Market News Archives - CBOE Blogs

  • Market News | VIX | Trader Talk | Strategy | Trade Ideas | May 20, 2017, 5:23 PM

    Weekend Review of Russell 2000 Options and Volatility - 5/15/2017 to 5/19/2017

    Small caps did not have a good week, despite the rebound in the equity markets after Wednesday’s swoon.  The Russell 2000 (RUT) was down over 1% last week actually dipping into negative territory for 2017 before recovering at the end of the week.  Large cap stocks as represented by the Russell 1000 (RUI) held up better than small caps with RUI down only 0.40% for the week. When volatility spikes the relative move is usually greater for VIX that the CBOE Russell 2000 Volatility Index[...]

  • Market News | Strategy | May 15, 2017, 8:12 AM

    Volatility and Holidays Are An Opportunity to Sell Premium

    Whenever we come upon a holiday it's time to take a breath and step back.  But as option traders, there is no such break as we are mindful of volatility and the option decay that constantly exists in these derivatives.  Time is a critical component of option value, and when there are fewer days to trade an option the decay becomes a detriment to the option buyer.  Over the next couple of weeks, the markets will be closed for a full session (Memorial Day).  Hence, over the next[...]

  • Market News | VIX | Trader Talk | Trade Ideas | Apr 30, 2017, 9:10 AM

    Weekend Review of Volatility Indexes and ETPs - 4/24/2017 - 4/28/2017

    S&P 500 implied volatility was dramatically lower last week.  Of significance is VXV which hit 2017 lows.  I’m teamed up with an academic putting the final touches on a study showing that VXV leads VIX so this may be a signal that the low for VIX in 2017 hasn’t be established and a close below 10.00 is a distinct possibility.  Beyond the long ETPs on the table, which had a pretty tough week, are some other markets worth noting.  First, TYVIX, which was over[...]

  • Market News | VIX | Trader Talk | Trade Ideas | Apr 29, 2017, 1:43 PM

    Weekend Review of Russell 2000 Options and Volatility - 4/24/2017 - 4/28/2017

    This past week was basically a tie between small and large cap stocks as the Russell 2000 (RUT) and Russell 1000 (RUI) were both up about 1.5%.  Four months into 2017 and RUI continues to maintain a lead of about 3.3% over RUT.  Last week VIX got smashed as did the CBOE Russell 2000 Volatility Index (RVX).  A return to the low end of the range resulted in the VIX / RVX relationship returning to higher levels.   With Weeklys available for trading all kinds of alternatives that[...]

  • Market News | VIX | Trader Talk | Trade Ideas | Apr 29, 2017, 9:00 AM

    Weekend Review of VIX Futures and Options - 4/24/2017 - 4/28/2017

    Everyone knows what an ear worm is and if not you will now.  It is basically when a song is stuck in your head.  Since Monday REM’s Orange Crush has been on constant replay in my head.  VIX losing 26% and the front month down 14% definitely qualify as a volatility crush.  Since all this crushing was caused by events in Europe (France specifically) we will take a look at the week over week VSTOXX and associated futures term structure change.  Now I have Officer Barbrady[...]

  • Market News | VIX | Trader Talk | Trade Ideas | Apr 9, 2017, 10:32 AM

    Weekend Review of Russell 2000 Options and Volatility - 4/3/2017 - 4/7/2017

    An emerging theme in 2017 is that when stocks come under pressure the Russell 2000 (RUT) seems to take it on the chin a bit more than the Russell 1000 (RUI).  Last week the large cap focused RUI was lower by 0.33% while RUT lost just over 1.5%.  This widens the lead that RUI has on RUT to about 4.5% for 2017.  With small caps leading stocks lower the relative level of small cap volatility remains high compared to large cap volatility.  The best way to measure this is the CBOE[...]

  • Market News | VIX | Trader Talk | Trade Ideas | Apr 9, 2017, 10:29 AM

    Weekend Review of Volatility Indexes and ETPs - 4/3/2017 - 4/7/2017

    When there is not a whole lot going on to impact the financial markets we can get fixated on different topics.  Maybe that is what is going on with me and the French Election process.  The steep difference between VXST and VIX on the chart below may reflect the time frame being measured by VXST being just short of the pending rise in implied volatility that is expected in front of round one of the election in a couple of weeks.  It will be interesting to see if we get a relative rise[...]

