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.

  • Earnings | Feb 17, 2017, 8:26 AM

    Earnings Week of 2/21 - 2/24

    Earnings Week of 2/21 - 2/24

    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 | Strategy | Trade Ideas | Feb 16, 2017, 10:49 AM

    Block Trade Analysis - Large Bullish 1 x 4 VIX Option Trade

    Block Trade Analysis - Large Bullish 1 x 4 VIX Option Trade

    I’m on the road today playing an academic, but regardless of how far I am from CBOE I still am fortunate that I’m constantly keep in the loop about big trades.  I got a heads up this morning that a VIX Mar 15 – 22 1 x 4 Call spread traded in the VIX pit a few minutes after the open.  My assumption was the trader bought the 15’s and sold the 22’s (I was wrong) mainly because all the big trades seem to be based on a low volatility outlook.  Also, my incorrect[...]

  • Market News | Trader Talk | Strategy | Trade Ideas | Feb 15, 2017, 7:40 PM

    Block Trade Analysis - Large RUT Bear Call Spread

    Block Trade Analysis - Large RUT Bear Call Spread

    As the Russell 2000 (RUT) continues to move into uncharted territory at least one trader believes 1500 is not achievable.  At least not through standard March (3/17) expiration.  Early today when RUT was around 1393 (much lower than today’s close) a pretty big trade came into the RUT post.  Specifically, they was a seller of 37,601 RUT Mar 1490 Calls at 1.42 who then purchased 37,601 RUT Mar 1510 Calls for 0.95.  The result is a net credit of 0.47 and a payoff at RUT AM[...]

  • Market News | VIX | Trader Talk | Trade Ideas | Feb 14, 2017, 5:18 PM

    VIX and Three Day Weekends

    VIX and Three Day Weekends

    Another three-day weekend is sneaking up on us.  The result for those of us that have an unhealthy obsession with VIX is to talk about how a three-day weekend provides a headwind for VIX performance.  It has been awhile since I looked at the impact of holiday weekends so I downloaded data and got to work.  The reason we believe in the three-day weekend effect stems from how VIX is calculated.  VIX is a calendar day measure, so when we are approaching a day where the markets[...]

  • Market News | VIX | Trader Talk | Trade Ideas | Feb 12, 2017, 12:20 PM

    Weekend Review of Russell 2000 Options and Volatility - 2/6 - 2/10

    Weekend Review of Russell 2000 Options and Volatility - 2/6 - 2/10

    Both the Russell 1000 (RUI) and Russell 2000 (RUT) were up about 0.80% for the week.  For the year, RUI still holds a performance lead of about 1.3%.  Just for fun and because it was a year ago this weekend that the US equity markets put in the 2016 lows I decided to see where things stood at that time.  As of February 11th of last year RUT was down 16.0% and RUI was down only 11.3%.  Man what a difference a year makes.  In the volatility space, the Russell 2000 Volatility[...]

  • Market News | VIX | Trader Talk | Trade Ideas | Feb 12, 2017, 11:27 AM

    Weekend Review of Volatility Indexes and ETPs - 2/6 - 2/10

    Weekend Review of Volatility Indexes and ETPs - 2/6 - 2/10

    There was a slight and uniform shift lower in the term structure of S&P 500 related volatility indexes last week.  One might say this is a case of all indexes not having much more room to drop.  An ETN I don’t mention too much was interesting to me this week.  VXZ was unchanged on the week as the longer end of the VIX futures curve was mixed.  TYVIX also rebounded a bit at concerns over interest rates had been trending lower.  The March Fed meeting concludes on[...]

  • Market News | VIX | Trader Talk | Trade Ideas | Feb 12, 2017, 8:15 AM

    Weekend Review of VIX Futures and Options - 2/6 - 2/10

    Weekend Review of VIX Futures and Options - 2/6 - 2/10

    VIX was little changed last week as the S&P 500 moved higher.  When VIX has a ‘10’ handle and stocks move higher we tend not to see the sort of reaction we might see if VIX were at higher levels.  The most interesting thing below is the front two month futures contracts.  February, which goes off the board this coming week, lost 6% playing catch up with spot VIX.  March dropped almost 4%, but is still at a premium of about 2.50 to spot VIX. We get a heads up[...]

