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 | Trader Talk | Futures | Jun 16, 2015, 7:14 PM

    2015 Russell Reconstitution Update

    2015 Russell Reconstitution Update

    Each June the Russell family of equity indexes are adjusted to reflect changes in the markets.  This annual process is commonly referred to as the Russell Reconstitution.   The Reconstitution occurs once a year in order to keep the cost associated with maintaining an index portfolio at a minimum or specifically to keep trading costs low. We are now half way through the Russell Reconstitution with two of the four steps behind us.  The almost month long process begins on the last[...]

  • Market News | Jun 14, 2015, 11:30 AM

    The Week in Russell 2000 Trading - 6/8 - 6/12

    The Week in Russell 2000 Trading - 6/8 - 6/12

    Small cap stocks continue the recent domination over large caps with the Russell 2000 outperforming the Russell 1000 again this week.  RUT gained 0.32% while RUI was up only 0.06%.  This puts the Russell 2000 higher by 5.01% for the year and the Russell 1000 up 2.27%.  The widening performance gap shows up in the price chart below where I indexed both the Russell 2000 and Russell 1000 to 100 at the beginning of the year. The CBOE Russell 2000 Volatility Index (RVX) was[...]

  • Market News | Jun 13, 2015, 4:30 PM

    The Week in VIX - 6/8 - 6/12

    The Week in VIX - 6/8 - 6/12

    Despite a treacherous Friday in the equity markets, VIX was lower last week as were all the VIX futures contracts.  We truly had a textbook shift lower in the curve as VIX dropped just over 3% and the front three months played a little catch up to the downside with June going off the board this coming week.  The slope of the curve still appears pretty steep to me going into the end of 2015 despite the uniform drop in prices last week. June VIX futures and options expire on the open this[...]

  • Market News | Jun 13, 2015, 11:30 AM

    The Week in Volatility Indexes and ETPs - 6/8 - 6/12

    The Week in Volatility Indexes and ETPs - 6/8 - 6/12

    The curve shift shown below kind of looks like the June 12th line is taking a swipe at the June 5th line with VXST throwing the punch.  Short term volatility climbed Friday relative to the other volatility measures and the result was a pretty interesting and possibly worrisome change in the VXST – VIX – VXV – VXMT curve.  Time will tell, but VXST at a premium to VIX usually is a result of a market drop or market participants having short term concerns about the equity[...]

  • Market News | Trader Talk | Strategy | Trade Ideas | Jun 11, 2015, 4:17 PM

    Earnings Next Week - 6/15 - 6/19

    Earnings Next Week - 6/15 - 6/19

    We are starting to emerge from the softest part of the earnings calendar and actually have three times as many stocks with short dated options reporting next week versus this past week.  Of course there was only one this week (LULU). The numbers on the table represent three years of history with Max being the biggest gain, Min being the biggest drop, Abs Avg representing the average move (higher or lower), and Last Q being what the stock did in reaction to earnings three months ago.     [...]

  • Market News | VIX | Trader Talk | Education | Trade Ideas | Jun 11, 2015, 2:00 PM

    The Big $VIX Trade - Part 3

    The Big $VIX Trade - Part 3

    The title of this blog refers to three parts and this is because we just had the third trade in the ongoing saga of a large 1 x 2 call spread in VIX options come into the VIX option pit yesterday.  There is actually another piece to the puzzle as when the first trade was initiated part of the transaction involved a large sale of call options and that position may still be open.  I do my best to keep blogs short, but I’m going to run through all three transactions individually and[...]

  • Market News | VIX | Trader Talk | Jun 9, 2015, 6:30 PM

    Russell 2000 Volatility and the Reconstitution Process

    Russell 2000 Volatility and the Reconstitution Process

    June means a lot of things to a lot of people such as kids getting out of school, finally putting away the snow blower in Chicago, or anticipating a well-deserved vacation.  For market watchers June means it is time for the Russell Reconstitution process. I spend a good amount of time focusing on market volatility, both historical and implied volatility.  Historical volatility can be obtained through a simple calculation on any financial market, whether it is a stock price, index, or even[...]

  • Market News | VIX | Trader Talk | Futures | Jun 7, 2015, 2:30 PM

    The Week in Russell 2000 Trading - 6/1 - 6/5

    The Week in Russell 2000 Trading - 6/1 - 6/5

    Small cap stocks put up a great week last week with the Russell 2000 (RUT) rising 1.16% while the large cap oriented Russell 1000 (RUI) lost 0.59%. The chart below shows RUT pulling away from RUI for the second time this year – the first time beginning in early March before the lead being ceded to the Russell 1000 for a couple of weeks in May.  As of Friday, RUT is up 4.67% for the year while RUI has gained 2.21%. The difference between large cap and small cap volatility was[...]

