• Jun 19, 2017, 12:03 PM

    Playing Pickle with the Market

    Playing Pickle with the Market

    Remember as a kid playing pickle?  This is the game where say on a baseball field you are in a rundown between two bases, and players on the other team are trying to tag you out.  You run back and forth, dodge, duck and swerve to avoid a tag and make it safely to one of two bases.  It's a thrilling game and often filled with surprising moves. There are market trading strategies that are similar to the game of pickle, and we do our best to stay away from the tag that puts us out of[...]

  • Market News | Trader Talk | Jun 19, 2017, 10:03 AM

    FTSE Russell Reconstitution Completed this Friday

    FTSE Russell Reconstitution Completed this Friday

    This is a big week for the FTSE Russell suite of indexes.  On Friday, a large number of indexes will undergo what is referred to as the annual reconstitution.  Specifically, the final phase of this process will occur on the market close Friday as stocks move into or out of indexes.  The index we care most about at CBOE is the Russell 2000 which is the standard benchmark index for small cap managers in the US.  Also, RUT options are the 3rd most actively traded broad based index[...]

  • Jun 18, 2017, 4:30 PM

    The Weekly Options News Roundup – 6/18/2017

    The Weekly Options News Roundup – 6/18/2017

    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.      Symbol of Change  On May 1, CBOE changed the symbol for existing SPXPM options series to option symbol SPXW.  As a result, CBOE is offering both SPX options with a.m. settlement, and SPXW options with p.m. settlement, on third Fridays of the month.  The conversion is designed to[...]

  • VIX | Trader Talk | Trade Ideas | Jun 17, 2017, 2:09 PM

    Weekend Review of VIX Futures and Options - 6/12/2017 - 6/16/2017

    Weekend Review of VIX Futures and Options - 6/12/2017 - 6/16/2017

    VIX gave volatility bulls a little hope on Monday rising to the highest intra-day level since VIX was receding from the news flow that followed the firing of Comey by Donald Trump in the middle of May.  However, as is the norm, VIX dropped and worked lower with the curve following in suit. As Monday was the only day of real strength for VIX and the June VIX futures.  One trader took advantage of that by selling an out of the money call spread.  Late Monday as VIX was near 11.65 and[...]

  • VIX | Trader Talk | Trade Ideas | Jun 17, 2017, 2:01 PM

    Weekend Review of Volatility Indexes and ETPs - 6/12/2017 - 6/16/2017

    Weekend Review of Volatility Indexes and ETPs - 6/12/2017 - 6/16/2017

    As the week came to a close VXST which measures 9-day volatility expectations took a dive.  Hence the big drop on the left side of the VXST – VIX – VXV – VXMT diagram below.  TYVIX finished the week below 4.00 which was a first for 2017, but not outside of the long term historical range.  I checked the market expectations for the next FOMC meeting in late July and right now we have a 100% chance of nothing happening.  That much certainty probably justifies[...]

  • Market News | VIX | Trader Talk | Strategy | Trade Ideas | Jun 17, 2017, 1:56 PM

    Weekend Review of Russell 2000 Options and Volatility - 6/12/2017 - 6/16/2017

    Weekend Review of Russell 2000 Options and Volatility - 6/12/2017 - 6/16/2017

    Small cap stocks lost some of the recently gained ground relative to large cap stocks last week.   The Russell 2000 (RUT) was down over 1% while the large cap focused Russell 1000 (RUI) was up slightly.  The spread of RUI to RUT out performance for 2017 has now widened to almost 5%. Despite the tough week for small cap stocks the CBOE Russell 2000 Volatility Index (RVX) finished Friday at a 2017 low.  This lower relative level for RVX pushed the RVX to VIX ratio to the lowest[...]

  • Jun 14, 2017, 8:27 AM

    Volume Rises for S&P 500 Options with P.M.-Settlement on 3rd Fridays

    Volume Rises for S&P 500 Options with P.M.-Settlement on 3rd Fridays

    In regard to the popular S&P 500® options, on May 1, 2017, CBOE changed the symbol for existing SPXPM option series to option symbol SPXW. Beginning last month, CBOE is offering both SPX options with a.m.-settlement, and SPXW options with p.m.-settlement, on third Fridays of the month. This conversion was designed to allow greater ease of access for those looking to place spreads from week to week.  We have received some very positive feedback from institutional investors on this change[...]

  • Jun 12, 2017, 8:57 AM

    Human Behavior Creates Predictable Chart Patterns

    Human Behavior Creates Predictable Chart Patterns

    It was an interesting week in the stock market, with plenty of fear and greed to go around.  Same as it ever was, right?  As we analyze emotions and behavior they seem to parallel the price action in markets.  Excessive greed pushes prices ever higher, We saw new highs this week in names like Amazon and Google, while all of the most prominent indices at some point hit record highs during the week.  As prices continue to rise volatility shrinks and the perception about market[...]

