Rhoads-Russell

Russell Rhoads, CFA

Russell Rhoads, CFA, is Director, Product Advancement, Global Derivatives at Cboe Global Markets. His career before joining Cboe included positions at a variety of firms including Highland Capital Management, Caldwell & Orkin Investment Counsel, Balyasny Asset Management, and Millennium Management. He is a financial author and editor having contributed to multiple magazines and edited several books for Wiley publishing. He is the author of six market related books including Trading VIX Derivatives, Option Spread Trading, Trading Weekly Options, and Options Strategies for Advisors and Institutions. He authored material to be included in Level II of the CFA program and material for the CMT designation. In addition to his duties at Cboe, he is an adjunct instructor at Loyola University. He is a double graduate of the University of Memphis with a BBA ('92) and an MS ('94) in Finance and also received a Master's Certificate in Financial Engineering from the Illinois Tech in 2003. Russell is currently pursuing a PhD from Oklahoma State University with an expected graduation date in the Summer of 2018.

  • Market News | VIX | Trader Talk | Trade Ideas | Apr 30, 2017, 9:10 AM

    Weekend Review of Volatility Indexes and ETPs - 4/24/2017 - 4/28/2017

    Weekend Review of Volatility Indexes and ETPs - 4/24/2017 - 4/28/2017

    S&P 500 implied volatility was dramatically lower last week.  Of significance is VXV which hit 2017 lows.  I’m teamed up with an academic putting the final touches on a study showing that VXV leads VIX so this may be a signal that the low for VIX in 2017 hasn’t be established and a close below 10.00 is a distinct possibility.  Beyond the long ETPs on the table, which had a pretty tough week, are some other markets worth noting.  First, TYVIX, which was over[...]

  • Market News | VIX | Trader Talk | Trade Ideas | Apr 29, 2017, 1:43 PM

    Weekend Review of Russell 2000 Options and Volatility - 4/24/2017 - 4/28/2017

    Weekend Review of Russell 2000 Options and Volatility - 4/24/2017 - 4/28/2017

    This past week was basically a tie between small and large cap stocks as the Russell 2000 (RUT) and Russell 1000 (RUI) were both up about 1.5%.  Four months into 2017 and RUI continues to maintain a lead of about 3.3% over RUT.  Last week VIX got smashed as did the CBOE Russell 2000 Volatility Index (RVX).  A return to the low end of the range resulted in the VIX / RVX relationship returning to higher levels.   With Weeklys available for trading all kinds of alternatives that[...]

  • Market News | VIX | Trader Talk | Trade Ideas | Apr 29, 2017, 9:00 AM

    Weekend Review of VIX Futures and Options - 4/24/2017 - 4/28/2017

    Weekend Review of VIX Futures and Options - 4/24/2017 - 4/28/2017

    Everyone knows what an ear worm is and if not you will now.  It is basically when a song is stuck in your head.  Since Monday REM’s Orange Crush has been on constant replay in my head.  VIX losing 26% and the front month down 14% definitely qualify as a volatility crush.  Since all this crushing was caused by events in Europe (France specifically) we will take a look at the week over week VSTOXX and associated futures term structure change.  Now I have Officer Barbrady[...]

  • Apr 26, 2017, 10:37 AM

    CBOE's 44th Anniversary

    CBOE's 44th Anniversary

    CBOE turns 44 today, and we thought we'd provide 44 "fun facts" to mark the occasion.   The first day of trading for CBOE was April 26, 1973. 911 option contracts traded on the first day in 1973. There were only 16 stocks with options on the first day. Seats at CBOE were originally offered at $10,000. Initially put options were not permitted for trading. In 1973, the Black Scholes model was published in the Journal of Political Economy. In 1977 CBOE was permitted[...]

  • Trader Talk | Strategy | Trade Ideas | Apr 25, 2017, 9:23 AM

    Reviewing a SPX Option Day Trade from Monday

    Reviewing a SPX Option Day Trade from Monday

    I have a handful of former Options Institute students who like to keep me up on their trading.  Yesterday morning I got an email from one who decided to take the other side of the big move to the upside in the S&P 500 (SPX).  Just after the market open, when the SPX was at 2374, the trader sold the SPX Apr 24th 2370 Call for 6.40 and purchased the SPX Apr 24th 2380 Call for 1.45 and a net credit of 4.95.  These options are Monday Weeklys and they expired on the close yesterday. [...]

  • What's Trading | Apr 24, 2017, 2:40 PM

    What's Trading Today: MCD Iron Condor in Front of Earnings

    What's Trading Today:  MCD Iron Condor in Front of Earnings

    Today I came across an Iron Condor initiated using MCD options expiring Friday and in anticipation of tomorrow morning's earnings announcement.  Click on the image to watch today's episode and then read below for some more color on this neutral earnings play. The colorful payout diagram below notes the short strikes were 3.5% higher and 3.9% lower than where MCD was trading.  The average move for MCD stock is up or down just over 2% in reaction to earnings (based on the last 12 quarters). [...]

