• Mar 8, 2017, 5:31 PM

    CBOE RMC Presentation: Decision Cycle for Downside Risk and Income Focused Strategies

    Carlos Chujoy from the Employment Retirement System of Texas, Aashish Vyas from Swan Global Investments, and Joanne Hill from CBOE Vest Financial teamed up this afternoon for a session titled “The Decision Cycle for Downside Risk and Income-Focused Strategies”.  Aashish kicked things off with his part titled “Traders, Fishermen, and Big Data” which was a great analogy of fishing with being a trader.  After showing how fishing for a living and trading are similar[...]

  • Mar 8, 2017, 3:46 PM

    CBOE RMC Presentation: Funds and Use of Options Strategies

    The first session of the 33rd Annual CBOE Risk Management Conference featured Teri Geske from Wilshire Associates and Michael Oyster from Fund Evaluation Group.  Their presentation focused on white papers that discuss BuyWrite and PutWrite benchmark indexes that were created by CBOE. Michael Oyster went first noting that the long term trend for yields has been to the downside.  He then discussed the performance of benchmark indexes that utilize Russell 2000 (RUT) Index options.  The[...]

  • Market News | VIX | Trader Talk | Trade Ideas | Mar 6, 2017, 3:37 PM

    Tales from the Cross VIX Highway

    While traders of nothing but the Essenpee would find themselves sitting on a gain of 1.5% to nearly 2% from February 14th through today (or through Friday, March 3rd's closing price, thus the difference between quotes), traders like me who favor TVIX or UVXY would be sitting right where they started, whether short or long. See chart below for a short history of UVXY over the last nearly-three-weeks. My account performance shows a gain of several percent. How did I do that, when trading nothing[...]

  • Mar 6, 2017, 12:26 PM

    Market Volatility and FOMC Rate Hikes

    It appears we are approaching another well telegraphed rate hike at the conclusion of the FOMC meeting scheduled next Tuesday and Wednesday.  I got a question via email that got me digging into market volatility around the last two hikes.  Both were widely expected, but did occur in December (2015 and 2016).   The two charts below shows price action for VIX and TYVIX leading up to and following the last two FOMC meetings where a rate hike resulted.  VIX was two different[...]

  • Mar 6, 2017, 9:42 AM

    FANG Stocks Still Have Some Bite Left in 2017!

    About four years ago, Jim Cramer asked me to assist him with the off the charts segment of CNBC's Mad Money.  At the time, the market was a getting ready to launch to new heights, and it was clear we needed to look at growth stocks.  The names we selected were Facebook, Amazon, Neflix and Google - the poster children of technology and growth.  Using the first letters of each name we came up with the acronym, and FANG was born.  See the clip below from 2013.      I[...]

  • Mar 5, 2017, 3:00 PM

    The Weekly Options News Roundup – 3/5/2017

    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.      One Company, Indivisible, with Unity, and Multi Asset Class Trading for All CBOE announced that it completed its acquisition of Bats Global Markets on Tuesday. The combined company also announced its new corporate leadership structure, which includes key members of both CBOE’s[...]

  • Mar 5, 2017, 10:24 AM

    Weekend Review of VIX Futures and Options - 2/27/2017 - 3/3/2017

    The week over week change for VIX and the futures doesn’t tell the whole story last week. Despite falling on a week over week basis, VIX did show some life closing on Tuesday at 12.92 before retreating to close under 11.00 for the week.  I’m going to add something to this space for the next few weeks as there is a divergence in the volatility world.  Specifically, VSTOXX futures pricing from April and beyond is at a significant premium to corresponding VIX pricing.  The[...]

  • Mar 5, 2017, 9:36 AM

    Weekend Review of Russell 2000 Options and Volatility - 2/27/2017 -3/3/2017

    Small cap stocks in the form of the Russell 2000 (RUT) lost 3 basis points last week which I am going to call a flat week.  Large caps represented by the Russell 1000 (RUI) was up .77% widening the lead for 2017 to 3.71%.  With the under performance of RUT last week came an increase in the CBOE Russell 2000 Volatility Index (RVX) premium to VIX which topped 50% to end the week. Although small caps have been lagging, at least one trader has expectations for RUT to push higher. [...]

