify that hinder their performance, and which ones they need to break.  Some of these are below.  Your job - if you identify with any of[...]

  • Earnings | Feb 6, 2017, 9:49 AM

    Earnings Week of 2/6 - 2/10

    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 | Trade Ideas | Feb 6, 2017, 9:14 AM

    Weekend Review of Volatility Indexes and ETPs - 1/30 - 2/3

    VXST dropped while the other three volatility indexes based on S&P 500 index option pricing rose slightly.  This all happened despite a rise in the S&P 500 last week.  Probably the most notable thing on the table below is the rise in VVIX despite the stock market and VIX not doing much last week.  Focusing on the VIX related ETPs shows that the trend of short volatility being the place to be in 2017 continues to hold up. Looking outside the broad-based index volatility[...]

  • Market News | VIX | Trader Talk | Trade Ideas | Feb 6, 2017, 9:08 AM

    Weekend Review of VIX Futures and Options - 1/30 - 2/3

    VIX rose slightly last week while all standard futures contracts lost value.  February settlement is a week and a half off so the longer VIX remains in the 10’s the more drift lower we should expect out of the front month future.  As the front month starts to approach settlement date, VIX option traders start to focus on farther dated contracts, normally rolling to the following month.  However, it seems skipping March is in vogue among VIX traders with many of last week’s[...]

  • Market News | Feb 6, 2017, 8:55 AM

    The Weekly Options News Roundup – 2/5/2017

    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.        CBOE Launches S&P 500 Range-Bound Premium Income Index On Tuesday, CBOE announced the launch of the CBOE S&P 500 Range-Bound Premium Income Index (SPRI).  The index, which is designed to serve as a benchmark for investors aiming for consistent income distributions[...]