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.

  • Mar 6, 2017, 12:26 PM

    Market Volatility and FOMC Rate Hikes

    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 5, 2017, 10:24 AM

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

    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

    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

    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

    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[...]

  • Earnings | Mar 1, 2017, 4:27 PM

    Earnings Week of 3/6 - 3/10

    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.

  • Market News | Trader Talk | Feb 25, 2017, 5:22 PM

    Update on The Warren Buffett Put Trades

    Update on The Warren Buffett Put Trades

    A few years ago, I was asked to co-author the study guide that accompanies the 3rd version of The Warren Buffett Way.  While doing research for this project I came across a discussion of a handful of index put options that Berkshire Hathaway had sold between 2004 and 2008.  Every year when the Berkshire Hathaway annual report comes out, I dig in to see how these trades are doing.  Here’s the update as of the end of 2016. Back in 2008, as the financial world was falling apart,[...]

  • Trader Talk | Trade Ideas | Feb 25, 2017, 2:54 PM

    Weekend Review of Russell 2000 Options and Volatility - 2/21 - 2/24

    Weekend Review of Russell 2000 Options and Volatility - 2/21 - 2/24

    Large cap dominance continues as the Russell 1000 (RUI) gained 0.77% last week and the Russell 2000 (RUT) was down 0.38%.  For the year RUI is now outpacing by over 3%. Small cap risk remains high relative to large cap risk as the CBOE Russell 2000 (RVX) premium to VIX remains are elevated levels.  First thing Friday, with RUT under a bit of pressure down about 10 points around 1383 one trader came in with a bull put spread that has a ton of room for error.  They sold the RUT Apr[...]

  • Market News | VIX | Trader Talk | Trade Ideas | Feb 25, 2017, 2:14 PM

    Weekend Review of Volatility Indexes and ETPs - 2/21 - 2/24

    Weekend Review of Volatility Indexes and ETPs - 2/21 - 2/24

    VIX was the only S&P 500 related volatility index that lost value last week.  VXST rose, probably getting a boost from coming off a long weekend.  The longer dated volatility indexes mirrored the action in longer dated VIX futures by moving to the upside.  April seems to be the next month of concern among volatility players with the pending election in France.  Other pockets of volatility are showing up in the table below.  SKEW finished the week near recent highs and[...]

  • Market News | VIX | Trader Talk | Futures | Trade Ideas | Feb 25, 2017, 10:46 AM

    Weekend Review of VIX Futures and Options - 2/21 - 2/24

    Weekend Review of VIX Futures and Options - 2/21 - 2/24

    To say that volatility was flat last week is misstating the facts.  Sure, VIX was lower, but wow, look at the rest of the curve.   All contracts were higher with April and May futures leading the way at up over 6%.  For this we will blame France, which I will explain after the VIX Table / Term Structure below. VSTOXX is basically VIX for the European markets.  Specifically, it is an index that calculates a consistent measure of implied volatility as indicated by options[...]

  • Earnings | Feb 24, 2017, 10:23 AM

    Earnings Week of 2/27 - 3/3

    Earnings Week of 2/27 - 3/3

    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.

  • What's Trading Today - OTM RUT Bull Put Spread

    What's Trading Today - OTM RUT Bull Put Spread

    Today’s What’s Trading focused on a Bull Put Spread using Russell 2000 (RUT) quarter end options expiring on March 31st. For 2017, as of mid-morning today, the S&P 500 (SPX) is up about 3% more than RUT, which is a reversal of year end price action that saw small cap stocks as represented by RUT out performance the SPX by over 10% from election day to December 31st.  Note the elevated level of RUT implied volatility of RUT options as represented by the CBOE Russell[...]

  • VIX | Trader Talk | Trade Ideas | Feb 20, 2017, 7:30 PM

    Weekend Review of Volatility Indexes and ETPs - 2/13 - 2/17

    Weekend Review of Volatility Indexes and ETPs - 2/13 - 2/17

    VXST and VIX managed gains last week while the longer dated volatility indexes (VXV and VXMT) both lost value.  The curve created by charting out VXST, VIX, VXV, and VXMT has been steep for most of 2017 as the shorter dated indexes have been at very low levels.  The price action last week narrowed the angle to more normal levels.  Last week the S&P 500 was up just over 1.5% and VIX rose over 5%.  More on that after the table below.  I ran some numbers and this is[...]

  • Market News | VIX | Strategy | Trade Ideas | Feb 19, 2017, 9:29 AM

    Weekend Review of VIX Futures and Options - 2/13 - 2/17

    Weekend Review of VIX Futures and Options - 2/13 - 2/17

    We’ve experienced several twists in the volatility markets this year where the futures don’t move in sync or in line with spot VIX.  This occurred again last week as VIX rose almost 6% while the futures markets moved lower.  Part of this may be attributed to February going off the board, at least with respect to March, but the farther date futures had been a bit elevated this year, but with the lack of any sort of volatility event appear to have started to weigh on the farther[...]

  • Weekend Review of Russell 2000 Options and Volatility - 2/13 - 2/17

    Weekend Review of Russell 2000 Options and Volatility - 2/13 - 2/17

    The Russell 1000 (RUI) gained about 1.5% last week and is now up over 5% for the year while the Russell 2000 (RUT) was up 0.8% and is trailing RUI up a tad more than 3% for 2017. The relative implied volatility of Russell 2000 options dropped to a historically more normal level last week after spending most of this year at the top end of the historical range. On Wednesday RUT managed to close over 1400 which bought out at least one trader with a short term bearish outlook.  With about 30[...]