Market News Archives - CBOE Blogs

  • Market News | VIX | Trader Talk | Strategy | Trade Ideas | Nov 22, 2015, 2:13 PM

    The Week in Russell 2000 Trading - 11/16 - 11/20

    The Week in Russell 2000 Trading - 11/16 - 11/20

    Large caps ruled the week with the Russell 1000 (RUI) gaining over 3%.  Small cap stocks were no slouches, but the Russell 2000 did lag the Russell 1000 gaining 2.5%.  For the year RUI is up 1.21% and RUT is down 2.45%.  However, at the end of this blog I’ll note some statistics that show RUT still has a shot at victory in 2015. Both the CBOE Russell 2000 Volatility Index (RVX) and VIX were lower last week based on the rally in the equity markets.  RVX dropped[...]

  • Market News | VIX | Trader Talk | Strategy | Nov 21, 2015, 11:37 AM

    The Week in Volatility Indexes and ETPs - 11/16 - 11/20

    The Week in Volatility Indexes and ETPs - 11/16 - 11/20

    The shift for the VXST – VIX – VXV – VXMT curve was dramatic, but sort of what we have become use to in this buy on the dip culture.  VIX finished the week under 16.00, which voids a prediction that I had for the rest of the year.  I felt concerns about a December rate hike and the impact on stocks into 2016 would keep VIX elevated for the final few weeks of the year. VXX and the other long funds came under pressure based on the drop in VIX and VIX futures[...]

  • Market News | VIX | Blogging Options | Nov 20, 2015, 2:35 PM

    The Weekly Options News Roundup – 11/20/2015

    The Weekly Options News Roundup – 11/20/2015

    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. RMC Heads East CBOE will hold the first-ever CBOE Risk Management Conference (RMC) Asia in Hong Kong, November 30th and December 1st.  The conference will feature presentations by experts in the industry discussing the latest products and strategies for managing risk, enhancing yield and lowering portfolio volatility.[...]

  • Market News | Nov 20, 2015, 12:14 PM

    TYVIX Weekly Review: Term Structure of Treasury Volatility Flattens Along With Curve as Rate Hike Looms

    TYVIX Weekly Review: Term Structure of Treasury Volatility Flattens Along With Curve as Rate Hike Looms

      Market participants have observed that the expected December increase in the federal fund target rate is flattening the term structure of Treasury yields as investors shift from the short to the long end of the curve.  However, fewer market observers have noted that the same scenario is playing out on the volatility side.  As TYVIX continues to decrease, the expected volatility of shorter-dated Treasuries, such as one-year Treasuries, is rising, pushing the spread between the two[...]

  • Market News | Nov 20, 2015, 11:17 AM

    Since The Paris Attacks, Some International Sectors Are Rallying Strongly

    Since The Paris Attacks, Some International Sectors Are Rallying Strongly

    How has the stock market performed since last Friday's 11/13 attacks in Paris, France?  The S&P 500 Index ETF (SPY) is up around 3.5% in this time frame, an impressive rally.  The broad market has largely shrugged off this event, which is likely a sign of strength -- the reaction to news among traders and investors often being more important than the news itself. Many International ETFs are among those that have performed the best since last Friday's close,  We[...]

  • The "Data Dependent" Fed Continues to Consider the Data

    The "Data Dependent" Fed Continues to Consider the Data

    This afternoon the minutes from the most recent Federal Reserve Open Market Committee (FOMC) meeting were released. Yesterday the market digested the October CPI (inflation) data. Next week, GDP (Tuesday) and Durable Goods (Wednesday) will be relatively important. Without question, the upcoming Unemployment Report (Non-Farm Payrolls) on 12/4 will be the most influential piece of economic data before the December Fed Meeting where most market participants anticipate the Fed will raise interest rates[...]

  • Market News | Nov 18, 2015, 12:31 PM

    More Tools for Managing Global Exposure - Added Expirations for Options on MSCI Indexes

    More Tools for Managing Global Exposure - Added Expirations for Options on MSCI Indexes

    Today CBOE added three new expirations for options on both the MSCI Emerging Markets Index (MXEF) and on the MSCI EAFE Index (MXEA). There now are six expiration dates for options on the MXEF and MXEA indexes – Nov-20-2015 Dec-18-2015 Jan-15-2016 Mar-18-2016 Jun-17-2016 Sep-16-2016 MXEF AND MXEA – PRICES AND IMPLIED VOLATILITY Below are two charts with daily closing values for index prices and the 30-day at-the-money (ATM) implied volatility estimates from Bloomberg. This month, the[...]

  • Market News | VIX | Trader Talk | Strategy | Trade Ideas | Nov 17, 2015, 3:15 PM

    Block Trade Analysis - VIX Weeklys Option Trades

    Block Trade Analysis - VIX Weeklys Option Trades

    Tomorrow is November VIX settlement, but that hasn’t stopped some short term VIX traders from putting on new positions, in fact it may have encouraged them to do some trading. I ventured down to the trader floor late today to see what may be going on in the VIX Weeklys options set to settle on the open next Tuesday.  For those that know VIX well, you know that VIX futures and options normally settle on a Wednesday, 30 days before an expiration Friday.  However, December 25th is a[...]

