• Jul 17, 2017, 8:28 AM

    The Weekly Options News Roundup – 7/16/2017

    The Weekly Options News Roundup – 7/16/2017

    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.      Strong Volume for SPXW Options with Monday, Wednesday, Friday and Month-End Expirations The large-sized SPXW S&P 500 options with p.m. settlement saw strong trading volume in the month of June, seeing an average daily volume (ADV) of 600,000 contracts.   ADV for SPXW options in June[...]

  • Morning Call | Jul 17, 2017, 8:09 AM

    CBOE Morning Call - 7/17/2017

    CBOE Morning Call - 7/17/2017

    Big Picture VIX has everyone’s attention after closing on Friday at 9.51 which is the lowest level since December 1993, but also the lowest non-holiday week close on record.  The S&P 500 finished Friday at an all time high and is now up over 10% for the year.  The CBOE Russell 2000 Volatility Index (RVX) vs. VIX ratio climbed last week as the Russell 2000 under performed the S&P 500 by about 50 bp.  This ratio is worth watching for an early indication that small cap[...]

  • Earnings | Jul 16, 2017, 7:54 PM

    Earnings Week of 7/17/2017 - 7/21/2017

    Earnings Week of 7/17/2017 - 7/21/2017

    Second quarter earnings season kicks in high gear this coming week.  As always the numbers below represent the last 12 quarters or stock price reaction to earnings announcements.  The dates and times have not been confirmed.

  • Market News | VIX | Trader Talk | Trade Ideas | Jul 16, 2017, 10:27 AM

    Weekend Review of Russell 2000 Options and Volatility - 7/10/2017 - 7/14/2017

    Weekend Review of Russell 2000 Options and Volatility - 7/10/2017 - 7/14/2017

    Stocks had a nice week with many indexes achieving all-time highs.  Small cap stocks in the form of the Russell 2000 (RUT) gained 0.92%, but this rise was outpaced by the Russell 1000 (RUI) which was up 1.4% for the week.  Lately I’ve been fixated on the relationship between the CBOE Russell 2000 Volatility Index (RVX) and VIX.  The RVX premium had been shrinking which led me to think a resurgence in relative performance for small caps was on the horizon.  This trend reversed[...]

  • VIX | Trader Talk | Trade Ideas | Jul 16, 2017, 10:24 AM

    Weekend Review of VIX Options and Futures - 7/10/2017 - 7/14/2017

    Weekend Review of VIX Options and Futures - 7/10/2017 - 7/14/2017

    VIX finished the week at the lowest close since 1993, but the two lower closes came during a holiday week so I’m considering consulting with other VIX watchers with respect to if this is basically an all-time low.  Note the dramatic move in the July contract that goes off the board on the open Monday. The most exciting activity we got from VIX came around lunchtime on Tuesday.  Many traders may have miss VIX running to the mid-11’s and the July contract trading around 12.50. [...]

  • VIX | Trader Talk | Trade Ideas | Jul 16, 2017, 8:54 AM

    Weekend Review of Volatility Indexes and ETPs - 7/10/2017 - 7/14/2017

    Weekend Review of Volatility Indexes and ETPs - 7/10/2017 - 7/14/2017

    We only have data going back to the 2007 – 2008 period for the non-VIX SPX related indexes on the diagram below.  VXST, VXV, and VXMT all made all-time lows, based on the history we have to work with, on the close Friday.  VIX closing at 9.51 was the third lowest on record.  However, the two instances of lower closing prices for VIX occurred on December 22nd and 23rd of 1993 (9.38 and 9.41).  In December 1993, the 24th was a market holiday as Christmas fell on the 25th. [...]

  • Jul 14, 2017, 2:55 PM

    What's Trading Now? (EEM)

    What's Trading Now? (EEM)

    Other trades of note: iShares MSCI Emerging Markets Index ETF (EEM) at 43.34, a Bear Put Spread traded 15,000 times. The trader bought the Sept 15th 43/41 spread paying 50 cents. iPath S&P 500 VIX Futures ETN (VXX) at 12.07, a trader executed a Diagonal Put Spread on a 2:3 ratio. This trader sold 2,000 of the Sept 15th 14 Puts and bought 3,000 of the Dec 15th 10 Puts for a credit of 2.82 per package. Lowe’s (LOW) at 75.82, a Calendar Spread traded 4,700 times. The trader sold the Jul 21st[...]

  • Jul 13, 2017, 2:21 PM

    What's Trading Now? Abercrombie & FItch (ANF)

    What's Trading Now? Abercrombie & FItch (ANF)

    Other trades of note: PowerShares QQQ ETF (QQQ) at 140.85, a Bull Put Spread traded 6,500 times. The trader sold the Aug 18th 140/130 spread for a 1.73 credit. VanEck Vectors Gold Miners ETF (GDX) at 21.55, a Bear Call Spread traded 4,183 times. The trader sold the Dec 15th 27/32 spread for a credit of 27 cents. SPDR S&P Oil & Gas Exploration & Production ETF (XOP) at 31.40, a Calendar Spread traded 50,000 times. The trader sold the Sept 15th 26 Puts and bought the Nov 17th 26[...]

