Market News Archives - Cboe Blogs

  • Market News | VIX | Trader Talk | Futures | Trade Ideas | Nov 30, 2015, 9:31 PM

    Volatility and the Allegory of the Prisoner's Dilemma

    Volatility and the Allegory of the Prisoner's Dilemma

    Chris Cole from Artemis Capital delivered a presentation with the title, Volatility and the Allegory of the Prisoner’s Dilemma.  In a nutshell the Prisoner’s Dilemma relates to game theory and explores why two rational individuals might not cooperate even if it appears that it is in their best interest to do so. There were three points that Cole wanted to get across during his presentation – Investors are trapped in a Prisoner’s Dilemma Volatility is the only real asset[...]

  • Market News | Nov 30, 2015, 7:30 PM

    CBOE CEO Edward Tilly on New Initiatives, Expanding Customer Reach in Asia

    CBOE CEO Edward Tilly on New Initiatives, Expanding Customer Reach in Asia

    CBOE CEO Edward Tilly began day two of CBOE RMC Asia in Hong Kong with a tribute of sorts to the growth and expansion of CBOE’s Risk Management Conferences. Years of success in the U.S. and Europe have paved the road to CBOE’s inaugural event in Asia this year. Turning to product news, Tilly highlighted the recent launches of VIX Weeklys futures in July and VIX Weeklys options in October. “We worked closely with our VIX user base to develop a short-term volatility product that more[...]

  • Market News | Nov 30, 2015, 4:58 PM

    Weekly Market Outlook - Jobs, Sentiment & Gold

    Weekly Market Outlook - Jobs, Sentiment & Gold

    It was a typical Thanksgiving week last week... very quiet. Don't get used to it though. The market's activity will perk up again this week as traders get back to their posts. As for which direction that volatility will carry the market, that's a tougher question to answer. The BigTrends TrendScore for stocks currently rests at 82.7 (out of 100), above 60 means the market is in a bullish trend overall on a Daily/Weekly time basis. On the flipside, the indexes are very much stuck in the middle of[...]

  • Market News | VIX | Trader Talk | Education | Futures | Nov 30, 2015, 1:16 PM

    RMC Asia Day 1 Recap

    RMC Asia Day 1 Recap

    The first day of the inaugural CBOE Risk Management Conference in Asia was jam packed with information that has me with a new ‘to do’ list that’ll keep my spring intern hopping until May. The conference commenced with a primer on VIX delivered by me.  As I said in the original post, it’s a little strange blogging a recap of your own presentation.  I feel a bit like the Rickey Henderson of options if I speak about myself in the third person so I just can’t do[...]

  • Market News | Nov 30, 2015, 2:40 AM

    Panel Discussion on Options and Volatility Market Structure at RMC Asia

    Panel Discussion on Options and Volatility Market Structure at RMC Asia

    The final presentation on the first day of RMC Asia was a panel session titled Options and Volatility Market Structure.  Steven Sears from Barron’s moderated the pan which consisted of Pat Fay, Global Head of Derivatives from FTSE Russell, David Friedland, Managing Director from Interactive Brokers, Timothy Hendricks, Found and Managing Partner of X-Change Financial Access, LLC, and Qi Wang, Head of Options Product Development, China Financial Futures Exchange. The panel discussions are[...]

  • Market News | VIX | Trader Talk | Trade Ideas | Nov 30, 2015, 2:28 AM

    Tim Edwards of SPDJI Covers Unique Performance of VIX-Based Benchmark Indices

    Tim Edwards of SPDJI Covers Unique Performance of VIX-Based Benchmark Indices

    At the First Annual CBOE Risk Management Conference (RMC) Asia in Hong Kong, Tim Edwards, Ph. D., Senior Director of Index Investment Strategy, S&P Dow Jones Indices, delivered a presentation on the design and performance of long, short and dynamic VIX-based benchmark indexes, and covered their utility for longer-term investors and shorter-term traders. While many investors are familiar with the price movements of the spot CBOE Volatility Index® (VIX®), we at CBOE receive many[...]

  • Market News | VIX | Trader Talk | Nov 29, 2015, 4:29 PM

    Keeping My End of the Put Selling Deal

    Keeping My End of the Put Selling Deal

    Let's follow up on a strategy started on August 25th, which is a day that can be labeled by any one of a number of epithets, as it was the day Mr. Market fell off his barstool.  Actually, August 24th was the day he clawed and struggled all the way down, and the 25th was the day he really went "thud" on the floor. In this linked post from early October, I detailed some sold puts that got assigned to me; soon after, I disposed of 100 of the 300 resulting shares and kept 200.  The[...]

