• Market News | Nov 21, 2016, 3:43 PM

    Earnings Week of 11/21 - 11/25

    Apologies for the lateness of this post.  However there are still some interesting stocks left to report on this holiday shortened week.  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 | Nov 21, 2016, 2:17 PM

    New Hedging Regime with Higher Levels for CBOE SKEW Index the Past 3 Years

    When the CBOE Volatility Index® (VIX®) drops below 14 (as it did in recent days), we sometimes hear questions such as – Is there still strong interest in portfolio hedging with index options? One metric that shows relative demand for out-of-the-money S&P 500® (SPX) put options is the CBOE SKEW Index (SKEW), with a daily price history that begins in 1990. Prior to 2014, the highest average daily closing value in a year for the SKEW Index was 122.5, but in each of the years[...]
  • Technical Analysis & Charts | VIX | Futures | Nov 21, 2016, 9:44 AM

    BigTrends.com Weekly Market Outlook - Can The Rally Continue?

    Even though the market didn't end the week on a wildly bullish foot, it ended the week with another respectable gain. The S&P 500 (SPX) (SPY) was up 0.8% for the five day span following the previous week's 3.8% gain.... and all of that 3.8% gain came in just the last three days of that election week. Either way, the persistent bullishness has left the S&P 500 within striking distance of record highs. It's still got a bit of a valuation problem, but between the momentum and this bullish[...]
  • Trader Talk | Futures | Nov 21, 2016, 9:02 AM

    Bond Market Moves May Lead to - 'Normal Markets'?

    The amazing sell off in the bond market over the past couple weeks since the election ended did not go unnoticed by market players. I've seen a ton of articles now proclaiming the 'bull market in bonds is over', and the 'bear is going to growl over bonds'. Yet, the long bond has not even reached the highest levels seen in 2015! All the sudden, the calls for the end of the bond bull are everywhere? It might be true, but color me skeptical (so far). How many calls for this bond market bull to end?[...]
  • Market News | Nov 20, 2016, 4:00 PM

    The Weekly Options News Roundup – 11/20/2016

    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. RIA Forum on Options Strategies On Thursday, CBOE hosted the Registered Investment Advisor (RIA) Forum on Options Strategies.  The day-long event featured roundtable discussions and presentations with leading options industry professionals, including portfolio managers, ’40 Act Fund providers and CBOE[...]
  • Market News | VIX | Trader Talk | Trade Ideas | Nov 20, 2016, 8:08 AM

    Weekend Review - Russell 2000 Options and Volatility - 11/14 - 11/18

    The Russell 2000 (RUT) widened its lead on the Russell 1000 (RUI) after trouncing the large cap index the previous week.  For the year, RUT is up about 15.8% while RUI is up one basis point under 7%.  If you had been fortunate enough to pick the bottom in RUT you would be up just shy of 38% since February of this year. Volatility spreads, as measured by the CBOE Russell 2000 Volatility Index (RVX) divided by VIX have widened out as they tend to do so in periods of low volatility. [...]
  • Market News | VIX | Trader Talk | Trade Ideas | Nov 19, 2016, 12:48 PM

    Weekend Review - Volatility Indexes and ETPs - 11/14 - 11/18

    The short end of the VXST – VIX – VXV – VXMT curve took it on the chin as the holiday effect took a toll on VXST.  We may see a bit of a rise in VXST relative to the rest of the SPX oriented indexes as we get the Thanksgiving holiday behind us. VIX is what everyone watches when assessing market risk.  VVIX is what the volatility traders look to when trying to gauge how other volatility traders are feeling about the markets.  VVIX has dropped a bit, but[...]
  • VIX | Trader Talk | Trade Ideas | Election & VIX | 2016 Recap | Nov 19, 2016, 11:57 AM

    Weekend Review - VIX Options and Futures - 11/14 - 11/18

    VIX returned to being a ‘tween’ this week finishing with a twelve handle.  The rest of the curve shifted lower as all fear with respect to a Trump administration seems to have dissipated.  At least for the moment.  There are some risk events between now and the end of 2016 which I’ll address after the table below. CBOE’s partner LiveVol has a great option analyzing tool and one of the features is that you can easily see At-the-Money implied volatility for different[...]
  • Block Trade Analysis - Bearish RUT Broken Wing Butterfly

