Rhoads-Russell

Russell Rhoads, CFA

Russell Rhoads, CFA, is Director of Education for the CBOE Options Institute. His career before 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 for the CBOE, he is an adjunct instructor at Loyola University and the University of Illinois - Chicago. 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 of December 2017.

  • Market News | VIX | Trader Talk | Futures | Trade Ideas | Jan 23, 2016, 6:37 PM

    Weekly Review - VIX Futures and Options - 1/18 - 1/22

    Weekly Review - VIX Futures and Options - 1/18 - 1/22

    The stock market rally on Friday put pressure on VIX and pushed the spot index down enough that the front month February future closed at a slight premium.  This is the first premium for the front month VIX futures relative to spot since January 4th.  I’ll discuss this a bit more toward the end of this blog. The generic short dated curve flattened out which I’m learning is the normal shape using the five consecutive weekly VIX futures contracts. As mentioned above,[...]

  • Market News | VIX | Trader Talk | Futures | Trade Ideas | Jan 23, 2016, 8:58 AM

    Weekly Review - Volatility Indexes and ETPs - 1/18 - 1/22

    Weekly Review - Volatility Indexes and ETPs - 1/18 - 1/22

    The S&P 500 rebounded by about 1.4% last week and SPX option volatility moved a bit lower.  The VXST – VIX – VXV – VXMT curve shifted lower and flattened.  However for a bit of perspective I show where we ended 2015.  I think the comparison is a good indication that we may not be completely out of the woods, at least based on the expectations indicated by the various S&P 500 oriented volatility measures. The rebound in the stock market put some[...]

  • Market News | Trader Talk | Trade Ideas | Jan 22, 2016, 10:23 AM

    Earnings Week of 1/25 - 1/29

    Earnings Week of 1/25 - 1/29

    Next week is the heaviest part of earnings season as you can see on the table below.  It is a holiday shortened week next week, but there’s plenty going on in the world of earnings as we start to move into the heavier part of earnings season.  The numbers below represent three years of history with a couple of exceptions which have not been around long enough to provide a full three years of history.  In those cases the data appears in italics.   After the ticker the columns[...]

  • Market News | VIX | Trader Talk | Trade Ideas | Jan 21, 2016, 7:28 AM

    VIX Backwardation Streak Updates

    VIX Backwardation Streak Updates

    Despite a late day recovery for the equity markets, all three measures of backwardation remained in place as of yesterday (1/20). The new front month is February.  VIX closed at 27.59 and the February VIX futures settlement came in at 24.725.  This is the 10th day in a row that VIX has closed higher than the front month future. The relationship between the front month and second month is most important to traders focused on the VIX related ETPs (VXX, SVXY, UVXY, etc) and the front month[...]

  • Market News | Jan 19, 2016, 8:00 AM

    CBOE Risk Management Conference Schedule Now Available

    CBOE Risk Management Conference Schedule Now Available

    It was 2 degrees as I walked to the train this morning in suburban Chicago.  I noticed that at the same time it was pushing 50 in Bonita Springs, FL where in just a few weeks the US version of CBOE’s Risk Management Conference will be held from February 29th to March 2nd. I know I’m a geek about this stuff, but I’m more excited about the speakers than the weather.  The schedule is nearly final with a couple of speaking slots left to be filled, but it was posted recently[...]

  • Weekly Review - Russell 2000 Index and Volatility 1/11 - 1/15

    Weekly Review - Russell 2000 Index and Volatility 1/11 - 1/15

    The Chicago Bears are doing the same thing the rest of us did this weekend, watching the playoffs from home.  However, the stock market bears have been dominate in 2016.  Russell 2000 (RUT) history goes back to 1987 so there is not a lot to work with, but the first ten days of 2016 are the worst first ten days on record for RUT.  The table below shows the first ten days for every year when RUT started off in the red followed by what the small cap oriented index did for the balance[...]

  • Caution on Using VIX vs. Oil as a Stock Market Signal

    Caution on Using VIX vs. Oil as a Stock Market Signal

    I awoke this morning to an email from the matriarch of CBOE-TV Holly Goodhart.  She was preparing for her day with CNBC on in the background and something caught her eye.  The following comes directly from her email – I have CNBC on this morning, and they just spent a segment discussing this headline: "Markets bottom when VIX is greater than oil." This didn’t sound right to me for a few reasons, primarily because I recall many years with the price of oil in the teens.[...]