  • Jul 12, 2017, 3:20 PM

    What's Trading Now? Pepsi Condors (PEP)

    What's Trading Now? Pepsi Condors (PEP)

    Other trades of note: iShares Russell 2000 (IWM) at 141.55 a 1x2 Ratio spread traded. The trader bought 3,020 Jul 28th 139 Puts and sold 6,040 Jul 28th 134 Puts paying 31 cents. Twitter (TWTR) at 19.42, a Bear Call Spread traded 2,000 times. The trader sold the Dec 15th 20/25 spread for a credit of 1.31. Apple, Inc. (AAPL) at 145.45, a Bull Call Spread traded 8,500 times. The trader bought the Aug 18th 155 /160 spread paying 56 cents. iShares iBoxx High Yield Corporate Bond (HYG) at 88.05[...]

  • Jul 11, 2017, 2:42 PM

    What's Trading Now? Amazon on Prime Day (AMZN)

    What's Trading Now? Amazon on Prime Day (AMZN)

    Other trades of note: General Electric (GE) at 26.20, a Bull Call Spread traded 18,918 times. The trader bought the Aug 18th 27/29 spread paying 26 cents. Utilities Select Sector SPDR ETF (XLU) at 51.31, a Risk Reversal traded 10,000 times. The trader sold the Dec 15th 50 Puts and bought the Dec 15th 53 Calls for a credit of 58 cents.   Western Digital (WDC) at 91.96, a 1x2 Ratio Spread traded. The trader sold 2,500 Jul 21st 89 Calls at 4.05 and bought 5,000 Jul 21st 93 Calls for 1.82,[...]

  • Jul 11, 2017, 12:00 PM

    Strong Volume for SPXW Options with Monday, Wednesday, Friday and Month-end Expirations

    Strong Volume for SPXW Options with Monday, Wednesday, Friday and Month-end Expirations

    The large-sized SPXW S&P 500 options with p.m.-settlement generated another strong figure of around 600,000 contracts for average daily volume in in June. Key points about SPXW options include – VOLUME. Average daily volume (a.d.v.) for SPXW options in June included 77,069 for the Monday expirations, 107,986 for mid-week expirations, and 267,955 for Friday expirations (see Exhibit 1 below); MANY EXPIRATIONS. SPXW options have expirations on 9 upcoming dates in July (see Exhibit[...]

  • Jul 10, 2017, 4:00 PM

    What's Trading Now? Spirit Airlines (SAVE)

    What's Trading Now? Spirit Airlines (SAVE)

    Other trades of note: With Financial Select Sector SPDR ETF (XLF) at 25.01, a trader bought the Jul 21st 25 Calls for 26 cents and sold the Sep 15th 23 Puts for 19 cents. This traded 11,000 times for a net cost of 7 cents. This may be a bullish play on financials into second quarter earnings as a good portion of the XLF weighting reports over the next couple of weeks.    With iShares MSCI Brazil Capped ETF (EWZ) at 34.52, one trader bought the Jul 21st 35 Calls for 46 cents and sold[...]

  • Market News | Trader Talk | Trade Ideas | Jul 8, 2017, 10:54 AM

    Weekend Review of Russell 2000 Options and Volatility - 7/3/2017 - 7/7/2017

    Weekend Review of Russell 2000 Options and Volatility - 7/3/2017 - 7/7/2017

    Small and large cap stocks finished week in what I will call a statistical tie performance wise.  The Russell 1000 (RUI) gained 0.02% while the Russell 2000 (RUT) was up 0.03%.  If this were an election RUI supporters would be calling for a recount.  I’m pretty convinced RUT is poised for a period of catching up to RUI and I looked smart on Monday as RUT gained 0.80% to RUI’s 0.25% rise, but with an increase in market volatility RUT fell back in line with RUI. The CBOE[...]

  • VIX | Trader Talk | Trade Ideas | Jul 8, 2017, 10:50 AM

    Weekend Review of VIX Options and Futures - 7/3/2017 - 7/7/2017

    Weekend Review of VIX Options and Futures - 7/3/2017 - 7/7/2017

    One a week over week basis VIX didn’t do very much, rising 0.01.  This did occur after VIX visited the mid-12’s on Thursday.  But like all moves higher in VIX lately, it was a short-lived rally.  What is interesting below is the gain in futures.  A week ago, I was talking about how the curve was in a mini-flatting phase.  However, the futures all moved up a bit more than VIX which may be something we look back at as an early indication that the bull market was[...]

  • VIX | Trader Talk | Trade Ideas | Jul 8, 2017, 10:46 AM

    Weekend Review of Volatility Indexes and ETPs - 7/3/2017 - 7/7/2017

    Weekend Review of Volatility Indexes and ETPs - 7/3/2017 - 7/7/2017

    The short end of the SPX volatility spectrum dropped last week which following a holiday-ish weekend is a little surprising to me.  Maybe getting employment out of the way pushed VXST lower relative to the other indexes.  Also note VXV and VXMT outperformed VIX to the upside.  Take my word on this, VXV often leads VIX and is worth keeping an eye on.  The long funds had a good wee with the unleveraged funds gaining over 2% and the leverage long funds rising by almost 5%. [...]