Futures Archives - Cboe Blogs

  • Market News | VIX | Trader Talk | Futures | Trade Ideas | Jan 30, 2016, 4:20 PM

    Weekly Review - Volatility Indexes and ETPs - 1/25 - 1/29

    Weekly Review - Volatility Indexes and ETPs - 1/25 - 1/29

    The equity market came to life last week and avoided what could have been the worst January in most of our lifetimes for stocks.  In response the four volatility indexes that are based on SPX option pricing were lower, but all four are also well above where they were to end 2015. I included a year-to-date performance column in this week’s table.  A big part of the motivation was to show the stellar performance of VXX and UVXY (along with the comparable funds) for 2016. [...]

  • Market News | VIX | Futures | Jan 29, 2016, 1:51 PM

    January 29, 2016 Weekly Report on CBOE VIX Indexes

    January 29, 2016 Weekly Report on CBOE VIX Indexes

    Negative Japanese Interest Rates Revive JYVIX Index The JYVIX Index rose to 11.77 at the close on Thursday, ahead of the Bank of Japan’s move to press the Japanese short rate of interest into negative territory early Friday. It was the first time the Japanese central bank adopted a negative interest rate, and this unusual decision propped up global equities as well as the volatility index. The JYVIX Index measures the volatility of the Yen/Dollar rate of exchange. The action was the high note[...]

  • Market News | VIX | Trader Talk | Futures | Trade Ideas | Jan 28, 2016, 7:29 PM

    Block Trade Analysis - Two VIX Trades from Today

    Block Trade Analysis - Two VIX Trades from Today

    We had two big trades come through the VIX pit today and about the only thing they have in common is that they both used March VIX options. First, there was an out of the money bull call spread.  With spot VIX around 22.60 there was a buyer of 80,000 VIX Mar 27 Calls at 1.95 who then sold 80,000 VIX Mar 35 Calls at 0.91 for a net cost of 1.04.  A spike to just over 28.00 gets this trade to the point of profitability.  This requires a closing high for 2016 in VIX since that current[...]

  • Market News | VIX | Trader Talk | Futures | Jan 25, 2016, 12:39 PM

    Block Trade Analysis - Russell 1000 Long Dated Out of The Money Put

    Block Trade Analysis - Russell 1000 Long Dated Out of The Money Put

    We all know that 2016 has not started out too well for either small or large cap stocks.  This morning a large trade was executed in the Russell 1000 Index (RUI) option pit that appears to be based on fear (or hope) that bearishness in the large cap equity segment continues. Just before 11:00 am Chicago time, with RUI at 1041.59 a buyer of just under 3000 (2980 for the quants) RUI Dec 850 Puts paid 33.00.  We have no idea what the motivation is here, it could be a bearish call on the market[...]

  • Market News | VIX | Trader Talk | Futures | Trade Ideas | Jan 23, 2016, 6:37 PM

    Weekly Review - VIX Futures and Options - 1/18 - 1/22

    Weekly Review - VIX Futures and Options - 1/18 - 1/22

    The stock market rally on Friday put pressure on VIX and pushed the spot index down enough that the front month February future closed at a slight premium.  This is the first premium for the front month VIX futures relative to spot since January 4th.  I’ll discuss this a bit more toward the end of this blog. The generic short dated curve flattened out which I’m learning is the normal shape using the five consecutive weekly VIX futures contracts. As mentioned above,[...]

  • Market News | VIX | Trader Talk | Futures | Trade Ideas | Jan 23, 2016, 8:58 AM

    Weekly Review - Volatility Indexes and ETPs - 1/18 - 1/22

    Weekly Review - Volatility Indexes and ETPs - 1/18 - 1/22

    The S&P 500 rebounded by about 1.4% last week and SPX option volatility moved a bit lower.  The VXST – VIX – VXV – VXMT curve shifted lower and flattened.  However for a bit of perspective I show where we ended 2015.  I think the comparison is a good indication that we may not be completely out of the woods, at least based on the expectations indicated by the various S&P 500 oriented volatility measures. The rebound in the stock market put some[...]

  • Market News | VIX | Trader Talk | Futures | Trade Ideas | Jan 22, 2016, 2:40 PM

    TYVIX Weekly Report - January 22, 2016

    TYVIX Weekly Report - January 22, 2016

      VIX Indexes Moderate Despite Little Closure on Global Economic Outlook The bleak outlook for world economic growth, oil prices and low inflation drove equity markets lower for most of this week, although stock prices trimmed losses Friday on a bounce in oil prices and talk of possible central bank easing in Europe and Japan. VIX benchmarks for volatility in equity, fixed income and currency rates moderated (with the exception of JYVIX). Figure 1.  Statistical update   Looking[...]

