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 | Strategy | Feb 25, 2015, 10:00 AM

    Combining CBOE and MSCI Gives Investors the World

    Combining CBOE and MSCI Gives Investors the World

    In a few weeks CBOE will begin listing options on two of the widely followed MSCI Indexes. This addition of cash settled index options on the MSCI EAFE and MSCI Emerging Market Indexes will result in investors being able to gain exposure to just about every investible market in the world by trading at CBOE. After such a bold statement, an explanation is definitely in order. Before discussing the world I’ll address the United States. On a notional basis the S&P 500 (SPX) Index option market[...]

  • VIX | Trader Talk | Strategy | Feb 24, 2015, 1:30 PM

    Block Trade Analysis - Russell 2000 Iron Condor

    Block Trade Analysis - Russell 2000 Iron Condor

    Checking in on trading activity in my favorite index, the Russell 2000, I came across a fairly interesting trade using short dated options from around 11:00 Monday morning. I say around 11:00 because the trader legged into an Iron Condor. A couple of minutes before 11:00 200 of the RUT Mar 6th 1180 Puts were sold at 2.75 with 200 of the RUT Mar 6th 1160 Puts purchased for 1.47 which comes to a net credit of 1.28. At the time of this execution the Russell 2000 was at 1224.52 so it appears the trader[...]

  • Market News | Trader Talk | Feb 22, 2015, 6:02 PM

    Earnings Next Week - 2/23 - 2/27

    Earnings Next Week - 2/23 - 2/27

    Apologies all around as I know the list is going up late...I promise to do better next week! For those new to this - the numbers represent 3 years of earnings reaction histories.  Something option traders find very useful.  Max is the biggest up move, Min the biggest down move, Abs Avg is the average move without a directional bias for the last 3 years, and Last Q is what the stock did in reaction to earnings three months ago.

  • Market News | VIX | Trader Talk | Futures | Feb 22, 2015, 8:15 AM

    The Week in VIX - 2/16 - 2/20

    The Week in VIX - 2/16 - 2/20

    VIX was down some last week and the newly christened front month March future followed the index lower and then some. Despite the drop, the March future finished Friday at a pretty steep premium relative to the index which shows that despite the S&P 500 making new highs, the volatility market isn’t convinced 2015 will be a repeat of the past couple of years in the equity space. I pulled out a couple of charts from my 2014 year end volatility review and updated them with 2015[...]

  • VIX | Trader Talk | Education | Futures | Feb 21, 2015, 10:53 AM

    The Week in Volatility Indexes and ETPs - 2/16 - 2/20

    The Week in Volatility Indexes and ETPs - 2/16 - 2/20

    Usually it is pretty easy for me to come up with something new to say regarding what went on the volatility markets last week. However, it has been a lot of the same for a pretty long time now. We have now experienced three all-time highs for the S&P 500 in 2015, which is three more than some forecasters thought we’d see, and VIX is working down to levels we were accustomed to over the past couple of years. Friday’s VIX close of 14.30 is just a tad higher than the average VIX close[...]

  • Anticipating MSCI EAFE Index Option Price Behavior

    Anticipating MSCI EAFE Index Option Price Behavior

    Over the next few weeks there is going to be a lot going on at CBOE. The Options Institute will be turning 30 soon, VIX and SPX option hours are going to be expanded to a 2:00 am Chicago opening, and the always informative US version of the CBOE Risk Management Conference will be held in early March. However, what is on the horizon that has me the most excited is the launch of index option trading on two of the widely followed MSCI family of indexes. As a side note - my interest in new[...]

  • Market News | VIX | Trader Talk | Futures | Feb 15, 2015, 10:18 AM

    The Week in VIX - 2/9 - 2/13

    The Week in VIX - 2/9 - 2/13

    The S&P 500 finished Friday at a 2015 closing high while VIX finished the day at the lowest closing price for 2015. What is a little perplexing about the chart below is the relationship between spot VIX and the February contract.   I am well aware that VIX is under a slight amount of extra pressure due to the three day holiday, but all day Friday the February VIX future was much greater than the 1.00 point premium to the underlying index. I understand the world has been full of surprises[...]

