Futures Archives - CBOE Blogs

  • Market News | VIX | Trader Talk | Futures | Trade Ideas | Mar 19, 2016, 4:29 PM

    Weekend Review - Volatility Indexes and ETPs - 3/14 - 3/18

    Weekend Review - Volatility Indexes and ETPs - 3/14 - 3/18

    I’m honestly surprised and admitting that I have been very wrong in trying to guess at the VIX action lately.  I never would have expected a 13 handle for VIX, but low and behold that’s what we got on Friday.  When I return to work on Monday I will spend a little time on the wall of shame. Even the longer dated volatility indexes have given up the fight with VXV and VXMT closing near the respective 2015 averages after remaining at elevated levels for most of 2016. VXX[...]

  • Market News | VIX | Blogging Options | Trader Talk | Futures | Trade Ideas | Mar 19, 2016, 2:38 PM

    Weekend Review - Russell 2000 Options and Volatility - 3/14 - 3/18

    Weekend Review - Russell 2000 Options and Volatility - 3/14 - 3/18

    I guess I have to try to work some sort of St. Patrick’s Day theme in here since the Russell 1000 (RUI) went from red to green on the year last week, but I’m too worn out to come up with anything clever.  Also, it is difficult to get too excited over an index that is up 0.05% for the year.  Since I’m trying to be funny, here’s a lame attempt, the Russell 2000 (RUT) remains in a rut for 2016, even after gaining 1.3% last week the small cap benchmark is still 3% lower[...]

  • Market News | VIX | Futures | Mar 18, 2016, 3:00 PM

    The Weekly Options News Roundup – 3/18/2016

    The Weekly Options News Roundup – 3/18/2016

    The Weekly News Roundup is your weekly recap of CBOE features, options industry news and VIX and volatility-related articles from print, broadcast, online and social media outlets. New Options Flexibility This Monday, CBOE will begin offering FLEX Index Options with Asian and Cliquet style settlement. These new exchange-traded exotic options are particularly appealing to the insurance industry, giving indexed annuity writers new options-based hedging alternatives.  For more information, see[...]

  • Technical Analysis & Charts | VIX | Futures | Strategy | Mar 18, 2016, 1:06 PM

    Weekly Stock Market Commentary 3/18/16

    Weekly Stock Market Commentary 3/18/16

    The completion of the powerful, bottoming "W" formation at the beginning of March was the launchpad for this leg of the rally. It has more room to run. Equity-only put-call ratios continue to remain on buy signals. The standard chart has seen a slight "wiggle" develop this week, but it does not dissuade the computer programs from continuing to say that these ratios are solidly on buy signals. Market breadth continues to be strong. Both oscillators are currently on buy signals,[...]

  • VIX | Education | Futures | Mar 18, 2016, 12:57 PM

    VIX Volatility Indicators Cool as FOMC Joins the Dovish Bandwagon

    VIX Volatility Indicators Cool as FOMC Joins the Dovish Bandwagon

    CBOE’s indicators of expected volatility for Treasuries, equities and foreign exchange rate -- TYVIX, VIX, EUVIX, JYVIX, BPVIX) -- turned cooler this week. All but BPVIX are below their historical median values since 2003. The driver of the move was the decidedly more dovish tone of the FOMC’s announcement on Thursday. The Fed policymakers also announced their decision not to change (raise) the fed fund target rate – but that decision had been fully anticipated. The FOMC’s[...]

  • Market News | VIX | Futures | Mar 18, 2016, 12:45 PM

    CBOE VIX Options Volume Surges

    CBOE VIX Options Volume Surges

    CBOE VIX® option volume for March is averaging well over 700K contracts as realized volatility for the index stabilizes near 95% and traders marvel at the 50% retracement in the index from the 30 handle highs of February 11th.  Nearly 10M VIX contracts have traded in the first 18 days of the month, with calls leading puts 8:3, suggesting total monthly volume may top 15M contracts for the first time in six months. Large call spreads are driving much of the volume, including ratio spreads[...]

  • Market News | VIX | Blogging Options | Trader Talk | Futures | CBOE Memories | Mar 17, 2016, 9:02 AM

    VIX Network Discussion at FIA Boca

    VIX Network Discussion at FIA Boca

    Yesterday afternoon at the 41st Annual International Futures Industry Conference in Boca Raton, CBOE and S&P Dow Jones Indices teamed up for a session highlighting the growing use of VIX around the world. Reid Steadman from S&P Dow Jones Indices offered a brief welcome address where he noted the various markets where participants have access to a consistent measure of implied volatility.  He underscored that a wide variety of equity markets including India, Australia,[...]

