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 | Oct 6, 2015, 9:00 AM

    VIX Streak over 20.00 Ends at 30 - So Now What? Part 2

    VIX Streak over 20.00 Ends at 30 - So Now What? Part 2

    Yesterday I put up a blog showing what the S&P 500 did over different time periods after a streak where VIX was over 20.00 came to an end.  I got a request to show what VIX did as well, so the numbers show up in the table below. Instead of showing percent changes I show point changes.  There appears to be a little more green on this table that there was red on the S&P 500 table.  It could be that VIX stays a bit elevated after these streaks.  

  • VIX over 20.00 Streak Ends at 30 Days - So Now What?

    VIX over 20.00 Streak Ends at 30 Days - So Now What?

    Even the VIX tourists were paying attention to the long running streak where VIX closed over 20.00.  The run ended at 30 today with VIX finishing at 19.54.   This was not nearly as fun as watching Pete Rose in the summer of 1978, but for some of us, it was quite a ride.  When Pete didn't get a hit on August 1st he was asked what he would do tomorrow, his response, "I guess start another streak".  Unfortunately we can't stick a microphone in front of VIX and ask what[...]

  • Market News | Trader Talk | Education | Trade Ideas | Oct 4, 2015, 7:30 AM

    The Week in Russell 2000 Trading - 9/28 - 10/2

    The Week in Russell 2000 Trading - 9/28 - 10/2

    For the second week in a row large cap stocks outperformed small cap stocks by about 1.5%.  The big difference this week was that the Russell 1000 (RUI) was higher while the Russell 2000 (RUT) lost value.  The previous week RUI lost less than RUT, but both had pretty lousy weeks.  For the year RUI is now down a little more than 5% while RUT has lost just over 7.5%. The CBOE Russell 2000 Volatility (RVX) index finished the week at a little over a 10% premium to VIX.  This lack[...]

  • Market News | VIX | Trader Talk | Futures | Oct 3, 2015, 12:00 PM

    The Week in VIX - 9/28 - 10/2

    The Week in VIX - 9/28 - 10/2

    Despite the S&P 500 rising over 1% last week VIX remained over 20.00 for the 30th straight day although it did drop by over 11%.  This run goes back to the beginning of the heightened levels of volatility that began back on August 21st.  The curve below shows that the curve based on standard monthly VIX futures went from backwardation to kind of crooked (that’s not a technical term).  I say crooked because depending on your definition of backwardation or contango the closing[...]

  • Market News | Oct 3, 2015, 7:24 AM

    The Week in Volatility Indexes and ETPs - 9/28 - 10/2

    The Week in Volatility Indexes and ETPs - 9/28 - 10/2

    Those that casually watch VIX may not be aware of the variety of volatility indexes published by CBOE.  On at least a weekly basis I take a look more than VIX and try to gain a little insight into the mind of the market.  The curve below shows the relationship of four volatility indexes that represent consistent measures of implied volatility as indicated by S&P 500 (SPX) index option prices.  What has been catching my eye since excess market volatility started to commence on August[...]

  • Market News | Trader Talk | Trade Ideas | Oct 2, 2015, 12:34 PM

    Earnings Next Week - 10/5 - 10/9

    Earnings Next Week - 10/5 - 10/9

    Of the companies reporting next week my favorite to watch is YUM! Brands (YUM).  About half their sales come from China and in my mind this is one of the best ways to get an idea what is going on in that part of the world.  As always the numbers represent the last 12 earnings announcements.

  • Market News | Sep 30, 2015, 5:13 AM

    Hedging With VIX Discussion at RMC

    Hedging With VIX Discussion at RMC

    The final presentation I attended at this year’s Risk Management Conference discussed Hedging with VIX.  Pravit Chintawongvanich, Head of Risk Strategy at Macro Risk Advisors covered different methods of hedging a portfolio using VIX. Pravit began listing several questions that should be addressed to determine what will be the ‘best hedge’.   Examples of these questions include what type of sell-off are we concerned about or what is the potential timing of this move. He[...]

  • Market News | Sep 30, 2015, 4:41 AM

    Extracting Useful Information from Listed Option Prices

    Extracting Useful Information from Listed Option Prices

    I often say that attending CBOE’s Risk Management Conferences is the highlight of being employed by CBOE.  Getting a chance to see Stacey Gilbert, the Head of Derivatives Strategy at Susquehanna, speak in person for the first time is a highlight of this year’s European conference.  Her topic, “Extracting Useful Information from Listed Option Prices” is an area I focus on in both my academic and professional lives so I was really looking forward Gilbert’s presentation. There[...]