  • Weekend Review of VIX Futures and Options - 3/27 - 3/31

    The Friday to Friday change in the VIX term structure was as orderly as I’ve seen it in some time.  VIX has had a lower average daily close during a quarter only once, the fourth quarter of 2006.  However, the low to high range for VIX has never been tighter than what we experienced in the first quarter of 2017 with the range of 2.54.  On average the range of closing VIX prices is about 10.60 so the VIX market may be a bit wound up to the point where a big move to the upside[...]

  • Market News | Trader Talk | Trade Ideas | Apr 2, 2017, 10:42 AM

    Weekend Review of Russell 2000 Options and Volatility - 3/27 - 3/30

    The first quarter of the 2017 performance race between the Russell 1000 (RUI) and Russell 2000 (RUT) came to close with large caps up 5.51% and the small cap focused RUT up 2.12%.  The consensus feeling is that RUT got a little too far ahead of RUI from election day through the end of 2016 and RUI was due for a bit of catching up.  The small cap versus large cap risk index is a good way to explain the chart below.  Small cap expected volatility is best represented by the CBOE Russell[...]

  • Market News | VIX | Trader Talk | Strategy | Trade Ideas | Mar 26, 2017, 9:31 AM

    Weekend Review of VIX Futures and Options - 3/20 - 3/24

    VIX reached 2017 highs last week as we got our first experience with downside volatility in 2017.  VIX closing at 13.12 widens the low to high range for the first quarter to 2.54.  Barring a close of 13.26 on the upside or 10.44 on the downside next week this will go down as the narrowest VIX range on record.  We continue to look to our friends in Europe for volatility guidance.  After the Dutch election results VSTOXX had the biggest one day drop on record.  Equity market[...]

  • Weekend Review of VIX Options and Futures - 3/13 - 3/17

    We got a pretty orderly shift down in the VIX curve last week as the market easily digested a rate hike by the FOMC.  Also, the March premium to spot VIX at about 0.50 is pretty narrow, however the April premium remains a bit wide based on pending events in Europe.  We have been paying attention to the VSTOXX term structure due to market concerns about the pending French election.  It appears the Dutch results pushed spot VSTOXX lower, in fact the reaction was the biggest one day[...]

  • Market News | VIX | Trader Talk | Trade Ideas | Mar 6, 2017, 3:37 PM

    Tales from the Cross VIX Highway

    While traders of nothing but the Essenpee would find themselves sitting on a gain of 1.5% to nearly 2% from February 14th through today (or through Friday, March 3rd's closing price, thus the difference between quotes), traders like me who favor TVIX or UVXY would be sitting right where they started, whether short or long. See chart below for a short history of UVXY over the last nearly-three-weeks. My account performance shows a gain of several percent. How did I do that, when trading nothing[...]

  • Market News | VIX | Trader Talk | Strategy | Trade Ideas | Mar 5, 2017, 8:08 AM

    Weekend Review of Volatility Indexes and ETPs - 2/27/2017 - 3/3/2017

    Textbook and parallel are two terms that come to mind to described the shift in the VXST – VIX – VXV – VXMT curve below.  Also, steep comes to mind as the longer dated indexes are pretty elevated when compared to VIX and VXST. The long funds below benefited from volatility increasing a bit on Tuesday last week, with VIX even putting in a 2017 high, before resuming their downward trajectory.  Note TYVIX giving up 10% which puts the volatility of 10-Year Treasury Note options[...]

  • Market News | Trader Talk | Feb 25, 2017, 5:22 PM

    Update on The Warren Buffett Put Trades

    A few years ago, I was asked to co-author the study guide that accompanies the 3rd version of The Warren Buffett Way.  While doing research for this project I came across a discussion of a handful of index put options that Berkshire Hathaway had sold between 2004 and 2008.  Every year when the Berkshire Hathaway annual report comes out, I dig in to see how these trades are doing.  Here’s the update as of the end of 2016. Back in 2008, as the financial world was falling apart,[...]

  • Market News | VIX | Trader Talk | Trade Ideas | Feb 25, 2017, 2:14 PM

    Weekend Review of Volatility Indexes and ETPs - 2/21 - 2/24

    VIX was the only S&P 500 related volatility index that lost value last week.  VXST rose, probably getting a boost from coming off a long weekend.  The longer dated volatility indexes mirrored the action in longer dated VIX futures by moving to the upside.  April seems to be the next month of concern among volatility players with the pending election in France.  Other pockets of volatility are showing up in the table below.  SKEW finished the week near recent highs and[...]