  • VIX | Blogging Options | Trader Talk | Education | Futures | Trade Ideas | Mar 13, 2016, 10:04 AM

    Weekend Review - Russell 2000 Options and Volatility - 3/7 - 3/11

    Weekend Review - Russell 2000 Options and Volatility - 3/7 - 3/11

    After stumbling a bit last week both the Russell 1000 (RUI) and Russell 2000 (RUT) moved higher with RUI up by about 1% and RUT rising 0.5%.  this is the first week in a while where RUT under performed RUI and the small cap benchmark is now lagging the large cap Russell 1000 by 3% for 2016. The relative implied volatility ticked up a bit for the CBOE Russell 2000 Volatility Index when compared to VIX.  The 2016 closing high for the RVX / VIX ratio occurred on February 1st and[...]

  • Market News | VIX | Blogging Options | Trader Talk | Futures | Trade Ideas | Mar 12, 2016, 10:55 AM

    Weekend Review - VIX Options and Futures - 3/7 - 3/11

    Weekend Review - VIX Options and Futures - 3/7 - 3/11

    VIX dropped just over 2% which isn’t that much considering we got a 1% rise in the stock market.  The curve remains in a fairly common state of contango.  Standard March futures settle Wednesday on the open and the spread of over a point also makes me wonder if volatility traders are buying into higher stock prices. I did a little more digging on VIX price action, really just looking for the 2016 intraday-low which I assumed occurred last week.  I assumed wrong. [...]

  • Market News | Technical Analysis & Charts | VIX | Futures | Mar 7, 2016, 9:37 AM

    BigTrend.com Weekly Market Outlook - How Long A Pause?

    BigTrend.com Weekly Market Outlook - How Long A Pause?

    Friday's finish was a lackluster one, possibly hinting that this leg of the rally has finally run out of gas and the bulls need a breather. Of course, after what was nearly a 10% runup from the mid-February low, a break for the bulls is neither surprising nor especially troubling just yet. The crux of the matter is when, where, and if any rest period for the rally comes to a close and the bullishness is rekindled. We'll look at the line in the sand in a moment, right after a quick run-down of last[...]

  • Market News | VIX | Trader Talk | Futures | Trade Ideas | Mar 6, 2016, 12:44 PM

    Weekend Review - VIX Options and Futures - 2/29 - 3/4

    Weekend Review - VIX Options and Futures - 2/29 - 3/4

    VIX gave up over 14% as the S&P 500 tried to work back to the 2000’s last week, falling short by 0.01.  Note the steepness of the curve below with the standard March contract at over a two point premium to spot VIX. The generic curve is also a bit steep, considering it is normally pretty flat.  VIX may be low, but even the short dated futures are braced for higher levels.   With VIX under pressure on Friday, someone came in to the market using one of my favorite[...]

  • Market News | VIX | Trader Talk | Futures | Trade Ideas | Mar 5, 2016, 9:45 AM

    VIX Death Cross Update

    VIX Death Cross Update

    This past week I got to attend CBOE’s Risk Management Conference in Florida and finished my week at Oklahoma State as a guest lecturer.  When I travel like this I am not watching the markets as closely as I would like and as I updated charts this morning I nervously scanned the numbers used to create the chart below.  I say nervously because I was afraid I had dropped the ball on catching the VIX Death Cross.  It turns out I updated charts just in time. Yesterday (3/4) was the[...]

  • Market News | VIX | Futures | Mar 4, 2016, 1:56 PM

    The Weekly Options News Roundup – 3/4/2016

    The Weekly Options News Roundup – 3/4/2016

    The Weekly News Roundup is your weekly recap of CBOE features, options industry news and VIX and volatility-related articles from print, broadcast, online and social media outlets. RMC Wrap-Up The 32nd annual CBOE Risk Management Conference (RMC) was held this week. Over 300 financial professionals gathered in sunny Bonita Springs, Florida to discuss the latest trends in volatility trading and risk management techniques.  Each year, RMC provides an excellent forum for CBOE and its customers[...]

  • Market News | VIX | Futures | Strategy | Mar 4, 2016, 1:00 PM

    March 4, 2016 Weekly Report on CBOE VIX Index Suite

    March 4, 2016 Weekly Report on CBOE VIX Index Suite

    Can Fear Be Gone From the Market? All it took was a mildly positive non-farm payrolls report on Friday morning to drive the CBOE VIX Index below its median value of 17 (measured since 2003). Not only has U.S. equity volatility subsided, but so has the volatility of volatility measured by the VVIX Index and the CBOE SKEW, a measure of tail risk. Both suggest the probability of a significant crash in the U.S. equity market is dissipating. Figure 1. VVIX and SKEW since January 2015 So it appears[...]

  • Market News | VIX | Trader Talk | Futures | Trade Ideas | Mar 2, 2016, 9:08 PM

    CBOE RMC Day 3 Recap

    CBOE RMC Day 3 Recap

    The final day began at CBOE’s Risk Management Conference with a very timely address from Jim VandeHei President and CEO of POLITICO.  He offered extensive insight into the current presidential race and this was a timely presentation considering yesterday was Super Tuesday.  An interview with VandeHei appears at the CBOE RMC Video Highlights Page. There were two tracks today, one focusing on directional trading and the other focusing on volatility. The first directionally oriented[...]