  • Market News | VIX | Trader Talk | Futures | Jun 7, 2015, 10:35 AM

    Listed Volatility Trading Expanding to Amsterdam and Paris

    Listed Volatility Trading Expanding to Amsterdam and Paris

    The volatility trading world will expand to two new markets this summer as Euronext plans to offer derivatives based two volatility indexes. Plans call for futures trading to commence based on the AEX Volatility Index (VAEX) and the CAC 40 Volatility Index (VCAC) in the next few weeks with options to follow sometime during the third quarter of this year. It has been a while since I checked in on either the Amsterdam based VAEX or Paris based VCAC so I got to running some numbers and creating[...]

  • Market News | VIX | Trader Talk | Futures | Jun 6, 2015, 4:31 PM

    The Week in VIX - 6/1 - 6/5

    The Week in VIX - 6/1 - 6/5

    Summer is here, it’s sunny and 70 degrees outside as I write this so I'm writing fast in order to get out there before the weather turns again. Another indication that summer is here can be seen in the relatively quiet price action in the equity markets. It was a pretty non-volatile day for the markets. About an hour before the markets closed, a trader in the VIX pit actually rang the ceremonial bell (at the urging of the rest of the pit) as a humorous attempt at giving traders the rest of[...]

  • Market News | VIX | Trader Talk | Futures | Jun 6, 2015, 11:04 AM

    The Week in Volatility Indexes and ETPs - 6/1 - 6/5

    The Week in Volatility Indexes and ETPs - 6/1 - 6/5

    The market digested the May Non-Farm Payroll number on Friday with both (weak) bullish and bearish cases being made for equities. I was asked about the number and my very non-quantitative response was to point to a tweet from Benzinga which depicted a guy just shrugging and looking bored. The week was pretty similar with the S&P 500 dropping 0.69% and all four of the volatility indexes in the term structure chart below moving higher, but by less than 4% across the board. The bond market was[...]

  • Market News | VIX | Trader Talk | Strategy | Jun 4, 2015, 7:30 PM

    Earnings Next Week is all About LULU

    Earnings Next Week is all About LULU

    Next week is the biggest lull we will get this summer in the earnings calendar as only the always fun Lululemon Athletica (LULU) is scheduled to report earnings before the open on Tuesday next week. Since we have only one company reporting with short dated options available for trading I thought I would dig into this one a little more. First, here are the historical numbers for LULU based on the last three years or twelve quarters. Based on history, an average LULU move higher or lower off earnings[...]

  • Market News | VIX | Trader Talk | Futures | Jun 4, 2015, 1:30 PM

    Call Stupid Buyer in VIX Options Today

    Call Stupid Buyer in VIX Options Today

    I came across a trade from Wednesday and headed down to the VIX pit to ask some questions before putting up a block trade blog. The response I got was, “Do you want to hear about something more interesting than that?” Usually when a question is answered with a question it is an indication that you should go elsewhere for answers. This is not one of those cases. In trader terms a “stupid” option trade is when a trades comes in a purchases two different options in a spread trade.[...]

  • So Far VIX in 2015 Tells a Different Story Than 2014

    So Far VIX in 2015 Tells a Different Story Than 2014

    Over the weekend I was asked to take a look at the first five months of 2015 with respect to the volatility markets. Since volatility indexes need to be looked at in relation to recent history I decided to compare VIX in the first five months of 2015 to VIX last year. Before getting to that comparison, keep in mind the stock market action in early 2014 was very similar to that during the first five months of this year.   In 2014 the S&P 500 was up 4.07% while this year the S&P 500[...]

  • Market News | VIX | Trader Talk | Futures | May 31, 2015, 10:10 AM

    The Week in Russell 2000 Trading - 5/26 - 5/29

    The Week in Russell 2000 Trading - 5/26 - 5/29

    Stocks were lower last week, but the small cap sector seemed to hold up a little better than large caps. The Russell 2000 (RUT) was down 0.45% while the Russell 1000 (RUI) was under a bit more pressure dropping 0.88%. RUT had lost the 2015 performance lead to the large cap focused RUI a few weeks ago, but took the lead back in late May. This performance margin widened last week and RUT is now up 3.47% for the year with the RUI up 2.82%. It is a lead, but definitely a slim margin which can change[...]