• Market News | Nov 13, 2016, 2:00 PM

    The Weekly Options News Roundup – 11/13/2016

    VIX FIX: The Volatility Event No One Saw Coming   Volatility jolted from its long slumber Tuesday night after a jaw-dropping win in the U.S. Presidential election by Donald Trump. Global markets were reacting to the surprise as state by state results came in, causing Dow futures to plunge approximately 750 points at one point during the night, while the CBOE Volatility Index (VIX Index) soared 55%, topping the 23 mark. VIX futures contracts also made history, setting a new volume record of 263,663[...]
  • Earnings Week of 11/14 - 11/18

    Earnings moves to being all about retail - I personally am looking forward to company outlooks for the holiday shopping season.  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.  
  • VIX | Trader Talk | Trade Ideas | Election & VIX | 2016 Recap | Nov 13, 2016, 12:12 PM

    Weekend Review - Volatility Indexes and ETPs - 11/7 - 11/11

    Regardless of the outcome, we all expected VXST to get routed last week and that’s exactly what happened.  I’ve worn this out, but the election was like an earnings announcement with respect to the broad-based equity markets.  We see volatility crushes occur on short dated options when a company reports and we saw that for SPX options this past week. The highlight of the table below is TYVIX.  Uncertainty came out of stocks, but made its way into the fixed[...]
  • VIX | Trader Talk | Trade Ideas | Election & VIX | 2016 Recap | Nov 13, 2016, 7:56 AM

    Weekend Review - VIX Options and Futures - 11/7 - 11/11

    If a tree falls in the woods and no one is there to hear it did it make a sound?  More appropriately for this space, if market fear increases during non-US market hours was there any increase in fear?  Before this election this could be a philosophical debate among those of use that follow market volatility.  Now we know that the answer is yes.  I’ve already touched on the overnight market action in November VIX futures and the S&P 500 futures contracts so I won’t[...]
  • Market News | Trader Talk | Trade Ideas | Nov 12, 2016, 2:40 PM

    Weekend Review - Russell 2000 Options and Volatility - 11/7 - 11/11

    Last week the Russell 2000 (RUT) beat the Russell 1000 (RUI) down like a college football team trying to make a statement and qualify for a spot in the playoff.  RUT was up over 10% in reaction to the outcome of the US election while the large cap (and more internationally focused) RUI gained just under 4%.  The race to the end of the year was close, but now RUT has about a 7% lead on RUI. In an interesting twist, the CBOE Russell 2000 Volatility Index (RVX) moved up relative[...]
  • Trader Talk | Trade Ideas | Election & VIX | 2016 Recap | Nov 10, 2016, 7:38 PM

    Trump Victory = Divergence Between U.S. & Emerging Equity Markets

    Emerging market equities lead the charge in 2016 until Tuesday’s U.S. Presidential election.  Donald Trump’s victory altered that course as the markets react to potential changes in global trade.  Within the past two days, S&P 500 moves towards it’s 52-week high (2,193.81) and the FTSE Emerging Index declined by 5% from its record high from Sept. 8th (467.34) .  Although it may be too early to forecast trends in the Emerging Markets vs U.S. Large Caps, investors[...]
  • VIX | Election & VIX | 2016 Recap | Nov 9, 2016, 3:17 PM

    VIX Nov. Futures Shot Up by 55% on Election Night, but Later Retreated After Conciliatory Speech

    Four charts with big price moves over the past two days are presented in this blog. On the Tuesday election night in the United States, the reported prices for the November futures on the CBOE Volatility Index® (VIX®) rose from a low of 15.10 at 8:07 p.m. E.T., to a high of 23.46 at 10:27 p.m. E.T., an amazing rise of 55% over a 140-minute period (source: Bloomberg). Reported volume for VIX futures during non-U.S. trading hours topped 230,000 contracts both on June 24 (Brexit) and again[...]
  • About Last Night

    So I spent the evening and early part of this morning watching different networks while watching the financial markets at the same time.  The chart below is a 5-minute chart showing the S&P 500 and VIX futures trading during the non-US hours trading session.  Then after 3 hours of sleep I taught my class at Loyola, spending half of that talking my students down from their disappointment at the election results.   There were a couple of things that stand out on the chart from[...]
  • Market News | VIX | Trader Talk | Trade Ideas | Election & VIX | 2016 Recap | Nov 7, 2016, 4:40 PM

    On Election Eve, Volatility Indexes for Stocks, Gold, Currencies & Volatility Fall By More than 8% (after Record 9-Day Up-Streak)

    Last week I heard about quite a bit of new interest in portfolio protection strategies, and on November 4 the CBOE Volatility Index® (VIX®) rose on a ninth consecutive day (a new all-time record for the VIX Index over its price history dating back to January 1990). However, on November 7, the date before the U.S. national elections, the S&P 500® Index rose 2.2%, and the percentage changes for some key volatility indexes were as follows: ·         -16.9% [...]
  • Market News | Election & VIX | 2016 Recap | Nov 7, 2016, 10:22 AM

    Election Update - Volatility Still Abundant Despite S&P 500 Rally

    As I write this the S&P 500 is up 40.00 points on the nose and volatility is dropping.  I ran a quick update on different charts I have been using to discuss the markets and the election.  All three appear to be saying despite the stock market rally, there’s still some uneasiness with respect to tomorrow’s election. First, I’ve been watching the at the money implied volatility of SPX options expiring in November.  We have options expiring on the close today, but[...]
  • BigTrends.com Weekly Market Outlook - Election Week

    Last week wasn't just rough. It was the worst week the market has logged since September, and it was close to being the worst week since January. Whatever the case, it was bad, with the S&P 500 (SPX) (SPY) losing 1.94% of its value over the course of five straight losing days. In fact, the index has now logged nine straight losing days. That's the longest losing streak since 1980. There's a potential upside to such a move. That is, after such a dry spell, the buyers may be chomping at the[...]
  • Trader Talk | Election & VIX | 2016 Recap | Nov 7, 2016, 9:04 AM

    Comparing the Election to Brexit

    From a market perspective, the outcome for this week's election is similar to the brexit vote in United Kingdom earlier this year.  That is, a binary event where one extreme outcome is likely to trigger several emotional responses.  Remember much of the worry over brexit prior to that critical vote?  Wait, there was none?  No, I don't remember it, either.  Leading up to the brexit the polls seemed to be convinced voters would not push the referendum through. In fact, lawmakers[...]
  • Market News | Nov 6, 2016, 4:00 PM

    The Weekly Options News Roundup – 11/6/2016

    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. Industry Professionals Set Sail for CBOE RMC Asia Last Tuesday, CBOE announced the agenda for the 2nd annual CBOE Risk Management Conference Asia, a two-day event featuring discussions covering volatility products, and the latest risk management tools and tactics from top traders and strategist.  One of this[...]
  • Market News | Nov 6, 2016, 12:17 PM

    Earnings Week of 11/7 - 11/11

    Earnings season is starting to wind down, but there are plenty of stocks with Weeklys reporting this 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.
  • VIX | Trader Talk | Trade Ideas | Election & VIX | 2016 Recap | Nov 6, 2016, 8:48 AM

    Weekend Review - VIX Options and Futures - 10/31 - 11/4

    Volatility rose as we approach Tuesday’s big decision.  VIX gained almost 40% and the November contract moved up 16% which placed the short end of the curve in backwardation.  One other thing I’d like to point out below is the ‘dip’ that is the December contract.  Due to the Holidays there is a seasonal impact on the curve, however, this is the first weekend this stood out this much. One trader is expecting the dust to clear and VIX to fall rapidly to normal[...]