Futures Archives - CBOE Blogs

  • Market News | VIX | Trader Talk | Futures | Nov 15, 2015, 9:09 AM

    The Week in Volatility Indexes and ETPs - 11/9 - 11/13

    The Week in Volatility Indexes and ETPs - 11/9 - 11/13

    The S&P 500 took a dive last week in what turned out to be the second worst weekly performance of 2015.  As of Friday the S&P 500 is down 1.7% for the year which would be the first noticeable loss (2011 was down less than 0.01%) since 2008.  The four volatility indexes that use S&P 500 as the underlying all shot higher.  What stands out to me is the high levels for VXV (3-month) and VXMT (6-month) on the chart below.  We are in the midst of high SPX implied volatility[...]

  • Market News | VIX | Trader Talk | Futures | Trade Ideas | Nov 12, 2015, 7:30 AM

    Earnings Next Week - 11/16 - 11/20

    Earnings Next Week - 11/16 - 11/20

    Regular earnings season seems to have come to a close and now the numbers are mostly about retail.  The numbers below represent the last three years of stock price reaction except when the data is in italics (JD for example).

  • Market News | Trader Talk | Education | Futures | Trade Ideas | Nov 11, 2015, 8:01 AM

    Five Things I'm Looking Forward to at RMC Asia

    Five Things I'm Looking Forward to at RMC Asia

    The air was cold this morning as I headed to the train which means two things.  Thanksgiving is just around the corner and right after that CBOE will be in Hong Kong for our first annual CBOE Risk Management Conference in Asia.  The schedule is out and I’m excited about the whole docket, but five things in particular have me counting the days to November 30th. Ed Tilly, CEO of CBOE Holdings, will be speaking at the beginning of the second day to welcome attendees and give an update[...]

  • VIX | Trader Talk | Education | Futures | Nov 7, 2015, 1:58 PM

    The Week in VIX - 11/2 - 11/6

    The Week in VIX - 11/2 - 11/6

    VIX finished the week closer to 14 than 15 based on a muted response to the employment number and a lack of known potential volatility events on the horizon.  The fear index did manage to spend a little time on Monday and Tuesday under 14.00 which is a level that many consider the new ‘floor’ for VIX since we are about to enter a period of increasing interest rates.    The futures all followed the index lower which would be expected with smooth sailing for the stock[...]

  • Market News | VIX | Trader Talk | Futures | Nov 7, 2015, 11:22 AM

    The Week in Volatility Indexes and ETPs - 11/2 - 11/6

    The Week in Volatility Indexes and ETPs - 11/2 - 11/6

    The S&P 500 quietly rose just under 1% last week and VIX worked lower.  Across the board S&P 500 focused volatility indexes dropped with the possibility that any threat of increased volatility in the markets has been pushed out to 2016.  Of course back in August those same indexes dropped as the economic calendar was light and Labor Day was around the corner.  Note what happened on August 21st and August 24th when complacency started setting in. On the table below[...]

  • VIX | Trader Talk | Futures | Nov 1, 2015, 12:39 PM

    The Week in VIX - 10/26 - 10/30

    The Week in VIX - 10/26 - 10/30

    VIX, VIX futures and the S&P 500 all moved higher last week.  It happens, but with a couple of major economic events/numbers behind us (FOMC / 3Q GDP) and stocks moving up (although slightly) it was a bit surprising to see all that green when compiling data for this blog. The curve below is a comparison of generic VIX futures based on the number of days to expiration.  For example, Week 1 for the 10/23 curve was the October 28th contract while on the 10/30 curve it represents the November[...]

  • Market News | VIX | Trader Talk | Futures | Trade Ideas | Oct 18, 2015, 12:36 PM

    The Week in Russell 2000 Trading - 10/12 - 10/16

    The Week in Russell 2000 Trading - 10/12 - 10/16

    Large cap stocks gained and small cap stocks were lower last week with the Russell 1000 (RUI) moving up by 0.77% while the Russell 2000 (RUT) dropped 0.26%.  For the year RUI is down 1.25% and RUT has given up 3.52%. The implied volatility differential finished the week with the CBOE Russell 2000 Volatility Index (RVX) at about a 20% premium to VIX which is pretty close to the average level for this year.  For the moment the risk perception for small cap stocks is at levels[...]

