Futures Archives - CBOE Blogs

  • Market News | VIX | Trader Talk | Futures | Mar 14, 2015, 12:28 PM

    The Week in Volatility Indexes and ETPs - 3/9 - 3/13

    The Week in Volatility Indexes and ETPs - 3/9 - 3/13

    The S&P 500 dropped for the third consecutive week with the reaction from the S&P 500 volatility term structure chart being a slight shift to the upside. I altered the term structure graphic that appears below to show where we are right now compared to recently history. My definition of recent history is the average VXST – VIX – VXV – VXMT curve is the average in 2014. What I’ve highlighted here is the spread between the closing levels on Friday and the[...]

  • Market News | VIX | Trader Talk | Futures | Mar 8, 2015, 10:02 AM

    The Week in VIX - 3/2 - 3/6

    The Week in VIX - 3/2 - 3/6

    VIX moved up to a much greater extent than the front month futures this past week. This is a direct function of the extra risk premium that was priced into near dated VIX futures going into the always treacherous week with the Wednesday ADP number and official unemployment reading that comes out before the equity market opened on Friday. This is not the first time I have pointed this out, but it is definitely worth noting. Check the curve and specifically take a look at April which appears to be[...]

  • Education | Futures | Trade Ideas | Mar 7, 2015, 3:34 PM

    Cross-Asset Volatility Discussion at CBOE Risk Management Conference

    Cross-Asset Volatility Discussion at CBOE Risk Management Conference

    One of the final presentations given at the 31st Annual CBOE Risk Management Conference this year was an in depth discussion of volatility across asset classes.   Brandon Bates, Portfolio Manager at BlackRock and Benjamin Bowler, Co-Head of Global Equity Derivatives Research at Bank of America Merrill Lynch co-presented the session titled Leveraging Cross-Asset Volatility Dynamics in Forecasting and Trading. With the emergence of volatility as an asset class it appears that volatility across[...]

  • Market News | VIX | Trader Talk | Futures | Mar 7, 2015, 12:12 PM

    The Week in VIX Indexes and ETPs - 3/2 - 3/6

    The Week in VIX Indexes and ETPs - 3/2 - 3/6

    On Friday I was a bit distracted by trying to keep up with what was going on in Carlsbad at the CBOE Risk Management Conference while simultaneously attending the monthly residency in Oklahoma for an academic program I’m immersed in.   This morning (Saturday) I just got around to looking at the market action on Friday. I was already aware that the VIX term structure did not go into backwardation on Friday as I could see that at www.cfe.cboe.com. What surprised me is the shape of the[...]

  • Trader Talk | Education | Futures | Mar 5, 2015, 7:57 PM

    Plan Fiduciaries Discuss Trends in Institutional Options and Volatility Product Usage

    Plan Fiduciaries Discuss Trends in Institutional Options and Volatility Product Usage

    On Thursday at the 31st CBOE Annual Risk Management Conference in Carlsbad, Colin Bebee of Pension Consulting Alliance (PCA) moderated a Panel on Trends in Institutional Options and Volatility Product Usage. A pension fund sponsor on the panel noted that his fund made an allocation to the CBOE S&P 500 BuyWrite Index (BXM), and in the future his fund could consider cash-secured put writing. The Risk/Return Trade-off chart (from the January 2015 paper at www.cboe.com/funds) shows strong risk-adjusted[...]

  • The Art of Hedging Discussed at RMC

    The Art of Hedging Discussed at RMC

    The last presentation of the day today at CBOE’s Risk Management Conference also turned out to be one of the best. Boris Lerner, Head of US Quantitative and Derivative Strategies at Morgan Stanley and Arie Aboulafia, Senior Portfolio Manager from Capstone Investment Advisors teamed up to discuss “The Art of Hedging”.  Many market participants have forgotten that there is a non-quantitative aspect to investing and trading since the industry has become so quantitative. This session[...]

  • Watching Closely Here - Weekly Market Outlook

    Watching Closely Here - Weekly Market Outlook

    Believe it or not, the S&P 500 (SPX) (SPY) lost ground last week. It was a "just barely" situation, and the Russell 2000 (RUT) (IWM) as well as the NASDAQ Composite (COMP) (QQQ) both ended the week higher even with Friday's pullbacks. The across-the-board weakness to close out the week, however, is something to think about even if it's not yet something to worry about. The odds are weighed below. Let's first dissect last week's economic numbers and preview what's coming up this week. Economic[...]

  • Market News | VIX | Trader Talk | Futures | Mar 1, 2015, 10:07 AM

    The Week in VIX - 2/23 - 2/27

    The Week in VIX - 2/23 - 2/27

    The S&P 500 hardly budged on a week over week basis and VIX drifted lower. The March future drifted lower basically in sync with the index, but is still at a health premium relative to the index. I’m attributing that to the pending employment numbers coming out next week. I need to do a study and see what happens with that spread on the weeks that we get the employment report. I wouldn’t be surprised to see the gap narrow post-employment as there is often no pending market moving[...]

  • VIX | Trader Talk | Education | Futures | Feb 28, 2015, 7:47 AM

    The Week in Volatility Indexes and ETPs - 2/23 - 2/27

    The Week in Volatility Indexes and ETPs - 2/23 - 2/27

    Last week was fairly quiet despite the second revision of GDP coming in a little light. We may see a little more volatility action in the coming week as on Wednesday the ADP Employment Change report is released Wednesday before the open and then the government version of the employment report coming on Friday. Both of these reports are significant as they are a first look at economic activity for February. Despite the S&P 500 losing a little value last week, with Friday to blame, the VXST –[...]

  • Market News | Technical Analysis & Charts | VIX | Education | Futures | Feb 27, 2015, 1:10 PM

    Weekly Market Commentary 2.27.15

    Weekly Market Commentary 2.27.15

    (Editors Note:  For those attending Traders Expo New York at the Marriott Marquis this weekend, please stop by and say hello to Larry McMillan and his group.  Russell Rhoads from the Options Institute at CBOE will be at Traders Expo as well). The stock market continues to move higher, albeit at a very slow pace. That makes the $SPX chart bullish, of course, and it will remain bullish as long as $SPX holds above support.  The highest support level is the 2090-2100 range that $SPX traded[...]

  • 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[...]

  • VIX | Education | Futures | Feb 19, 2015, 2:00 PM

    CBOE Risk Management Conference is Two Weeks Away

    CBOE Risk Management Conference is Two Weeks Away

    I received two inquiries this morning about CBOE's 31st Annual Risk Management Conference (RMC), March 4 - 6, 2015 in Carlsbad, California.  It is being held at the Park Hyatt Aviara, along the Pacific Ocean, 25 miles North of San Diego California. The agenda, topics, speakers and registration forms are available at http://www.cboermc/agenda.  There is still some space available at CBOE RMC. This is considered the premiere financial industry conference designed for institutional users of[...]

  • VIX | Trader Talk | Education | Futures | Feb 17, 2015, 1:45 PM

    VIX February Settlement Reminder: Wednesday 2.18.15

    VIX February Settlement Reminder: Wednesday 2.18.15

    Settlement Reminder: Today, Tuesday, February 17th is the last trading day for February in the following: VIX, RVX, VXN, GVZ, OVX, VXEEM, VXEWZ, and VXTYN futures and options. These contracts settle tomorrow, Wednesday morning, February 21st. We will post the settlement values when they are released tomorrow morning.

  • 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[...]