Market News Archives - Cboe Blogs

  • Market News | VIX | Trader Talk | Futures | Feb 23, 2016, 9:17 AM

    The Iceman Selleth

    The Iceman Selleth

    Sometimes it's worth letting something simmer on the stove a while to get impressive results, or in this case it's more like letting something ferment in earthenware pots buried in a forgotten location. But the feast five months later is worth the wait and the worry! Back in September I asked an offhand question of my fellow trader, @Option_Iceman, and received no offhand reply; I quickly forgot about the matter and didn't revisit it again until an answer emerged just a few days ago. The curiosity[...]

  • Market News | Feb 22, 2016, 3:29 PM

    SPX Wednesday Weeklys Begin Trading on Feb. 23

    SPX Wednesday Weeklys Begin Trading on Feb. 23

    Beginning Tuesday, February 23, CBOE will list for trading weekly options on the S&P 500 Index which expire on Wednesdays (“SPX Wednesday Weeklys”). Like other SPXW options, SPX Wednesday Weeklys are series of the SPX option class. Key features of the SPX Wednesday Weeklys include – SPX Wednesday Weeklys may expire on any Wednesday of the month, other than a Wednesday that coincides with an End-of-Month (“EOM”) expiration date. SPX Wednesday Weeklys are PM-settled;[...]

  • Market News | Feb 22, 2016, 2:20 PM

    Open Interest for Options on MSCI Emerging Markets Index (MXEF) Grows to 6,229 Contracts

    Open Interest for Options on MSCI Emerging Markets Index (MXEF) Grows to 6,229 Contracts

    Open interest for options on the MSCI Emerging Markets Index (MXEF) recently rose above 6,200 contacts for the first time. Over the past month the MXEF options open interest grew from 98 to 6,229 contracts. Over the past year several institutional investors have expressed to me their interest in the potential for a liquid MXEF options contract, particularly because the MXEF options contract is cash-settled and has a notional size that is about 24 times larger than options on the EEM ETF. VOLATILITY[...]

  • Market News | Feb 22, 2016, 1:50 PM

    Weekly Market Outlook - Bias Is Overall Bullish Currently

    Weekly Market Outlook - Bias Is Overall Bullish Currently

    Even with Thursday's and Friday's lull, the shortened-trading week was a bullishly productive one. The S&P 500 (SPX) (SPY) ended the week at 1917.78, up 2.8%. On the other hand, most of the major indices are now squarely in the middle of some pretty significant support and resistance levels - they need to make a stronger commitment to one direction or the other before becoming trade-worthy. The bias, though, is bullish in many ways. We'll dissect the market's upside and downside in a moment. [...]

  • Market News | VIX | Trader Talk | Futures | Trade Ideas | Feb 20, 2016, 7:52 PM

    Weekly Review VIX Options and Futures 2/16 - 2/19

    Weekly Review VIX Options and Futures 2/16 - 2/19

    VIX managed to stay in the 20’s despite the most resilient performance from the S&P 500 in 2016.  We did finally give up on the last bastion of backwardation (month 1 versus month 2) as March became the front month with February going off the board Wednesday on the open. The generic short dated VIX curve constructed using Weeklys futures flattened and then some last week based on the drop in VIX and a fairly light economic calendar over the next couple of weeks. [...]

  • Market News | VIX | Trader Talk | Strategy | Feb 20, 2016, 7:12 PM

    Weekly Review Russell 2000 Options and Volatility 2/16 - 2/19

    Weekly Review Russell 2000 Options and Volatility 2/16 - 2/19

    Small caps had a great holiday shortened week with the Russell 2000 (RUT) rising almost 4%.  RUT also played some catch up with the Russell 1000 (RUI) as the large cap benchmark was up a little less than 3%.  However, RUT has a long way to go to catch up with RUI for 2016.  However, there’s a lot of trading left to be done for 2016. The CBOE Russell 2000 Volatility Index (RVX) and VIX both dropped dramatically last week.  However, they dropped in line with each[...]

  • Market News | VIX | Futures | Feb 19, 2016, 2:25 PM

    February 19, 2016 Weekly Report on CBOE VIX Index Suite

    February 19, 2016 Weekly Report on CBOE VIX Index Suite

    Ebb and Flow of Financial Signals Increase Foreign Exchange Volatility Volatility has migrated to the foreign exchange markets, especially the dollar/yen exchange rate. After a significant rally in early February, equity and interest rate volatility have subsided -- along with a slide in interest rates and despite oil-driven fluctuations in equity values. This shift is highlighted by rescaling indexes to 100 as of the start of 2016 (Figure 1). Possible factors driving the increase in foreign exchange[...]

  • Market News | VIX | Trader Talk | Futures | Trade Ideas | Feb 17, 2016, 3:43 PM

    VIX Front Month - Second Month Backwardation Streak Ends at 30 - So Now What???