  • VIX | Trader Talk | Education | Futures | Trade Ideas | Oct 17, 2015, 12:05 PM

    The Week in VIX - 10/12 - 10/16

    The Week in VIX - 10/12 - 10/16

    It has been a while since I’ve started out saying we had a parallel shift in the VIX curve.  That’s what we got last week as the market calmed down a bit and the S&P 500 advanced.  The October contract settles on the open this coming Wednesday and went out at about a point premium to spot VIX which has been the norm over the past few years when VIX has been in the mid to low teens. The short dated curve shifted a little more into contango last week.  It[...]

  • VIX | Trader Talk | Education | Futures | Trade Ideas | Oct 17, 2015, 6:57 AM

    The Week in Volatility Indexes and ETPs - 10/12 - 10/16

    The Week in Volatility Indexes and ETPs - 10/12 - 10/16

    VIX closed under 16.00 for the first time since all the hubbub that occurred in late August as the S&P 500 continued to recover last week gaining 0.90%.  Among the four S&P 500 focused volatility Indexes VIX was the biggest loser shedding almost 12%.  I had been keeping a close eye on VXV as the 3 month time frame that VXV measures comes after the December FOMC announcement.  VXV fell a bit relative to VXMT (6 month volatility) which may be a FOMC indicator and may also be[...]

  • Market News | VIX | Trader Talk | Futures | Oct 11, 2015, 8:30 AM

    The Week in Russell 2000 - 10/5 - 10/9

    The Week in Russell 2000 - 10/5 - 10/9

    The 4.6% gain for the Russell 2000 (RUT) was the biggest one week gain since late October 2014 when (I think) the market was rebounding from an ebola scare.  Large cap stocks participated in the rally with the Russell 1000 (RUI) rising 3.26%, but this lagged the rebound in small cap stocks.  Despite the ‘win’ for RUT, the Russell 2000 still lags the Russell 1000 by over 1% for 2015 (-3.27 vs. -2.00%). If this past week were homecoming at Volatility High School the[...]

  • Market News | VIX | Trader Talk | Education | Futures | Oct 10, 2015, 10:22 AM

    The Week in Volatility Indexes and ETPs - 10/5 - 10/9

    The Week in Volatility Indexes and ETPs - 10/5 - 10/9

    In Chicago we are already getting use to the Bears getting pummeled each week.  This past week bears everywhere took it on the chin as the S&P 500 put up the best weekly performance in 2015.  What I find interesting on the chart below relates to VIX, which was down 18.4% for the week, which is actually the fourth worst week for VIX this year, despite VIX beginning the week over 20.00. VXX dropped about 11% and SVXY was up closer to 12% last week.  However, the choppy[...]

  • Market News | VIX | Futures | Oct 9, 2015, 10:44 AM

    VIX Weeklys Options Launched – In VIX Options Chain; More Precision and Responsiveness

    VIX Weeklys Options Launched – In VIX Options Chain; More Precision and Responsiveness

    Yesterday (October 8) was the first day of trading for the VIX Weeklys options, with reported trading volume topping 1,000 contracts. VIX OPTIONS CHAIN A key feature of the new VIX Weeklys options is that they are in the same options chain as the standard-expiration VIX options.  This screenshot below from Bloomberg on the morning of October 9 shows that there now are VIX options expirations on Oct 21, Oct. 28, Nov. 4, Nov. 18, and Dec. 16 (in addition, there are VIX options with longer dated[...]

  • 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 | 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[...]

  • VIX | Trader Talk | Education | Futures | Trade Ideas | Sep 27, 2015, 2:20 PM

    New White Paper Discusses Volatility as a Small Cap Portfolio Hedge

    New White Paper Discusses Volatility as a Small Cap Portfolio Hedge

    A new white paper from our partners over at Russell Indexes Research discusses the merits of using futures on the CBOE Russell 2000 Volatility Index (RVX) to hedge small cap risk.  In the paper “RVX futures as a hedge for small cap-specific risk” Barry Feldman covers volatility products that are currently available to hedge downside risk in equity portfolios and then goes on to compare using VIX futures and RVX futures to hedge a small cap focused portfolio. Feldman uses the market[...]