  • Market News | VIX | Trader Talk | Strategy | Trade Ideas | Mar 5, 2017, 8:08 AM

    Weekend Review of Volatility Indexes and ETPs - 2/27/2017 - 3/3/2017

    Textbook and parallel are two terms that come to mind to described the shift in the VXST – VIX – VXV – VXMT curve below.  Also, steep comes to mind as the longer dated indexes are pretty elevated when compared to VIX and VXST. The long funds below benefited from volatility increasing a bit on Tuesday last week, with VIX even putting in a 2017 high, before resuming their downward trajectory.  Note TYVIX giving up 10% which puts the volatility of 10-Year Treasury Note options[...]

  • Trader Talk | Trade Ideas | Mar 3, 2017, 9:47 AM

    Block Trade Analysis - Huge Bullish EEM Spread Trade

    Early Friday a huge spread trade was executed at CBOE using options on the iShares MSCI Emerging Market Index ETF (EEM).   Just a few minutes into the day a trader bought 66,000 EEM Mar 38 Calls at 0.62, sold 132,000 (twice as many) EEM Mar 39 Calls for 0.18 and then took in a little more premium by selling 66,000 EEM Mar 37 Puts for 0.19.  The net result was a cost of 0.07 for each short 1 37 Put, long 1 38 Call, short 2 39 Calls spreads.  The payoff at expiration on March 17th[...]

  • Mar 2, 2017, 4:19 PM

    Snapchat (SNAP) IPO is Here!

    Snapchat is all about sharing who you are in the moment. The Los Angeles based “camera company” (SNAP) went public today at $17 and is now trading around $25 confirming investors like to smile for the camera.  IPO’s can generate as much excitement as a Hollywood movie premier but can sometimes disappoint too. So far today SNAP has proved to be much more than an Adam Sandler movie but over time every stock has a story to tell and SNAP will too. If you have been standing on[...]

  • Earnings | Mar 1, 2017, 4:27 PM

    Earnings Week of 3/6 - 3/10

    Things are starting to wind down, but there are a few stocks reporting next week with Weeklys available for trading.  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.

  • Mar 1, 2017, 1:00 PM

    Eight Charts Highlighting Growth in Options and VIX Futures

    Below are eight charts, all of which highlight growth related to options markets or VIX® futures. CHART #1 – GROWTH IN OPTIONS VOLUME ON 4 EXCHANGES Aggregate total options volume on four exchanges – Bats, CBOE, C-2, and EDGX – grew 27% from 2012 through 2016 – from 1.24 billion contracts to 1.57 billion contracts.   CHART #2 – GROWTH IN NOTIONAL VALUE OF VOLUME FOR SPX OPTIONS When instititional investors are considering portfolio management tools, often[...]

  • Mar 1, 2017, 11:55 AM

    Strong ETH VIX Option Volume in February

    Despite exceptionally low realized and implied volatility in February, CBOE experienced a massive increase in our VIX options average daily volume during our Extended Trading Hours session.  VIX options ETH ADV was 7,336 contracts per day in February 2017.  This compares to ADV of 1,761 contracts per day in 2016, a 416% increase. February VIX option ETH volume was bolstered by extremely strong sessions to close the month on February 24, February 27, and February 28, demonstrating that[...]

  • Feb 28, 2017, 9:01 AM

    Apple is Slowly Blowing Companies Away

    The resurgence of Apple the stock has been an amazing turn of events from last summer when the stock appeared to headed down the drain.  It seemed everyone had written a eulogy for the company, saying Apple could only be considered a phone hardware company and nothing else.  The stock is flirting with all time highs now, and since the beginning of 2017 Apple is up a whopping 16% or so, making the biggest company in the world worth well over 600 billion dollars. But what I find fascinating[...]