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 | Futures | Strategy | Trade Ideas | Jul 3, 2016, 9:20 AM

    Weekend Review - VIX Futures and Options - 6/27 - 7/1

    Weekend Review - VIX Futures and Options - 6/27 - 7/1

    The curve below is what happens when you have the biggest week over week drop for VIX on record. The 42% loss in VIX shattered the previous largest drop of 36.53% which occurred in the last week of 2012. Not so coincidentally both were weeks before a three-day weekend. Late Monday, with the July VIX Futures at 23.70 and spot VIX at 23.85 someone came in taking a long position in the VIX Jul 20th 22 Puts paying 2.75. The payoff at July settlement appears below, but by the end of the week[...]

  • Market News | VIX | Trader Talk | Trade Ideas | Jul 2, 2016, 7:42 PM

    Weekend Review - Russell 2000 Options and Volatility - 6/27 - 7/1

    Weekend Review - Russell 2000 Options and Volatility - 6/27 - 7/1

    Small cap stocks, in the form of the Russell 2000 Index (RUT) were up 2.51% last week, which was a nice rebound from the previous week’s reaction to Brexit vote. However, large cap stocks rebounded by a wider margin with the Russell 1000 (RUI) gaining 3.10%. Both benchmark indexes are higher for 2016 but RUI is had a 1.01% lead on RUT (2.85% vs. 1.84%). VIX experienced the biggest weekly drop on record losing just over 42%. The chart below is just as dramatic, but in the other[...]

  • Market News | VIX | Trader Talk | Futures | Strategy | Jun 30, 2016, 6:04 PM

    First Half of 2016 Confirms a Higher Volatility Regime

    First Half of 2016 Confirms a Higher Volatility Regime

    We are already half way done with 2016 and it appears what we thought going into the year is being confirmed by SPX implied volatility. If the Fall of 2015 there was lots of chatter about the equity markets in the US shifting from a low to a high volatility regime. The low volatility regime had been in place for several years and the first signal of a change came back in late August 2015 when VIX topped 50 intraday for the first time since the great financial crisis. I have two favorite charts[...]

  • Market News | Jun 29, 2016, 2:49 PM

    A Little Perspective on Yesterday's Record High SKEW

    A Little Perspective on Yesterday's Record High SKEW

    We have data for the CBOE SKEW Index (SKEW) going back to the first trading day in 1990. Yesterday, SKEW finished the day at the highest level over this period closing at 153.66. The chart below shows the annual high low and average by year going back to 1990. That highest green dot is yesterday’s close. So exactly what does that mean? In simple terms it means the relative implied volatility for SPX out of the money puts is elevated when compared to near at the money puts. SKEW[...]

  • Education | Jun 29, 2016, 1:14 PM

    CBOE RMC Europe Keynote Address Speaker Announced

    CBOE RMC Europe Keynote Address Speaker Announced

    Independence Day is just around the corner which means I’m starting to look forward to my Fall travel schedule. Two of the things I get to do (I say this as I consider it a great perk of my job) is attend CBOE’s Risk Management conferences in Europe and Asia. The European version is scheduled for September 26 – 28 when we return to the Powerscourt Hotel in County Wicklow outside of Dublin Ireland. Today I learned that the keynote speaker will be Jim VandeHei who was a co-founder[...]

  • Market News | Jun 28, 2016, 11:06 AM

    Did Social Media Sentiment Regarding the Pound Predict Brexit?

    Did Social Media Sentiment Regarding the Pound Predict Brexit?

    One commentator described the Brexit process was described as entering uncharted territory over the weekend. The same could be said for gauging social media sentiment. Our friends at Social Market Analytics continue to take a look at data that may have been a predictor of an outcome that the pollsters and bookies got very wrong. I received a couple of charts this morning and one completely stands out. Below is a chart of the sentiment with respect to the British Pound versus the US Dollar[...]

  • Market News | VIX | Trader Talk | Strategy | Trade Ideas | Jun 26, 2016, 6:30 PM

    Weekend Review - Russell 2000 Volatility and Options - 6/20 - 6/24

    Weekend Review - Russell 2000 Volatility and Options - 6/20 - 6/24

    Both large and small cap stocks got hit on a week over week basis, with the Russell 2000 (RUT) holding up slightly better (-1.47%) than the Russell 1000 (RUI) which lost 1.62%. For the year both are down less than 1% with RUI holding a slight year to date performance edge of 0.40%. In the past when there is heightened concern regarding the global equity markets the RVX / VIX premium tends to drop to low level. That happened in early 2016 and that happened again Friday as the premium[...]