  • Market News | Nov 17, 2015, 8:30 AM

    Skew Charts to Prepare for Conference in Hong Kong

    Skew Charts to Prepare for Conference in Hong Kong

    This month I am planning to travel to the First Annual CBOE Risk Management Conference (RMC) Asia, which will be held on November 30 – December 1 at the JW Marriott Hotel, Pacific Place, 88 Queensway, Hong Kong. In my preparations for the trip, I am analyzing the skew charts for a number of option classes, including options on the S&P 500®, the CBOE Volatility Index® (VIX®), and the EEM and FXI ETFs. SKEW CHART FOR SPX OPTIONS As noted in the White Paper on the CBOE SKEW[...]

  • Market News | Trader Talk | Nov 16, 2015, 3:45 PM

    Not So HOT Bull Call Spread in Front of Marriott - Starwood Deal

    Not So HOT Bull Call Spread in Front of Marriott - Starwood Deal

    Domestic and Global M&A activity continues to be incredibly robust. In fact, 2015 is on track to be the best year ever, surpassing 2007, in both the US and worldwide for acquisitions. Much of the deal emphasis has been on technology and healthcare. These groups tend to have a number of conferences and the attendees have to stay somewhere. That leads us to the latest M&A transaction. Over the weekend, Marriott (MAR) announced their intent to buyout Starwood (HOT) shareholders in a $12.2 billion[...]

  • Market News | Nov 16, 2015, 10:13 AM

    Weekly Market Outlook - Volume & Volatility

    Weekly Market Outlook - Volume & Volatility

    What started out as only a modest possibility last week didn't take long to turn into the worst-case scenario. The S&P 500 (SPX) (SPY) gave up 3.6% of its value last week... the biggest weekly drop since the one that did the core of damage in mid-August. Uncertainty regarding the health of the economy after a few-too-many disappointing retail earnings reports was largely to blame for the weekly setback, though uncertainty surrounding the near-term future of interest rates took a toll as[...]

  • Market News | Trader Talk | Trade Ideas | Nov 15, 2015, 5:50 PM

    The Week in Russell 2000 Trading - 11/9 - 11/13

    The Week in Russell 2000 Trading - 11/9 - 11/13

    The tough week for stocks was harder on small caps than large caps as the Russell 2000 (RUT) was down 4.43% and the Russell 1000 (RUI) dropped 3.63%.  RUT has a lot of work to do to catch up with RUI as the gap is at almost 3% between RUI (down 1.92%) and RUT (down 4.83% for the year). We tend to see VIX rise relative to the CBOE Russell 2000 Index (RVX) in times of turmoil.  That happened in August to the point of historically extreme relative RVX – VIX levels. [...]

  • Market News | VIX | Trader Talk | Futures | Trade Ideas | Nov 15, 2015, 10:40 AM

    The Week in VIX - 11/9 - 11/13

    The Week in VIX - 11/9 - 11/13

    VIX managed a finish over 20 as Friday’s market action raised the level of concern among market participants.  You have to wonder if Friday August 21st and the follow through on the 24th is still fresh in trader’s minds. The short term curve flattened out which seems to be the norm when VIX move higher, since VIX Weeklys are relatively new. Mid-day on Friday while VIX was still under 20.00 (19.60 to be exact), there was a buyer of the VIX Dec 25 Calls who paid 1.10 and[...]

  • Market News | VIX | Trader Talk | Futures | Nov 15, 2015, 9:09 AM

    The Week in Volatility Indexes and ETPs - 11/9 - 11/13

    The Week in Volatility Indexes and ETPs - 11/9 - 11/13

    The S&P 500 took a dive last week in what turned out to be the second worst weekly performance of 2015.  As of Friday the S&P 500 is down 1.7% for the year which would be the first noticeable loss (2011 was down less than 0.01%) since 2008.  The four volatility indexes that use S&P 500 as the underlying all shot higher.  What stands out to me is the high levels for VXV (3-month) and VXMT (6-month) on the chart below.  We are in the midst of high SPX implied volatility[...]

  • Market News | Strategy | Nov 13, 2015, 2:24 PM

    A Little Perspective: Will Next Month Be the First Interest Rate Increase Since 2006?

    A Little Perspective: Will Next Month Be the First Interest Rate Increase Since 2006?

    (Source: CME Group) As of 11/12/2015 the market is pricing in about a 64% chance of a 25 basis point rate increase at the next FOMC meeting which concludes on 12/16/2015. If Janet Yellen and the other voting members of the Federal Reserve choose to “liftoff” next month, it will be the first interest rate increase in the US since June 29, 2006. 9 Years 5 months and 17 days will have elapsed. That’s 3457 days. In 2006, GM reached its zenith with Hummer sales. 71,524 units in the[...]