Futures Archives - CBOE Blogs

  • VIX Option Trade Into Expiration

    VIX Option Trade Into Expiration

    CBOE and the CBOE Futures exchange plan on launching VIX Weeklys options and futures respectively over the next couple of months. Usually when new markets start trading we have to do a little wait and see with respect to strategies that large traders are implementing. However, with VIX Weeklys we have over 100 expirations since VIX options were launched and we can look to trading in VIX options and futures that have occurred near expiration. With this in mind I did some digging around on the Monday[...]

  • Market News | VIX | Trader Talk | Futures | Strategy | Jun 29, 2015, 5:52 PM

    Today in VIX, SPX, and RUT - 6/29/2015

    Today in VIX, SPX, and RUT - 6/29/2015

    A lot went on today as the Greece thing seemed to come to a head. Below are some highlights with respect to the CBOE Volatility Index, the S&P 500, and the Russell 2000 with respect to the reaction of global markets to the news out of Greece. Spot VIX rose just over 34% and the front month July futures contract was up almost 20%. Volume in VIX futures appears to have topped 400,000 for the first time this year. July and August settled within a tick of each other which is a positive for the long[...]

  • Market News | VIX | Trader Talk | Futures | Jun 27, 2015, 9:41 AM

    The Week in Volatility Indexes and ETPs - 6/22 - 6/26

    The Week in Volatility Indexes and ETPs - 6/22 - 6/26

    VIX rose less than one half one percent last week as the S&P 500 was down slightly. I would normally say there was not much change in risk perception for the broad US stock market, but that seems to be only true at the 30-day time horizon.   Note the VXST – VIX – VXV – VXMT term structure chart below shows a rise in VXST (9-day), but also a drop in VXV (3-month) and VXMT (6-month) last week. It may just be that despite the continued pushing out of the problems related[...]

  • Market News | VIX | Trader Talk | Futures | Jun 20, 2015, 12:37 PM

    The Week in VIX - 6/15 - 6/19

    The Week in VIX - 6/15 - 6/19

    I promise there are two curves on the figure below showing the week over week changes for VIX and the active VIX futures contracts. All were higher with the exception of the December contract which finished the week unchanged. This just increased the ‘divot’ that we see each year with December volatility. Trading wise, someone used the Thursday dip in VIX to take a bullish position on volatility using July VIX Options. This trade took the form of buying the VIX Jul 17 Call for 1.10 and[...]

  • Market News | VIX | Trader Talk | Futures | Strategy | Jun 18, 2015, 10:50 AM

    Block Trade Analysis - Short VIX Straddle + Long OTM Call

    Block Trade Analysis - Short VIX Straddle + Long OTM Call

    The June 2015 VIX futures and options met their demise on the open yesterday with settlement coming in at 14.67. One trader moved on to the following month with a trade structure that is unique in the option world, but pretty common in VIX world. Mid-morning on Wednesday a trader sold 22,800 VIX Jul 15 Calls for 1.73 and 22,800 VIX Jul 15 Puts at 1.18 who then completed the trade through purchasing 22,800 VIX Jul 22 Calls at 0.72 for a net credit of 2.19. The payoff at expiration appears below with[...]

  • 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 | 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 | 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[...]

  • Market News | VIX | Trader Talk | Futures | May 30, 2015, 4:14 PM

    The Week in VIX - 5/26 - 5/29

    The Week in VIX - 5/26 - 5/29

    The S&P 500 drop, which can be mostly attributed to market action on Friday, resulted in VIX putting up a pretty bullish week. Everyone is aware that we had a short week last week and VIX traders know this can cause a little disorientation when looking at VIX relative to the futures pricing. The curve below shows that VIX was up over 14% last week while the respective futures were pretty quiet. VIX futures traders are aware that VIX is a bit depressed before long weekends and tends to rebound[...]

  • Technical Analysis & Charts | VIX | Trader Talk | Futures | May 26, 2015, 9:45 AM

    Bullish Levels Getting Entrenched - Weekly Market Outlook

    Bullish Levels Getting Entrenched - Weekly Market Outlook

    It wasn't a pretty or a convincing bullish move, but stocks did make forward progress last week, putting some distance between them and a huge hurdle that had otherwise been holding it back since February. Still, no later than it cleared that ceiling another possible one developed. We'll take a closer look at this new market situation, right after we review last week's and this week's economic numbers. Economic Data It may not have been a terribly busy week last week on the economic front, but it[...]