  • Market News | VIX | Trader Talk | Futures | Jan 17, 2016, 1:07 PM

    Weekly Review - VIX Futures and Options - 1/11 - 1/15

    Weekly Review - VIX Futures and Options - 1/11 - 1/15

    Two tomatoes are walking down the street, momma tomato and baby tomato.  Baby tomato can’t keep and momma tomato keeps getting angrier and angrier.  Finally she stops, turns around and stomps on baby tomato.  She then states, “Catch up”. That’s what the VIX futures did this past week, with the stock market playing the role of baby tomato and getting stomped on.  When the dust settled this week VIX was actually up by 0.01 with VIX futures narrowing the gap. [...]

  • Market News | Jan 17, 2016, 11:14 AM

    Weekly Review - Volatility Indexes and ETPs - 1/11 - 1/15

    Weekly Review - Volatility Indexes and ETPs - 1/11 - 1/15

    In an interesting twist VIX was the underperforming index across the VXST – VIX – VXV – VXMT curve rising only 0.01 last week.  It is unusual for VIX to be an outlier like this, but even more so when we experience a three day weekend which one would expect to put some pressure on VXST relative to the longer dated volatility indexes. VXX rose about 7 ½% last week despite the paltry 0.01 gain in VIX.  We all know that VXX is not VIX or even any sort of[...]

  • A Quick Look at VIX Backwardation Streaks

    A Quick Look at VIX Backwardation Streaks

    When VIX is relatively high the VIX term structure moves into what we commonly refer to as backwardation.  The way this may be defined varies among market participants, but most focus on the shorter end of the VIX curve.  That is what I’ve been doing lately as well.  It turns out, regardless of how you define VIX backwardation 2016 has experienced more instances of it than not for the first ten days of 2016.  The tables below rank the consecutive day streaks for VIX backwardation[...]

  • Market News | Jan 14, 2016, 10:44 AM

    Citigroup (C) Bull Put Spread in Front of Earnings

    Citigroup (C) Bull Put Spread in Front of Earnings

    As earnings season is starting to ramp up and the equity market seems to have calmed down for the moment, I was digging around this morning looking at trades in some of the stocks that report today after the close or tomorrow before the open.  A 1000 lot bull put spread in Citigroup (C) options caught my eye. With C trading at 45.00 there was a seller of the C Jan 15th 45.50 Puts at 1.15 who bought the C Jan 15th 42.50 Puts for 0.20 taking in a credit of 0.95.  The payoff diagram appears[...]

  • Trader Talk | Trade Ideas | Jan 13, 2016, 6:34 PM

    Earnings Week of 1/19 - 1/22

    Earnings Week of 1/19 - 1/22

    It is a holiday shortened week next week, but there's plenty going on in the world of earnings as we start to move into the heavier part of earnings season.  The numbers below represent three years of history with one exception (SYF) which hasn't been around long enough to provide a full three years of history.   After the ticker the columns show the biggest gain, biggest drop, average move (non-directional) and stock price reaction last quarter.

  • Market News | VIX | Trader Talk | Trade Ideas | Jan 11, 2016, 6:19 PM

    Block Trade Analysis - Huge 1 x 2 Jan VIX Call Spread from Monday

    Block Trade Analysis - Huge 1 x 2 Jan VIX Call Spread from Monday

    Today, while I was teaching at the Options Institute, a roar came up from the VIX pit about an hour into the trading day.  Despite the tumultuous market activity that we have experienced to begin the year, the audible volume from the open outcry pits has been fairly tame.  What got the guys going today was a very large ratio spread using January VIX Calls that expire on the open next Wednesday. The specific trade sold well over 100,000 of the 22 Calls and purchased twice as many of the[...]

  • Market News | Trader Talk | Jan 10, 2016, 9:00 AM

    Weekly Review - Russell 2000 Index and Options - 1/4 - 1/8

    Weekly Review - Russell 2000 Index and Options - 1/4 - 1/8

    With only one week behind us it is tough to show year to date charts for the Russell 1000 (RUI) and Russell 2000 (RUT).  I’ll just note that the bad week was broad based with RUI losing 6.04% and RUT dropping a whopping 7.90%.  The Russell 2000 drop is particularly noteworthy since it out did the late August one week drop by over 2%.  Small cap stocks had a tough 2015 and the underperformance has extended into the first week of 2016. On the trading front I noticed a big IWM trade[...]

  • Market News | VIX | Trader Talk | Futures | Jan 9, 2016, 9:00 AM

    Weekly Review - VIX Futures and Options 1/4 -1/8

    Weekly Review - VIX Futures and Options 1/4 -1/8

    The VIX curve moved from flat to backwardation as the S&P 500 dropped almost 5% to begin the year.  We finished the previous week with the curve pretty flat which is often considered an indication of uncertainty among volatility traders.  As a stretch of a visual I think about a flat volatility curve replicating a ‘fair coin’ which is the proper academic way to introduce a true 50 / 50 prospect.  That coin toss turned out to be extremely bearish for the equity markets[...]