  • Apr 24, 2017, 8:18 AM

    Weekend Review of Russell 2000 Options and Volatility - 4/17/2017 - 4/21/2017

    Weekend Review of Russell 2000 Options and Volatility - 4/17/2017 - 4/21/2017

    Small caps had a good week last week as the Russell 2000 (RUT) rose about 2.5% which places it up 1.67% for the year.  The large cap focused Russell 1000 (RUI) was up just under 1% and is not up 4.96% for 2017. VIX has worked higher as geopolitical risks have risen in the past couple of weeks and the Russell 2000 Volatility Index (RVX) has done the same.   The result is a lower RVX to VIX risk premium, with this measure actually closing at a 2017 low on Friday.   On Friday there[...]

  • Apr 22, 2017, 1:33 PM

    Weekend Review of VIX Options and Futures - 4/17/2017 - 4/21/2017

    Weekend Review of VIX Options and Futures - 4/17/2017 - 4/21/2017

    April VIX was retired last week and May became the front month.  We have a volatility event this weekend which has resulted in a bit of front month vs spot VIX backwardation.  I have a feeling that will not be the case as the election results are digested starting Sunday night. The curve below shows VSTOXX versus the available VSTOXX futures contracts.  Like VIX, April VSTOXX was retired with a settlement level in the mid-20's.  Backwardation is a bit more obvious here which[...]

  • Apr 22, 2017, 9:59 AM

    Weekend Review of Volatility Indexes and ETPs - 4/17/2017 - 4/21/2017

    Weekend Review of Volatility Indexes and ETPs - 4/17/2017 - 4/21/2017

    The VXST – VIX – VXV – VXMT curve is a textbook, “here’s what it looks like in front of an event”.  The event being the first round (yes it doesn’t end Sunday) of the French Election.  We will know when the markets open Monday morning who the two finalists are to be the next Presidence del al Republique.  I do expect VXST to fall back in line come Monday morning, either with the longer dated contracts rallying but more likely due to VXST dropping[...]

  • Earnings | Apr 21, 2017, 3:15 PM

    Earnings Week of 4/24 - 4/28

    Earnings Week of 4/24 - 4/28

    We hit the busiest part of earnings season this week.  The stocks below have Weeklys available for trading and the numbers represent the last 12 quarters of one day price reactions to their announcement (with one exception - PYPL).  As always double check the dates as none have been confirmed.

  • VIX | French Election | Apr 19, 2017, 4:55 PM

    A Case of Volatility Futures Leading an Index

    A Case of Volatility Futures Leading an Index

    The first round of the French Election occurs this coming weekend and the implied volatility of broad based options in Europe is taking notice.  The European version of VIX is VSTOXX which is based on Euro Stoxx 50 Index options.  Today VSTOXX closed over 24.00 as Euro Stoxx 50 options are pricing in high volatility over the next few weeks in anticipation of the market’s reaction to the French Election.  The VSTOXX futures market also (correctly) anticipated a rise in VSTOXX[...]

  • Earnings | Apr 17, 2017, 9:57 AM

    Earnings Week of 4/17 - 4/21

    Earnings Week of 4/17 - 4/21

    Earnings season is back in full swing.   The stocks below have Weeklys available for trading and the numbers represent the last 12 quarters of one day price reactions to their announcement.  As always double check the dates as none have been confirmed.

  • VIX | French Election | Apr 11, 2017, 7:43 PM

    How I Know the US Market is Waking Up to the French Election

    How I Know the US Market is Waking Up to the French Election

    I was discussing the current state of the markets with a trader today and noted that VIX is perking up based on the uncertainty surrounding the upcoming French election.  He challenged me on this and said the geopolitical situation had more to do with the recent rise in VIX, not the French election.  I know I’m right and the picture below proves it.  Above is a depiction of the at the money implied volatility for SPX options expiring each Monday, Wednesday, and Friday for the[...]

  • What's Trading | Apr 10, 2017, 1:18 PM

    What's Trading Today - SPX Broken Wing Butterfly

    What's Trading Today - SPX Broken Wing Butterfly

    Today’s What’s Trading episode was a discussion of a SPX Broken Wing Iron Butterfly expiring this coming Thursday April 13th.  Link to the video is below and after that some additional commentary about today's trade. Click Here for Today's Video The payoff diagram below shows the outcome if this trade is held through Thursday’s close.  Between 2345.60 and 2374.40 this trade makes a profit.  The payoff diagram below also highlights that the risk of loss is bigger[...]

  • Market News | VIX | Trader Talk | Trade Ideas | Apr 9, 2017, 10:32 AM

    Weekend Review of Russell 2000 Options and Volatility - 4/3/2017 - 4/7/2017

    Weekend Review  of Russell 2000 Options and Volatility - 4/3/2017 - 4/7/2017

    An emerging theme in 2017 is that when stocks come under pressure the Russell 2000 (RUT) seems to take it on the chin a bit more than the Russell 1000 (RUI).  Last week the large cap focused RUI was lower by 0.33% while RUT lost just over 1.5%.  This widens the lead that RUI has on RUT to about 4.5% for 2017.  With small caps leading stocks lower the relative level of small cap volatility remains high compared to large cap volatility.  The best way to measure this is the CBOE[...]