  • Market News | VIX | Trader Talk | Futures | Trade Ideas | Jun 26, 2016, 2:41 PM

    Weekend Review - VIX Options and Futures - 6/20 - 6/24

    Weekend Review - VIX Options and Futures - 6/20 - 6/24

    On Thursday the world appeared to have dodged a bullet, but much like counting your chickens before the hatch, the market reacted a little too quickly and early to the assumed outcome of the EU referendum in Britain. The result was Friday which does not need to be rehashed here. The week over week changes for VIX and the standard monthly VIX futures appear below. Things we look more dramatic if I’d use the Thursday to Friday changes to construct the chart. Periodically I’ll[...]

  • Market News | VIX | Trader Talk | Futures | Trade Ideas | Jun 25, 2016, 1:12 PM

    Weekend Review - Volatility Indexes and ETPs - 6/20 - 6/24

    Weekend Review - Volatility Indexes and ETPs - 6/20 - 6/24

    Global stocks took it on the chin Friday after the outcome for the vote in Britain determined that the majority of voters want to break from the European Union. Usually I show the week over week change for VXST, VIX, VXV, and VXMT to lead off this blog. Because the week over week change doesn’t tell the full story I included the closing prices from Thursday as well. The lowest line on the chart shows the closing levels for each of these S&P 500 oriented volatility indexes the day before[...]

  • VIX | Trader Talk | Jun 24, 2016, 1:45 PM

    A Quick Thought on VIX Price Action Today

    A Quick Thought on VIX Price Action Today

    I’m in New York today and have been in contact with several different types of market participants. A common theme in the conversations I’ve had about today’s action was that VIX seemed too low relative to the panic going on in global equity markets. VIX in the low 20’s didn’t have the feel of a market panic equivalent to the S&P 500 losing over 3%. However, it is worth noting that VIX moved higher overnight, but has been hovering in a range most of the day. The[...]

  • Market News | Trade Ideas | Jun 24, 2016, 1:26 PM

    Earnings Next Week - 6/27 - 7/1

    Earnings Next Week - 6/27 - 7/1

    It is a very quiet week as once again only four companies with short dated options will be reporting earnings.  As always the data below is based on the last three years of earnings results.  The columns show the biggest rally, biggest drop, average move, and what the stock did last quarter in reaction to earnings.  

  • Market News | VIX | Futures | Jun 24, 2016, 7:00 AM

    Checking in on the VIX Overnight Action

    Checking in on the VIX Overnight Action

    Things are moving faster than I can type this morning, but here’s a quick update and some perspective on the overnight VIX action in response to Britain voting to exit the EU. Global stock futures are lower and we all know that results in higher volatility. The curve made a pretty dramatic shift with VIX rising over 40%. The table above only shows the monthly contracts, but it is worth noting that the VIX Weekly Futures contract expiring next Wednesday was up about 40% to 22.50 when I last[...]

  • Market News | Jun 22, 2016, 2:35 PM

    A Final Look at #Brexit from Social Market Analytics

    A Final Look at #Brexit from Social Market Analytics

    This morning our friends at Social Market Analytics offered up a final look at the twitter chatter with respect to the vote in Britain tomorrow that will determined the country’s fate with respect to EU membership. The hashtag #Brexit was mentioned 139,758 times in the 24-hour period ending this morning. The chart below shows how often other hastags were combined with #Brexit. #voteleave and #leaveeu were mentioned 33,751 times in conjunction with #brexit. Hashtags that indicate a preference[...]

  • Market News | VIX | Trader Talk | Trade Ideas | Jun 19, 2016, 10:48 AM

    Weekend Review - Russell 2000 Options and Volatility - 6/13 - 6/17

    Weekend Review - Russell 2000 Options and Volatility - 6/13 - 6/17

    Despite global concerns dominating the market chatter last week, large cap stocks outperformed small cap stocks. Both were lower as the Russell 1000 (RUI) lost 1.16% while the Russell 2000 (RUT) gave up 1.65%. RUI widened the lead on RUT and is now up 1.33% for 2016 while RUT is still higher, but by only 0.78%. The CBOE Russell 2000 Volatility Index (RVX) rose last week, but not nearly as much as the gains we saw from VIX. As global concerns entered the marketplace, the RVX[...]

  • Weekend Review - Volatility Indexes and ETPs - 6/13 - 6/17

    Weekend Review - Volatility Indexes and ETPs - 6/13 - 6/17

    The VXST – VIX – VXV – VXMT curve moved from contango to an unusual shape this past week. Lots of things point to the markets being concerned about next week’s ‘should I stay or should I go’ vote in Britain. VXST represents short term SPX option volatility and the options that expire just after the vote are feeding that calculation.  I’m going to say results in VXST finishing the week at such an elevated level last week have a little to do with Brexit. With[...]