Market News Archives - CBOE Blogs

  • Strong Risk-Adjusted Returns for PUT Index – Blog #1 on 30-Year Price History

    Strong Risk-Adjusted Returns for PUT Index – Blog #1 on 30-Year Price History

    [This is the first in a series of nine blogs to be published in early July at the CBOE Options Hub on nine CBOE benchmark indexes which have price histories that begin on June 30, 1986, three decades ago.] The CBOE S&P 500 PutWrite Index (PUT) – is an award-winning benchmark index for a strategy that has grown in popularity over the past decade; arguably is the world’s best-known and leading gauge of the cash-secured put-writing strategy; has facilitated increased use of cash-secured[...]

  • Market News | VIX | Trader Talk | Futures | Strategy | Jun 30, 2016, 6:04 PM

    First Half of 2016 Confirms a Higher Volatility Regime

    First Half of 2016 Confirms a Higher Volatility Regime

    We are already half way done with 2016 and it appears what we thought going into the year is being confirmed by SPX implied volatility. If the Fall of 2015 there was lots of chatter about the equity markets in the US shifting from a low to a high volatility regime. The low volatility regime had been in place for several years and the first signal of a change came back in late August 2015 when VIX topped 50 intraday for the first time since the great financial crisis. I have two favorite charts[...]

  • Market News | Jun 29, 2016, 2:49 PM

    A Little Perspective on Yesterday's Record High SKEW

    A Little Perspective on Yesterday's Record High SKEW

    We have data for the CBOE SKEW Index (SKEW) going back to the first trading day in 1990. Yesterday, SKEW finished the day at the highest level over this period closing at 153.66. The chart below shows the annual high low and average by year going back to 1990. That highest green dot is yesterday’s close. So exactly what does that mean? In simple terms it means the relative implied volatility for SPX out of the money puts is elevated when compared to near at the money puts. SKEW[...]

  • Market News | Jun 29, 2016, 2:42 PM

    CBOE SKEW Index Rose to 153.66 on June 28, Its All-Time High

    CBOE SKEW Index Rose to 153.66 on June 28, Its All-Time High

    On June 28 the CBOE SKEW Index rose to 153.66, the all-time high for its price history that began in January 1990. Here are the relatively high values for the CBOE SKEW Index in recent days -- 15-Jun                   140.91 16-Jun                   142.50 17-Jun                   137.94 20-Jun               [...]

  • Market News | Jun 28, 2016, 11:06 AM

    Did Social Media Sentiment Regarding the Pound Predict Brexit?

    Did Social Media Sentiment Regarding the Pound Predict Brexit?

    One commentator described the Brexit process was described as entering uncharted territory over the weekend. The same could be said for gauging social media sentiment. Our friends at Social Market Analytics continue to take a look at data that may have been a predictor of an outcome that the pollsters and bookies got very wrong. I received a couple of charts this morning and one completely stands out. Below is a chart of the sentiment with respect to the British Pound versus the US Dollar[...]

  • Market News | VIX | Trader Talk | Education | Trade Ideas | Jun 28, 2016, 9:19 AM

    How Did the Brexit Timeline Affect Volatility?

    How Did the Brexit Timeline Affect Volatility?

    Editors note - the following blog was put together by a team of interns from CBOE.  Nicholas Ghilardi will be a Junior at the University of Illinois in Urbana-Champaign and is majoring in Engineering Physics with a minor in Mathematics. Gillian Hood will be Junior at Vanderbilt University and is majoring in Economics with minors in Corporate Strategy and Finance. Noah Silverman will be a Sophomore at Washington University in St. Louis and is majoring in Finance.  Last Thursday,[...]

  • Market News | VIX | Trader Talk | Strategy | Trade Ideas | Jun 26, 2016, 6:30 PM

    Weekend Review - Russell 2000 Volatility and Options - 6/20 - 6/24

    Weekend Review - Russell 2000 Volatility and Options - 6/20 - 6/24

    Both large and small cap stocks got hit on a week over week basis, with the Russell 2000 (RUT) holding up slightly better (-1.47%) than the Russell 1000 (RUI) which lost 1.62%. For the year both are down less than 1% with RUI holding a slight year to date performance edge of 0.40%. In the past when there is heightened concern regarding the global equity markets the RVX / VIX premium tends to drop to low level. That happened in early 2016 and that happened again Friday as the premium[...]