  • Earnings | Feb 8, 2017, 12:49 PM

    Earnings Week of 2/13 - 2/17

    Earnings Week of 2/13 - 2/17

    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 | VIX | Trader Talk | Trade Ideas | Feb 7, 2017, 1:14 PM

    Finding Volatility in the US Equity Markets

    Finding Volatility in the US Equity Markets

    VIX is low, we all know VIX is low.  I type that and feel I need to stop channeling Dr. Seuss.  However, there are some pockets of volatility in the US equity markets, we just need to know where to look.  Since CBOE quotes several volatility indexes that are based on the US markets I went searching for places where the market is still pricing in a little concern about the future.  Two areas that stood out –  tail risk and small cap risk.  Let’s start with[...]

  • Earnings | Feb 6, 2017, 9:49 AM

    Earnings Week of 2/6 - 2/10

    Earnings Week of 2/6 - 2/10

    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 | VIX | Trade Ideas | Feb 6, 2017, 9:14 AM

    Weekend Review of Volatility Indexes and ETPs - 1/30 - 2/3

    Weekend Review of Volatility Indexes and ETPs - 1/30 - 2/3

    VXST dropped while the other three volatility indexes based on S&P 500 index option pricing rose slightly.  This all happened despite a rise in the S&P 500 last week.  Probably the most notable thing on the table below is the rise in VVIX despite the stock market and VIX not doing much last week.  Focusing on the VIX related ETPs shows that the trend of short volatility being the place to be in 2017 continues to hold up. Looking outside the broad-based index volatility[...]

  • Market News | VIX | Trader Talk | Trade Ideas | Feb 6, 2017, 9:08 AM

    Weekend Review of VIX Futures and Options - 1/30 - 2/3

    Weekend Review of VIX Futures and Options - 1/30 - 2/3

    VIX rose slightly last week while all standard futures contracts lost value.  February settlement is a week and a half off so the longer VIX remains in the 10’s the more drift lower we should expect out of the front month future.  As the front month starts to approach settlement date, VIX option traders start to focus on farther dated contracts, normally rolling to the following month.  However, it seems skipping March is in vogue among VIX traders with many of last week’s[...]

  • Market News | VIX | Trader Talk | Strategy | Trade Ideas | Feb 6, 2017, 7:44 AM

    Weekend Review of Russell 2000 Options and Volatility - 1/30 - 2/3

    Weekend Review of Russell 2000 Options and Volatility - 1/30 - 2/3

    Small caps continue to close the gap on large cap stocks as the Russell 2000 (RUT) gained 0.52% last week while the Russell 1000 (RUI) was up by 0.18%.  On the volatility front the CBOE Russell 2000 Volatility Index (RVX) remains at the historical high end of value relative to VIX.  This can be attributed to VIX hovering around multiyear lows as much as RVX not following VIX to the lowest end of the range.   On Monday, as the first trading day of the week came to a close one trader[...]

  • Jan 29, 2017, 1:32 PM

    Weekend Review of Russell 2000 Options and Volatility - 1/23 - 1/27

    Weekend Review of Russell 2000 Options and Volatility - 1/23 - 1/27

    Small cap stocks rebounded with the Russell 2000 (RUT) gaining 1.4% last week which places RUT at up 1% for 2017.  Large caps, as represented by the Russell 1000 (RUI) were up just over 1% for the week which places RUI at up 2.59% for 2017.   The CBOE Russell 2000 Volatility Index (RVX) is hovering around very low levels.  However, when compared to VIX, things look a little different as the relative premium continues to loom around the highest levels seen in some time. [...]

  • Jan 29, 2017, 12:44 PM

    Weekend Review of Volatility Indexes and ETPs - 1/23 - 1/27

    Weekend Review of Volatility Indexes and ETPs - 1/23 - 1/27

    All four of the S&P 500 related volatility indexes quoted by CBOE were lower last week.  The price action resulted in the usual cries that VIX is too low, but after this first chart I’m going to show where volatility has been lower and not just decades ago, but much more recently. To get a historical perspective I compared all four volatility indexes to their 2016 lows as well as lowest prices since 2008.  The asterisk on the chart for post 2008 lows is there since we only have[...]