Futures Archives - CBOE Blogs

  • Market News | VIX | Trader Talk | Futures | Apr 25, 2015, 2:55 PM

    The Week in VIX - 4/20 - 4/24

    The Week in VIX - 4/20 - 4/24

    VIX finished the week at 12.29 which is the lowest close since early December. Despite the S&P 500 making a new all-time high to finish the week, the May VIX futures settled at 14.625, a decent premium relative to VIX. We saw this last month until the Non-Farm Payrolls release. After the number the premium came in pretty quickly. We have to wait to see if the pattern repeats as the number does not come out until Friday May 8th. One of the most dynamic VIX spread trades is a risk reversal in[...]

  • Market News | VIX | Trader Talk | Futures | Apr 25, 2015, 10:26 AM

    The Week in Volatility Indexes and ETPs - 4/20 - 4/24

    The Week in Volatility Indexes and ETPs - 4/20 - 4/24

    The S&P 500 managed to reach a record high for the sixth time this year, but all the applause from bulls last week was for the Nasdaq-100 which made an all-time high for the first time in 15 years. All hail tech! All four volatility indexes that are based off S&P 500 option pricing moved lower last week and three of the four are below the 2014 average. Only VXMT, the 6 month version of VIX, remains elevated relative to the 2014 average. I guess bears may be throwing in the towel for the summer[...]

  • Technical Analysis & Charts | Education | Futures | Apr 21, 2015, 10:40 AM

    $3.7 Trillion in A.U.M. Tracks EAFE and E.M. Indexes, as First-ever Index Options Launch

    $3.7 Trillion in A.U.M. Tracks EAFE and E.M. Indexes, as First-ever Index Options Launch

    On Tuesday April 21 CBOE launched its first-ever trading in cash-settled options on two MSCI indexes – the MSCI Emerging Markets Index (MXEF) and the MSCI EAFE Index (MXEA). Options on the MSCI Emerging Markets Index and the MSCI EAFE Index are designed to enable investors to efficiently hedge and manage their non-U.S. equity portfolio exposures, to diversify their portfolios, or to generate added income. $TRILLIONS IN ASSETS UNDER MANAGEMENT In mid-2014 the combined assets under management[...]

  • Market News | VIX | Trader Talk | Futures | Apr 19, 2015, 2:16 PM

    The Week in Small Cap Stocks - 4/13 - 4/17

    The Week in Small Cap Stocks - 4/13 - 4/17

    Last week the Russell 2000 moved lower in line with the large cap focused S&P 500, as the RUT was down 1.02% compared to a 0.99% drop in the S&P 500. One method analysts use to gauge small cap risk relative to large cap risk is by comparing the relative levels of VIX and RVX (CBOE Russell 2000 Volatility Index). The chart below shows the daily close for RVX divided by VIX from the beginning of 2014 through Friday along with the average ratio of 1.34 highlighted on the chart. As[...]

  • Market News | VIX | Trader Talk | Futures | Apr 19, 2015, 7:45 AM

    VIX - Week of 4/13 - 4/17

    VIX - Week of 4/13 - 4/17

    We closed a chapter in VIX history with the April 2015 contract going off the board last week and May stepping in to be the new front month. May finished the week over a point closer to the spot VIX index as VIX rose over 10% and the May future only gained about 1.6%. About 45 minutes into the trading day there was a volatility trader looking out to June and expecting VIX to remain below 18.00 or at least be under 18 at June settlement. The trader sold 9,200 VIX Jun 18 Calls at 1.63 and then[...]

  • Market News | VIX | Trader Talk | Futures | Apr 18, 2015, 1:00 PM

    Volatility Indexes and ETPs - Week of 4/13 - 4/17

    Volatility Indexes and ETPs - Week of 4/13 - 4/17

    Despite an ugly Friday both VXST and VIX remains pretty low relative to recent levels. I again included the 2014 average closing levels to the chart below. This inclusion isn’t so much about noting VIX is lower, but that VXV (3 month volatility) moved above the 2014 average and VXMT (6 month volatility) remains higher than what was the average for last year. Do note that VXV got some love this past week in a discussion by Adam Warner which then led to a story on CNBC.   The links[...]

  • Technical Analysis & Charts | VIX | Futures | Apr 17, 2015, 9:51 AM

    Weekly Market Commentary 4.17.15

    Weekly Market Commentary 4.17.15

    There was some positive action this week, but in the end it's still a trading range market.   $SPX moved to the high end of the range almost challenging the all-time highs, but it could not break out on the upside.  There has been some improvement in the status of the other indicators, but unless $SPX can break out to the upside, it will not really matter. Equity-only put-call ratios remain on buy signals, as their 21-day moving averages continue to drop nearly every day. Market breadth[...]