  • Market News | VIX | Trader Talk | Futures | Trade Ideas | Jun 26, 2016, 2:41 PM

    Weekend Review - VIX Options and Futures - 6/20 - 6/24

    Weekend Review - VIX Options and Futures - 6/20 - 6/24

    On Thursday the world appeared to have dodged a bullet, but much like counting your chickens before the hatch, the market reacted a little too quickly and early to the assumed outcome of the EU referendum in Britain. The result was Friday which does not need to be rehashed here. The week over week changes for VIX and the standard monthly VIX futures appear below. Things we look more dramatic if I’d use the Thursday to Friday changes to construct the chart. Periodically I’ll[...]

  • Market News | VIX | Trader Talk | Futures | Trade Ideas | Jun 25, 2016, 1:12 PM

    Weekend Review - Volatility Indexes and ETPs - 6/20 - 6/24

    Weekend Review - Volatility Indexes and ETPs - 6/20 - 6/24

    Global stocks took it on the chin Friday after the outcome for the vote in Britain determined that the majority of voters want to break from the European Union. Usually I show the week over week change for VXST, VIX, VXV, and VXMT to lead off this blog. Because the week over week change doesn’t tell the full story I included the closing prices from Thursday as well. The lowest line on the chart shows the closing levels for each of these S&P 500 oriented volatility indexes the day before[...]

  • Market News | Jun 24, 2016, 3:15 PM

    The Weekly Options News Roundup – 6/24/2016

    The Weekly Options News Roundup – 6/24/2016

    The Weekly News Roundup is your weekly recap of CBOE features, options industry news and VIX Index and volatility-related articles from print, broadcast, online and social media outlets.  VIX Futures Hits Its Note The CBOE Futures Exchange (CFE) announced today that VIX Futures hit a new record during its extended hours trading session following the announcement of a British exit from the European Union. An estimated  235,000 contracts changed hands, surpassing its previous record of 140,811[...]

  • Market News | Trade Ideas | Jun 24, 2016, 1:26 PM

    Earnings Next Week - 6/27 - 7/1

    Earnings Next Week - 6/27 - 7/1

    It is a very quiet week as once again only four companies with short dated options will be reporting earnings.  As always the data below is based on the last three years of earnings results.  The columns show the biggest rally, biggest drop, average move, and what the stock did last quarter in reaction to earnings.  

  • Market News | VIX | Futures | Jun 24, 2016, 7:00 AM

    Checking in on the VIX Overnight Action

    Checking in on the VIX Overnight Action

    Things are moving faster than I can type this morning, but here’s a quick update and some perspective on the overnight VIX action in response to Britain voting to exit the EU. Global stock futures are lower and we all know that results in higher volatility. The curve made a pretty dramatic shift with VIX rising over 40%. The table above only shows the monthly contracts, but it is worth noting that the VIX Weekly Futures contract expiring next Wednesday was up about 40% to 22.50 when I last[...]

  • Market News | Jun 22, 2016, 2:35 PM

    A Final Look at #Brexit from Social Market Analytics

    A Final Look at #Brexit from Social Market Analytics

    This morning our friends at Social Market Analytics offered up a final look at the twitter chatter with respect to the vote in Britain tomorrow that will determined the country’s fate with respect to EU membership. The hashtag #Brexit was mentioned 139,758 times in the 24-hour period ending this morning. The chart below shows how often other hastags were combined with #Brexit. #voteleave and #leaveeu were mentioned 33,751 times in conjunction with #brexit. Hashtags that indicate a preference[...]

  • Market News | Trader Talk | Strategy | Jun 20, 2016, 10:55 AM

    Jobs Report Shocks the Federal Reserve into Submission

    Jobs Report Shocks the Federal Reserve into Submission

    There is no doubt the Federal Reserve committee dialed it back significantly from the recent 'rate hike' rhetoric we have been hearing about lately.  It was only a month ago we heard most of the Fed Governors boldly claim a rate hike was coming and probably sooner than everyone believed. However, they presented a mixed picture of the economy, seeing some growth areas but weakness in others. This from their recent statement:  Information received since the Federal Open Market Committee met[...]

  • Market News | VIX | Trader Talk | Trade Ideas | Jun 19, 2016, 10:48 AM

    Weekend Review - Russell 2000 Options and Volatility - 6/13 - 6/17

    Weekend Review - Russell 2000 Options and Volatility - 6/13 - 6/17

    Despite global concerns dominating the market chatter last week, large cap stocks outperformed small cap stocks. Both were lower as the Russell 1000 (RUI) lost 1.16% while the Russell 2000 (RUT) gave up 1.65%. RUI widened the lead on RUT and is now up 1.33% for 2016 while RUT is still higher, but by only 0.78%. The CBOE Russell 2000 Volatility Index (RVX) rose last week, but not nearly as much as the gains we saw from VIX. As global concerns entered the marketplace, the RVX[...]