    VIX Front Month - Second Month Backwardation Streak Ends at 30 - So Now What???

    For the first time in 2016 the front month VIX future closed at a discount to the second month.  This brings the recent streak of backwardation to an end at 30 days.  The table below shows the 10 longest first month versus second month backwardation streaks with the recent run coming in a solid fourth place. So now what?  Anyone’s guess is as good as anyone else’s, but I did some quick historical analysis.  The table below shows the 30, 90, 125, and 250[...]

  • Market News | Technical Analysis & Charts | VIX | Strategy | Feb 16, 2016, 12:21 PM

    What to do When a Stock Crashes

    What to do When a Stock Crashes

    Recently we saw some epic declines of individual stocks after posting shaky earnings reports.  Topping the list was long-time growth name LinkedIn (LNKD), the social networking giant who saw its market value nearly cut in half after reporting weak forward guidance.  Tableau Software (DATA) had it even worse, falling nearly 50% on the same day.  We also witnessed other stocks with smaller but still significant declines (Hanes Brands, HBI and Outerwall, OUTR). This big money selling[...]

  • Is VIX Approaching a Death Cross?

    Is VIX Approaching a Death Cross?

    I began my week updating charts and tables as I am heading to Tampa, FL to speak on options and then I’m off to Trader’s Expo in New York to deliver a couple of presentations.  The chart below, depicting the rolling 1 year and 5 year average closing prices for VIX is a favorite of mine.  I consider it a good depiction of the equity market shifting from a low to high volatility regime as the 1 year average approaches the 5 year average.  However, I noticed today that the[...]

  • Market News | VIX | Trader Talk | Futures | Trade Ideas | Feb 14, 2016, 1:07 PM

    Weekly Review - Volatility Indexes and ETPs - 2/8 - 2/12

    Weekly Review - Volatility Indexes and ETPs - 2/8 - 2/12

    Three out of the four S&P 500 volatility oriented indexes were higher last week.  The shortest dated one, VXST, dropped a little.  We attribute this to the three day weekend impact that puts pressure on VXST, but also usually results in VXST rising the day after a holiday weekend.  For example on Friday VXST dropped 17% while VIX was down 9.74%.  I guess what I’m getting at here is that we should focus on the longer dated volatility indexes on the chart below to get[...]

  • Market News | VIX | Trader Talk | Futures | Trade Ideas | Feb 14, 2016, 7:30 AM

    Weekly Review - VIX Options and Futures - 2/8 - 2/12

    Weekly Review - VIX Options and Futures - 2/8 - 2/12

    I had to double check the numbers when I looked at the closing curve this week as I had forgotten this was a holiday shortened week.  For those new to VIX, the calculation is based on calendar days and there is usually a small weekend impact which is exacerbated by three day weekends.  The futures anticipate this and don’t follow VIX to the downside.  In addition to the long weekend, there is a lack of big economic numbers or new scheduled for Tuesday which also may have had[...]

  • Market News | VIX | Trader Talk | Futures | Feb 12, 2016, 6:42 PM

    Weekly Review - Russell 2000 Options and Volatility

    Weekly Review - Russell 2000 Options and Volatility

    The pain continues for the Russell 2000 (RUT) in 2016 on both and absolute and relative basis.  For the year RUT is down over 14% while the large cap focused Russell 1000 (RUI) is only down about 9%.  The gap widened a bit this past week as RUI was down 1.00% and RUT lost 1.38%. Last year, when the market got into a real panic mode, VIX climbed to higher levels that the CBOE Russell 2000 Volatility Index (RVX).  Despite the weakness in stocks this year RVX has maintained[...]

  • Market News | VIX | Education | Futures | Feb 12, 2016, 12:30 PM

    The Weekly Options News Roundup – 2/12/2016

    The Weekly Options News Roundup – 2/12/2016

    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. Overnight VIX Values Coming in March Beginning next month, CBOE will begin disseminating values for the CBOE Volatility Index (VIX Index) during its overnight, extended trading hours session (2:00 to 8:15 am CT) for SPX and VIX options. Overnight dissemination of the VIX Index will enable market participants to view volatility[...]

  • Market News | Futures | Strategy | Feb 11, 2016, 12:35 PM

    New Study on Six Russell 2000 Options-Based Benchmarks Finds Higher Premiums and Risk-adjusted Returns for Certain Indexes

    New Study on Six Russell 2000 Options-Based Benchmarks Finds Higher Premiums and Risk-adjusted Returns for Certain Indexes

    A newly published study examines six benchmark indexes that invest in Russell 2000® Index (RUT) options and compares their performances with those of traditional benchmark stock and bond indexes. This is the first comprehensive study that examines the performance of multiple options-strategy benchmark indexes that incorporate Russell 2000 Index options. Written by Mark Shore, an adjunct professor at DePaul University's Kellstadt Graduate School of Business, and sponsored by CBOE, the study,[...]