    I got a heads up this morning about a pretty darn interesting trade that came into the Russell 2000 (RUT) pit this morning.  With RUT around 1300 there was a put butterfly that is looking for the small cap benchmark to be about 100 points lower on January 20th of next year.  Not only is that standard option expiration date it is also the day we will inaugurate our next president. The specific trade involved buying 7,000 RUT Jan 1240 Puts for 20.50, selling 14,000 RUT Jan 1200 Puts at 12.80,[...]
  • VIX | Trader Talk | Trade Ideas | Election & VIX | 2016 Recap | Nov 15, 2016, 3:46 PM

    If a Trump Presidency Is Scary Why Is VIX So Low?

    The world continues to adjust to the idea of a Trump presidency and there seems to be a lot of fear abounding.  For instance, I recently heard an economist state that he didn’t think even Donald Trump knows what action he’ll take as President.  We will all know the answers to what he’s going to do soon enough.  A question I recently got was, “If Trump is so scary why is VIX low?”  That’s a question I can answer. There are two types of government[...]
  • Benchmark Indexes Historical Pricing | Nov 15, 2016, 1:44 PM

    Yield-Hungry Investors Explore CBOE’s Option-Selling Benchmarks During Bond Market “Rout”

    Here are some highlights from recent news stories on the bond markets – A Wall Street Journal story had the headline “Government Bond Rout Deepens on Trump’s Economic Plans,” A Barron’s story noted that Jeffrey Gundlach, CEO of DoubleLine Capital, sees “a rise in bond yields that could lift the yield on the 10-year Treasury note to 6% in the next four or five years.” A New York Times story stated that “From Indonesia to the United States, government[...]
  • Market News | VIX | Trader Talk | Trade Ideas | Nov 14, 2016, 7:05 PM

    A Quick Look at Market Risk Through the End of 2016

    As the recent election drew near I would periodically post a chart showing the implied volatility for ATM SPX options over the many expirations we have available for trading.  Just for the heck of it I checked in on SPX implied volatility for every expiration available until the end of 2016.  The shape was interesting with a couple of bumps that occur around known events which may impact the equity market.  I decided to get out a calendar and see what other potentially market moving[...]
  • Technical Analysis & Charts | VIX | Strategy | Nov 14, 2016, 12:45 PM

    BigTrends.com Post-Election Weekly Market Outlook

    To call last week as wild week would still be an understatement of epic proportions. The S&P 500 (SPX) (SPY) gained 3.8% last week, which was big, but it was a victory made even more amazing by the fact that a Trump victory was supposed to be bad for the market (and for a few hours before Wednesday's open, it was very bad for stocks). A few hours after Donald Trump was confirmed as the next President though, the S&P 500 was not only up, but had cleared a key technical hurdle. The bulls don't[...]
  • Market News | Nov 14, 2016, 9:20 AM

    Why A Trump Presidency is Fed Positive

    Many were scared of the reaction to a Donald Trump presidency, even the Federal Reserve open market committee. How do we know that? They telegraphed the uncertainty in their statement following the November 2 meeting. Well, not in so many words but they certainly telegraphed their intention to hold off in November raising rates, fearing some sort of backlash and financial calamity could ensue post election. This was a similar stance as before the Brexit vote, and while there was a decent amount of[...]
  • Market News | Nov 14, 2016, 9:15 AM

    Admiral SPO Delivers 439% Without a Chase!

    On October 13, the eve of JPM’s Earnings Announcement, Admiral found a great trade opportunity: Buy a 1x4 67.50/70 Call BackSpread. Maury followed the Admiral without hesitation. Before the market opened, JPM’s earnings beat the estimates and revenue. However, the price action was fairly muted for the balance of October. Maury had the jitters, along with the market, due to the upcoming general elections. He was not used to waiting to get paid on a trade, but Admiral already had that[...]