  • Market News | VIX | Trader Talk | Trade Ideas | Nov 29, 2015, 12:00 PM

    Weekly Review - Russell 2000 Index and Volatility - 11/23 - 11/27

    Weekly Review - Russell 2000 Index and Volatility - 11/23 - 11/27

    Last week I noted that December has traditionally been a good month for stocks, especially small cap stocks.  That blog can be found at The Week in Russell 2000 Trading - 11/16 - 11/20.  RUT appeared to get a head start on things last week by rallying over 2% while the Russell 1000 (RUI) was up by only about 2 points.  RUT is now a rounding error from up on the year and still lags RUI by about 1.5%. With the relative rally in RUT the RVX / VIX premium dropped to levels[...]

  • Market News | VIX | Trader Talk | Trade Ideas | Nov 29, 2015, 3:44 AM

    Weekly Review - VIX Futures and Options - 11/23 - 11/27

    Weekly Review - VIX Futures and Options - 11/23 - 11/27

    The S&P 500 was hardly changed on the week last week and the same may be said for VIX and the monthly term structure.  The lines don’t overlap, but if I am not wearing my reading glasses the chart below almost looks like the same line. The only thing of interest to report about the short term futures chart is the dip that shows up on the orange line below.  That’s the contract that expires just before Christmas which may be discounting several holidays which[...]

  • Market News | VIX | Trader Talk | Trade Ideas | Nov 28, 2015, 11:59 PM

    Weekly Review - Volatility Indexes and ETPs - 11/23 - 11/27

    Weekly Review - Volatility Indexes and ETPs - 11/23 - 11/27

    Very quiet holiday week.  There really isn’t much else to say, but it is interesting that VIX remains over 15.00.  I’m also attributing the rise in VXST to getting a holiday shortened week behind us.  Man I’m glad it’s not my job to fill up a business network with programming which must have been a heck of a challenge last week, especially on Friday. The funds were quiet as well, but you have to snicker when a 2.7% change (see VXX below) is considered[...]

  • Market News | Trader Talk | Trade Ideas | Nov 28, 2015, 6:40 PM

    New Barron's Article and RMC Presentation on Funds' Use of Options

    New Barron's Article and RMC Presentation on Funds' Use of Options

    Use of options by funds has grown tremendously since the 2002 introduction of the first major benchmark for options-based performance - the CBOE S&P 500 BuyWrite Index (BXM). Below are some recent developments and updates re fund use of options that will be covered at the First Annual CBOE Risk Management Asia Conference, which launches on Nov. 30 in Hong Kong. 1. BARRON'S. On page M9 of the Nov. 30 issue of Barron's, Amey Stone devotes the entire column to a review of covered call funds, and[...]

  • Market News | Nov 24, 2015, 11:44 AM

    Discussion of Volatility of Volatility at RMC in Hong Kong on Dec. 1

    Discussion of Volatility of Volatility at RMC in Hong Kong on Dec. 1

    On December 1st in Hong Kong at the First Annual CBOE Risk Management Conference (RMC) Asia, two expert speakers - William Chan, Equity Derivatives Strategist, Bank of America Merrill Lynch, and Michael Fagan, Chairman, Levitas Capital - will discuss the topic of Volatility of Volatility, and (1) Historical observations and interpretations for "vol-of-vol" surfaces, (2) Trading and hedging applications, depending on client objectives, and (3) A case study approach. Below is some analysis[...]

  • Market News | Trader Talk | Nov 24, 2015, 10:48 AM

    CBOE Launches 5 New Strategy Benchmark Indexes on Russell® 2000 Index

    CBOE Launches 5 New Strategy Benchmark Indexes on Russell® 2000 Index

    Monday marked the launch of 5 Strategy Benchmark Indexes based on the Russell 2000 Index.  Created by the Chicago Board Options Exchange, these options based strategies have been used previously as risk management and yield-enhancing tools. CBOE Russell 2000 PutWrite Index (PUTR) The CBOE Russell 2000 PutWrite Index is designed to track the performance of a hypothetical strategy that sells a monthly at-the-money (ATM) Russell 2000 Index put option. The written Russell 2000 put option is collateralized[...]

  • Market News | Nov 24, 2015, 10:29 AM

    Paris Terrorist Attack Generated Another Market Dip

    Paris Terrorist Attack Generated Another Market Dip

    After last week's horrific Paris terrorist attack, many had expected markets to fall sharply when they opened for business the following Monday.  Sure enough, when the futures opened for trading that Sunday evening we saw prices fall sharply, but they managed to recover and open positively.  That led to a massive rally on that day and paced the markets for the rest of the week.  In fact, the stock market had its best weekly performance of 2015, the SPX 500 rising more than 3.3%. [...]

  • Market News | Nov 23, 2015, 10:27 AM

    Weekly Market Outlook - Bullish, But Facing A Wall

    Weekly Market Outlook - Bullish, But Facing A Wall

    Last week a diametrical opposite to the action from two weeks ago. Two weeks ago, the bears were firmly in charge, and picking up steam. Something happened over the prior weekend though, and stocks hit the ground running higher last week... and never looked back. When all was said and done, the S&P 500 (SPX) (SPY) finished the week up 3.6%, having hurdled two key moving averages along the way. And yet, the finish on Friday was anything but convincingly bullish. This week could go either[...]