  • Technical Analysis & Charts | Futures | Jan 21, 2016, 4:20 PM

    European Bear Markets - FTSE/CAC/DAX/IBEX

    European Bear Markets - FTSE/CAC/DAX/IBEX

    After yesterday’s waterfall-like selloff, a number of global indices are now in bear market territory (20% off highs). Germany’s DAX benchmark is 24% of April 2015 highs France’s CAC 40, as of yesterday’s close was nearly 22% of 2015 heights The Spanish IBEX is off a full 30% from last April’s highs – Ay, caramba! Yesterday, the Brits joined this ignominious group, with the FTSE 100 losing 3.3% on the day and falling 20.13% from April ’15 highs. While the[...]

  • Weekly Review - Russell 2000 Index and Volatility 1/11 - 1/15

    Weekly Review - Russell 2000 Index and Volatility 1/11 - 1/15

    The Chicago Bears are doing the same thing the rest of us did this weekend, watching the playoffs from home.  However, the stock market bears have been dominate in 2016.  Russell 2000 (RUT) history goes back to 1987 so there is not a lot to work with, but the first ten days of 2016 are the worst first ten days on record for RUT.  The table below shows the first ten days for every year when RUT started off in the red followed by what the small cap oriented index did for the balance[...]

  • Caution on Using VIX vs. Oil as a Stock Market Signal

    Caution on Using VIX vs. Oil as a Stock Market Signal

    I awoke this morning to an email from the matriarch of CBOE-TV Holly Goodhart.  She was preparing for her day with CNBC on in the background and something caught her eye.  The following comes directly from her email – I have CNBC on this morning, and they just spent a segment discussing this headline: "Markets bottom when VIX is greater than oil." This didn’t sound right to me for a few reasons, primarily because I recall many years with the price of oil in the teens.[...]

  • Market News | VIX | Trader Talk | Futures | Jan 17, 2016, 1:07 PM

    Weekly Review - VIX Futures and Options - 1/11 - 1/15

    Weekly Review - VIX Futures and Options - 1/11 - 1/15

    Two tomatoes are walking down the street, momma tomato and baby tomato.  Baby tomato can’t keep and momma tomato keeps getting angrier and angrier.  Finally she stops, turns around and stomps on baby tomato.  She then states, “Catch up”. That’s what the VIX futures did this past week, with the stock market playing the role of baby tomato and getting stomped on.  When the dust settled this week VIX was actually up by 0.01 with VIX futures narrowing the gap. [...]

  • A Quick Look at VIX Backwardation Streaks

    A Quick Look at VIX Backwardation Streaks

    When VIX is relatively high the VIX term structure moves into what we commonly refer to as backwardation.  The way this may be defined varies among market participants, but most focus on the shorter end of the VIX curve.  That is what I’ve been doing lately as well.  It turns out, regardless of how you define VIX backwardation 2016 has experienced more instances of it than not for the first ten days of 2016.  The tables below rank the consecutive day streaks for VIX backwardation[...]

  • Market News | VIX | Futures | Jan 15, 2016, 1:34 PM

    Twists and Turns In VIX and TYVIX Indexes

    Twists and Turns In VIX and TYVIX Indexes

    The CBOE Volatility Index (VIX) and the CBOE/CBOT 10-year U.S. Treasury Note Volatility Index (TYVIX), benchmarks of volatility for the U.S. equity and Treasury markets, have had some interesting twists and turns this week after another decline in the Shanghai stock market pushed global equities lower and the price of crude oil dipped below $30 a barrel. The TYVIX Index has been heading up since December 24, 2015, but still shows no clear trend from a longer-run perspective. The VIX Index, on the[...]

  • Market News | Education | Futures | Jan 11, 2016, 1:00 PM

    VIX Weekly Futures Prices Rose 42% in First Week of 2016

    VIX Weekly Futures Prices Rose 42% in First Week of 2016

    The first week of 2016 was a challenging one for many financial markets worldwide, as (1) It was the worst opening week of the year in history for both the S&P 500®(SPX) and the Dow Jones Industrial Average, (2) The Shenzhen Composite Index of Chinese stocks fell 14.2%, (3) Crude oil futures (Feb. WTI) fell 10.5%, and (4) The U.S. dollar posted its biggest weekly loss vs. the yen since August 2013. Were there investable instruments that had diversification potential with double-digit[...]

  • Market News | Technical Analysis & Charts | VIX | Futures | Jan 11, 2016, 9:30 AM

    BigTrends.com Weekly Market Outlook - Is The Pullback Over?

    BigTrends.com Weekly Market Outlook - Is The Pullback Over?

    From a momentum perspective, the bears were clearly in charge as of the end of last week. On the other hand, the sheer size and scope of the setback opens the door to a possible bounce...  a volatile mode the market has been in for over a year. Only time will really tell if this oddly bearish start to the new trading year was a fluke or the shape of things to come. It's best to prepare for both possibilities. We'll look at the charts and weigh the odds below.  But first, was quickly review[...]