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 | 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[...]

  • Market News | VIX | Trader Talk | Futures | Jan 8, 2016, 7:30 PM

    Weekly Review - Volatility Indexes and ETPs - 1/4 - 1/8

    Weekly Review - Volatility Indexes and ETPs - 1/4 - 1/8

    The S&P 500 experienced the second worst week in performance since 2011.  For those with short memories, the worst week came about four months ago in late August.   What both these weeks have in common is China which continues to experience financial market woes and, despite their leader’s best efforts, there seems to be no end to the volatility coming out of that part of the world for the foreseeable future. The market action pushed all four S&P 500 related volatility[...]

  • Market News | Trader Talk | Strategy | Jan 7, 2016, 9:40 AM

    Earnings Week of 1/11 - 1/15

    Earnings Week of 1/11 - 1/15

    Next week things start to heat up in the earnings world.  AA reports on Monday which some consider the beginning of earnings season.  INTC and some financials finish out the week.  The numbers below represent three years of stock price reaction history to earnings announcements with the biggest gain, biggest drop, average move (non-directional) and stock price reaction last quarter.

  • Market News | VIX | Education | Jan 6, 2016, 10:29 AM

    CBOE RMC Early Bird Pricing Ends Friday

    CBOE RMC Early Bird Pricing Ends Friday

    On what is supposed to be the coldest day of this winter in Chicago I’m booking a flight to South Florida for late next month.  Bonita Springs is the home for the 2016 CBOE Risk Management Conference where I know the weather will be more agreeable than what I experienced on my walk from the train this morning in Chicago. CBOE now hosts three versions of the Risk Management Conference annually, each with a geographic focus (US, Europe and Asia).   The one in the United States[...]

  • Market News | VIX | Trader Talk | Strategy | Trade Ideas | Jan 5, 2016, 8:22 AM

    Block Trade Analysis - VXX Bearish and Bullish Trades from Monday

    Block Trade Analysis - VXX Bearish and Bullish Trades from Monday

    Days like yesterday get me searching for volatility oriented option trades.  I found two that caught my eye in the VXX option market and debated which one to discuss in this space.  After about three seconds of internal debate I decided to just talk about both. Both trades occurred in the middle of the day yesterday, one is bearish on VXX while the other benenfits if VXX spikes to the upper 20’s.  First the bearish trade. When VXX was at 21.90 there was a seller of the VXX Jan[...]

  • Market News | Trade Ideas | Jan 4, 2016, 4:48 PM

    Earnings Week of 1/4 - 1/8

    Earnings Week of 1/4 - 1/8

    The markets are well rested and ready for earnings announcements to start rolling out.  This week the calendar is light with three companies reporting that also have short dated options available for trading.  The numbers below represent three years of stock price reaction history to earnings announcements with the biggest gain, biggest drop, average move (non-directional) and stock price reaction last quarter.

  • Market News | VIX | Trader Talk | Education | Futures | Jan 3, 2016, 9:24 AM

    Five Volatility Market Takeaways from 2015

    Five Volatility Market Takeaways from 2015

    2015 is behind us and the S&P 500 dropped (more than a rounding error) for the first time since 2008.  If you want to put a positive spin on the year you can say with dividends the S&P 500 was higher.  It was a fun year to be a market participant as we experienced some things that could be considered new or at least different relative to recent market history.  Since everyone loves lists, or gets easily sucked into them, here are five takeaways from the volatility markets in[...]

  • Market News | VIX | Trader Talk | Education | Strategy | Trade Ideas | Dec 20, 2015, 3:30 PM

    Weekly Review - Russell 2000 Options and Volatility - 12/14 - 12/18

    Weekly Review - Russell 2000 Options and Volatility - 12/14 - 12/18

    Small cap stocks continue to languish relative to large cap stocks for 2015.  The Russell 2000 (RUT) was down 0.23% while the Russell 1000 (RUI) lost 0.35% last week.  RUT is down 6.95% for 2015 while the large cap oriented RUI is down only 2.94%.  It’s going to take a small miracle for RUT to close the gap over the next two holiday shortened weeks. The CBOE Russell 2000 Volatility Index (RVX) rebounded relative to VIX last week but finished very close to parity. [...]

  • Market News | VIX | Trader Talk | Education | Futures | Trade Ideas | Dec 20, 2015, 10:44 AM

    Weekly Review - VIX Futures and Options - 12/14 - 12/18

    Weekly Review - VIX Futures and Options - 12/14 - 12/18

    VIX gave up 15% last week, despite the S&P 500 losing a little and this index trading in a range of greater than 80 points for the second consecutive week.  Consensus thinking is that with the Fed finally hiking rates a little uncertainty came out of the markets.  Of course Janet Yellen’s press conference was still in full swing when market pundits started discussing when the next potential rate hike may occur. The curve depicting the short dated VIX futures contracts[...]