  • Market News | Sep 30, 2015, 3:43 AM

    Cross-Region and Cross-Asset Volatility Analysis for Investing and Hedging

    Cross-Region and Cross-Asset Volatility Analysis for Investing and Hedging

    During the second session on Day 3 at CBOE’s Risk Management Hitendra Varsani, Head of Quantitative and Derivative Strategies from Morgan Stanley teamed up with John Moffatt, Portfolio Manager of the World Index Book from Capstone to discuss Cross-Region and Cross-Asset Volatility Analysis for Investing and Hedging. Varsani began the session discussing the history of options noting the first option trading we know of involved the philosopher Thales in ancient Greece.  He cornered the olive[...]

  • Market News | Sep 30, 2015, 2:27 AM

    Financial Historian Edward Chancellor Address at RMC

    Financial Historian Edward Chancellor Address at RMC

    As a big fan of the history of the financial markets I was excited to see Edward Chancellor as the first speaker on the last day of this year’s Risk Management Conference.  His talk was titled The Consequences of Extraordinary Monetary Policy:  An Historical Perspective on the Current Environment.   When Paul Stephens introduced Chancellor he said he felt it would be useful to have a financial historian speak at RMC.  I agreed when he said that and believe it even more[...]

  • Market News | Sep 29, 2015, 12:59 PM

    CBOE RMC Europe Day 2 Recap

    CBOE RMC Europe Day 2 Recap

    As always the second day of RMC was the busiest and most informative day of the conference.  A brief overview of today’s session along with links to summary blogs appears below. The day begins with a welcome address from Ed Provost, President and COO of CBOE Holdings.  Ed discussed extended trading hours as well as noting that in just over a week (October 8th) CBOE will begin listing VIX Weeklys Options.  Finally he announced CBOE will be listing options on additional FTSE-Russell[...]

  • Market News | Sep 29, 2015, 10:00 AM

    Practical Implementation of Systematic Strategies

    Practical Implementation of Systematic Strategies

    One of the final sessions of the day was a combination of a presentation and then a panel discussion.  Alexandre Capez from Credit Suisse started things off with a discussion titled Practical Implementation of Systematic Strategies.  He noted there are four sources of alpha that may be derived from volatility.  First, traders may take advantage of the expensiveness of implied versus realized volatility.  Second, term structure / roll down strategies.  Third, there are methods[...]

  • Market News | Sep 29, 2015, 8:24 AM

    Correlations Between Stocks and Between Sectors

    Correlations Between Stocks and Between Sectors

    Chris Rodarte from Pine River Capital Management and Tim Edwards from S&P Dow Jones Indicies teamed up for a discussion of Correlations Between Stocks and Between Sectors at CBOE’s Risk Management Conference in Geneva Switzerland. Edwards kicked things off with an overview of the history of correlation in some major markets and noting the strong relationship between correlation and volatility.  He noted that volatility moves up when markets are correlated, but at times the magnitude[...]

  • Market News | Sep 29, 2015, 7:19 AM

    Panel on Trends in Institutional Options and Volatility Product Usage

    Panel on Trends in Institutional Options and Volatility Product Usage

    The first session after lunch today at the CBOE Risk Management Conference in Geneva featured a panel discussion about Institutional Option and Volatility Product Usage.  The panel was moderated by Chris Limbach, Head of Fiduciary Advice, PGGM Institutional Business.  The participants were – Jerome Berset, Head of Hedge Funds Research at EFG Asset Management Kevin Duggan, Vice President of Equity Products, Ontario Teacher’s Pension Plan Christoph Gort, Partner, SIGLO Capital[...]

  • Market News | Sep 29, 2015, 4:42 AM

    More Value in Long Dated Options Than Meets the Eye Presentation at RMC

    More Value in Long Dated Options Than Meets the Eye Presentation at RMC

    Kokou Agbo-Bloua, Managing Director, Global Head of Flow Strategy & Solutions from Societe Generale spoke about uses for longer dated options today at CBOE’s Risk Management Conference in Switzerland. His session was titled, More Value to Long-Dated Options than Meets the Eye. I was particularly interested to hear his talk since shorter dated options seem to be getting all the attention these days. The talk began noting that when comparing long-dated and short-dated options there are distinct[...]