  • VIX | Education | Futures | Apr 14, 2015, 1:44 PM

    VIX April Settlement Reminder 4.15.15

    VIX April Settlement Reminder 4.15.15

    Settlement Reminder: Today, Tuesday, April 14th is the last trading day for April in the following: VIX, RVX, VXN, GVZ, OVX, VXEEM, VXEWZ, and VXTYN futures* and options. These contracts settle tomorrow, Wednesday morning, April 15th. PLEASE NOTE:  VIX options with an expiration date of April 15th, 2015 will cease trading at 3:15 p.m. CDT today, Tuesday, April 14, 2015. These expiring options will NOT trade during the ETH session on Wednesday, April 15, 2015. * This is in contrast to VIX futures[...]

  • Market News | VIX | Trader Talk | Futures | Apr 12, 2015, 9:13 AM

    The Week in VIX - 4/6 - 4/10

    The Week in VIX - 4/6 - 4/10

    The S&P 500 put up a nice week and VIX came under pressure closing Friday at the low for 2015. Take it how you want, either that there is nothing to worry about for the markets or there is too much complacency and we are ‘doomed’ (my favorite Charlie Brown word) to experience a pullback in 2015. Either way, if you are concerned about a market correction this year, there appears to be a sale on SPX options. VIX option volume was well over 1,000,000 contracts with one big trade attributing[...]

  • Market News | Trader Talk | Education | Futures | Mar 26, 2015, 1:30 PM

    CBOE, C2 & CFE Good Friday Holiday Trading Schedule

    CBOE, C2 & CFE Good Friday Holiday Trading Schedule

    We have another long weekend coming up.  A week from tomorrow, Friday April 3rd is Good Friday. Thursday, April 2nd will have regular trading hours for all products at CBOE, C2 and CFE. Friday April 3rd, CBOE and C2 are closed for business, so there will be no Stock, ETF or Index option trading on that date.  Regular trading will resume Monday morning. On Thursday evening April 2nd, CFE opens its extended trading session at 3:30pm CDT for VIX (VX) Futures and will close at 8:15am Friday,[...]

  • VIX | Trader Talk | Futures | Mar 22, 2015, 8:56 AM

    The Week in VIX - 3/16 - 3/20

    The Week in VIX - 3/16 - 3/20

    Last week VIX experienced the second biggest week over week percentage drop for 2015. The largest move lower occurred the week before the three day Martin Luther King holiday weekend so that one may need to be given an asterisk.   However, VIX going back to the tweens last week should not be ignored as an indication of a new round of equity market complacency sinks in. Someone needs to tell that to the April VIX futures which remain at a pretty high premium (over 3 points) relative to the[...]

  • Technical Analysis & Charts | VIX | Education | Futures | Mar 20, 2015, 9:00 AM

    Weekly Market Commentary 3.20.15

    Weekly Market Commentary 3.20.15

    In figure 1, the support at 2040 and the resistance at the recent all-time highs of 2120 are marked as a trading range.  Until $SPX breaks out of that range, it really doesn't have a trend in place.  To support that conclusion, the indicators are somewhat mixed. Equity-only put-call ratios have remained on sell signals during this latest rally. Breadth hasn't been terrific during this rally, but it was strong enough to pull the "stocks only" oscillator into a mildly overbought[...]

  • VIX | Trader Talk | Education | Futures | Mar 17, 2015, 1:00 PM

    VIX March Settlement Reminder: Wednesday 3.18.15

    VIX March Settlement Reminder: Wednesday 3.18.15

    Settlement Reminder: Today, Tuesday, March 17th is the last trading day for March in the following: VIX, RVX, VXN, GVZ, OVX, VXEEM, VXEWZ, and VXTYN futures* and options. These contracts settle tomorrow, Wednesday morning, March 18th. PLEASE NOTE:  VIX options with an expiration date of March 18, 2015 will cease trading at 3:15 p.m. CT on Tuesday, March 17, 2015. These expiring options will NOT trade during the ETH session on Wednesday, March 18, 2015. * This is in contrast to VIX futures[...]

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

    The Week in Small Caps - 3/9 - 3/13

    The Week in Small Caps - 3/9 - 3/13

    Small cap stocks continue to shine relative to large caps. The Russell 2000 was up 1.2% last week while the S&P 500 actually lost value. The perceived risk for investing in large cap stocks rose last week with VIX climbing over 5%. It was a different story for the CBOE Russell 2000 Volatility Index (RVX) which was higher, but only by 0.62%. Also, the front three month futures contracts actually lost value last week. The wide spread that was common between RVX and VIX for most of 2014 has not[...]

  • Market News | VIX | Trader Talk | Futures | Mar 14, 2015, 4:15 PM

    The Week in VIX - 3/9 - 3/13

    The Week in VIX - 3/9 - 3/13

    VIX rose just over 5% to finish the week at 16.00. This occurred as the S&P 500 lost just under 1%, but put up the third losing week in a row which has some market observers scratching their heads as to just what the heck is going on. The feeling is that VIX should be higher with the stock market working lower. The curve above still has April and the farther months somewhat elevated relative to the index. It could be the consensus is that we have smooth sailing for the near term,[...]