  • Jun 11, 2017, 4:00 PM

    The Weekly Options News Roundup – 6/11/2017

    The Weekly Options News Roundup – 6/11/2017

    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. Bats Index Franchise Expanding On Tuesday, Bats Europe, a CBOE Holdings, Inc. company and the region’s largest equities exchange operator, announced it will expand its European index franchise with the planned launch of 18 new regional European benchmark indices.  The new indices, which are planned[...]

  • VIX | Trader Talk | Trade Ideas | Jun 10, 2017, 6:44 PM

    Weekend Review of VIX Options and Futures - 6/5/2017 - 6/9/2017

    Weekend Review of VIX Options and Futures - 6/5/2017 - 6/9/2017

    VIX was higher by about 10% last week, but that did not have much of an impact on the rest of the term structure.  The futures were mixed which can be attributed to just how steep the VIX curve was going into the week.  Before things turned to the upside on Friday we experienced the lowest level for VIX since 1993.  The table below ranks the lowest inter-day lows for VIX since 1990.  Note Friday ranks 6th and 4 of the 10 on the list occurred this year.  A couple of bullish[...]

  • VIX | Trader Talk | Trade Ideas | Jun 10, 2017, 6:39 PM

    Weekend Review of Volatility Indexes and ETPs - 6/5/2017 - 6/9/2017

    Weekend Review of Volatility Indexes and ETPs - 6/5/2017 - 6/9/2017

    That little bump in VXST that shows up on the far left side of the diagram below can be attributed to Friday afternoon activity.  VXST rose 0.75 Friday while VIX was up 0.54.  Shorter dated SPX option pricing is used to calculate VXST than VIX.  It may be the weakness Friday afternoon in large cap tech stocks may have traders worrying about the direction of the stock market over the short term.  Several things pop out at me on the table below.  VMAX had a nice week rising[...]

  • Market News | VIX | Trader Talk | Trade Ideas | Jun 10, 2017, 6:31 PM

    Weekend Review of Russell 2000 Options and Volatility - 6/5/2017 - 6/9/2017

    Weekend Review of Russell 2000 Options and Volatility - 6/5/2017 - 6/9/2017

    Small cap stocks prevailed last week as the Russell 2000 (RUT) gained over 1% while the Russell 1000 (RUI) was lower by about 1/3 of 1%.  Large cap stocks still hold a lead over small caps in 2017, but the Russell 2000 has kept pace with the Russell 1000 since the end of the first quarter so all the large cap outperformance may be attributed to the first three months of 2017.  On the volatility front VIX and the CBOE Russell 2000 Volatility Index (RVX) rose last week, with the relative[...]

  • Jun 5, 2017, 7:56 AM

    The Weekly Options News Roundup – 6/4/2017

    The Weekly Options News Roundup – 6/4/2017

    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.      Checking in at the Options Industry Conference Last month, the 35th annual Options Industry Conference was held in Scottsdale, AZ, where over 450 options industry professionals, including several CBOE leaders, gathered to discuss important issues facing the industry.  During the conference,[...]

  • Market News | Trader Talk | Trade Ideas | Jun 4, 2017, 12:57 PM

    Weekend Review of Russell 2000 Options and Volatility - 5/30/2017 - 6/2/2017

    Weekend Review of Russell 2000 Options and Volatility - 5/30/2017 - 6/2/2017

    Small caps had a nice week with the Russell 2000 (RUT) rising 1.67% while the Russell 1000 (RUI) was up 1.01%.  The large cap lead narrowed a bit, but the RUT still lags RUI by just over 5% year to date.  Continued low levels for VIX dominate the CBOE Russell 2000 (RVX) to VIX ratio which remains at historically high levels.  VIX under 10.00 and RVX over 15.00 results in a ratio in the mid- 50% range to end the week.   Mid-day Wednesday, with RUT around 1360 a bullish trade[...]

  • Market News | VIX | Trader Talk | Trade Ideas | Jun 3, 2017, 8:31 PM

    Weekend Review of Volatility Indexes and ETPs - 5/30/2017 - 6/2/2017

    Weekend Review of Volatility Indexes and ETPs - 5/30/2017 - 6/2/2017

    The VXST – VIX – VXV – VXMT week over week curve change only has one noticeable move.  VXST was up nicely last week, but we are going to attribute the whole move to the 3 day weekend effect and say the curve was basically unchanged.  The long volatility funds drifted down and short volatility ruled the week with SVXY rising 2% and relative newcomer VMIN gaining 2.2% last week.  Worth noting below is VVIX which remains above 80.00 despite VIX closing for the second[...]