  • Market News | Feb 14, 2015, 4:24 PM

    The Week in Volatility Indexes and ETPs - 2/9 - 2/13

    The Week in Volatility Indexes and ETPs - 2/9 - 2/13

    All is right in the world as the S&P 500 closed at the first record high for 2015 and VIX did what it is ‘suppose to’ and closed at a 2015 low. Of course the 2015 low is higher than the average for 2014. It appears that those smart guys that trade listed volatility derivatives do not believe we are going to see dozens of S&P 500 records like we did last year. The VXST – VIX – VXV – VXMT curve is showing the impact of the current three day weekend on the short[...]

  • Market News | VIX | Trader Talk | Futures | Feb 13, 2015, 9:46 AM

    Earnings Next Week - 2/17 - 2/20

    Earnings Next Week - 2/17 - 2/20

    Next week is a short week, but still heavy on the earnings front.  The numbers below depict the biggest up and down moves over the last three years along with the average move and what the stock did in response to the last earnings release -  

  • Education | Strategy | Feb 9, 2015, 2:34 PM

    New White Paper Explores a Leveraged Approach Applying the CBOE S&P 500 PutWrite Index

    New White Paper Explores a Leveraged Approach Applying the CBOE S&P 500 PutWrite Index

    As a follow up to a BXY white paper we produced a few months ago, Mark Sebastian, Hannah Chody, and I just completed “A Leveraged Portfolio Management Approach Applying The CBOE S&P 500 PutWrite Index”. Highlights include – An analysis of PUT returns versus the total return for the S&P 500 over the last 26 years Examinations of how leveraging PUT returns can result in superior absolute and risk adjusted returns A demonstration of how to implement a leveraged PUT strategy The[...]

  • Market News | Trader Talk | Futures | Trade Ideas | Feb 7, 2015, 12:25 PM

    The Week in VIX - 2/2 - 2/6

    The Week in VIX - 2/2 - 2/6

    With a 17% drop in VIX, the week ended not just in contango, but pretty steep contango. Especially when looking at February versus the spot. Also taking into account there is a week and a half remaining until February settlement. February at almost a 2 point premium to VIX in a pretty good indication that traders are still worried about the health of the overall stock market and the possibility that February settlement comes in higher than current levels. I’m going to deviate a[...]

  • Market News | Feb 6, 2015, 8:36 PM

    The Week in Volatility Options and ETPs - 2/2 - 2/6

    The Week in Volatility Options and ETPs - 2/2 - 2/6

    A big up week for the S&P 500 resulted in the VXST – VIX – VXV – VXMT term structure curve returning to contango after going into backwardation to end the previous week. This sort of action is wearing thin for guys on the floor. I was even pulled aside and told that there seems to be a sort of ‘seller’s exhaustion’ when the market moves dramatically in one direction or another.   I’ll speak to that topic more after discussing the ETPs. There[...]

  • Market News | Trader Talk | Trade Ideas | Feb 5, 2015, 11:09 AM

    Earnings Histories - Week of 2/9 - 2/13

    Earnings Histories - Week of 2/9 - 2/13

    I've called this blog Next Week in Weeklys, but in reality it has turned into a resource people are using when considering trading around earnings.  Therefore, we have a new title. The table below shows three years of earnings history for stocks that have short dated options (Weeklys) available for trading.  In cases where there is not three years of data available I italicize the line.  

  • Market News | VIX | Futures | Feb 2, 2015, 3:20 PM

    Checking in on Oil Volatility

    Checking in on Oil Volatility

    Oil was the headline grabbing market for the last few months of 2014. For months the price of oil has continued to violate any sort of support levels that technical analysts can come up with. January’s average OVX close was just over 55. This was the highest average for a month since the tail end of the Great Financial Crisis in April 2009. The chart below shows the average daily close by month for OVX since mid-2007 through January 2015. The thing is, Oil has sort of vanished from the headlines.[...]

  • Market News | VIX | Trader Talk | Futures | Feb 1, 2015, 11:52 AM

    Dissecting VIX Volume Trends

    Dissecting VIX Volume Trends

    I was lucky enough to join The Options Institute at the Chicago Board Options Exchange in April 2009. This has been a wonderful place to work as each day is different and almost every day I learn something new. Back in high school, a discipline heavy all-boys school, the head football coach was my homeroom teacher for freshman year. Coach Nix would send us off with the same words each day, “If you learn one new thing each day this year you will know a lot of new things at the end of the year.”[...]