• VIX over 20.00 Streak Ends at 30 Days - So Now What?

    VIX over 20.00 Streak Ends at 30 Days - So Now What?

    Even the VIX tourists were paying attention to the long running streak where VIX closed over 20.00.  The run ended at 30 today with VIX finishing at 19.54.   This was not nearly as fun as watching Pete Rose in the summer of 1978, but for some of us, it was quite a ride.  When Pete didn't get a hit on August 1st he was asked what he would do tomorrow, his response, "I guess start another streak".  Unfortunately we can't stick a microphone in front of VIX and ask what[...]

  • Market News | Strategy | Oct 5, 2015, 11:28 AM

    Signs Of Bullish Hope - Weekly Market Outlook

    Signs Of Bullish Hope - Weekly Market Outlook

    Despite the bearish start to the week on Monday and a bearish initial response to Friday morning's employment report for September, the bulls managed to reversal course Friday afternoon to hammer out a big gain for that day and even a small gain for the week. A couple of the key indices even managed to climb back above their short-term moving average lines. There's still work to be done -- from both sides of the table -- if we're ever going to get out of this rut. But, a bullish break out of the[...]

  • Market News | Trader Talk | Education | Trade Ideas | Oct 4, 2015, 7:30 AM

    The Week in Russell 2000 Trading - 9/28 - 10/2

    The Week in Russell 2000 Trading - 9/28 - 10/2

    For the second week in a row large cap stocks outperformed small cap stocks by about 1.5%.  The big difference this week was that the Russell 1000 (RUI) was higher while the Russell 2000 (RUT) lost value.  The previous week RUI lost less than RUT, but both had pretty lousy weeks.  For the year RUI is now down a little more than 5% while RUT has lost just over 7.5%. The CBOE Russell 2000 Volatility (RVX) index finished the week at a little over a 10% premium to VIX.  This lack[...]

  • Market News | VIX | Trader Talk | Futures | Oct 3, 2015, 12:00 PM

    The Week in VIX - 9/28 - 10/2

    The Week in VIX - 9/28 - 10/2

    Despite the S&P 500 rising over 1% last week VIX remained over 20.00 for the 30th straight day although it did drop by over 11%.  This run goes back to the beginning of the heightened levels of volatility that began back on August 21st.  The curve below shows that the curve based on standard monthly VIX futures went from backwardation to kind of crooked (that’s not a technical term).  I say crooked because depending on your definition of backwardation or contango the closing[...]

  • Market News | Oct 3, 2015, 7:24 AM

    The Week in Volatility Indexes and ETPs - 9/28 - 10/2

    The Week in Volatility Indexes and ETPs - 9/28 - 10/2

    Those that casually watch VIX may not be aware of the variety of volatility indexes published by CBOE.  On at least a weekly basis I take a look more than VIX and try to gain a little insight into the mind of the market.  The curve below shows the relationship of four volatility indexes that represent consistent measures of implied volatility as indicated by S&P 500 (SPX) index option prices.  What has been catching my eye since excess market volatility started to commence on August[...]

  • Market News | VIX | Blogging Options | Oct 2, 2015, 3:00 PM

    The Weekly Options News Roundup – 10/03/2015

    The Weekly Options News Roundup – 10/03/2015

    The Weekly News Roundup is your weekly recap of CBOE features, options industry news and VIX and volatility-related articles from print, broadcast and online and social media outlets. CBOE RMC Europe Recap CBOE hosted its 4th annual CBOE RMC Europe from Monday through Wednesday this week.  Over 175 industry professionals gathered in Geneva, Switzerland to discuss the latest products and strategies for managing risk, enhancing yields and lowering portfolio volatility.  EQ Derivatives was[...]

  • Market News | Oct 2, 2015, 2:27 PM

    TYVIX Weekly Review: Treasury Volatility Is On Sale

    TYVIX Weekly Review: Treasury Volatility Is On Sale

      Treasury Volatility Is On Sale   Market participants perceive a lack of liquidity in the Treasury market and are concerned that more frequent volatility flashes will ensue. Yet Treasury traders appear complacent about short-term Treasury volatility, and are not pricing it high. The price of Treasury volatility is reflected in the spread between expected Treasury volatility (the CBOE TYVIX Index) and realized Treasury volatility. The average value of the spread represents the premium[...]

  • Market News | Trader Talk | Trade Ideas | Oct 2, 2015, 12:34 PM

    Earnings Next Week - 10/5 - 10/9

    Earnings Next Week - 10/5 - 10/9

    Of the companies reporting next week my favorite to watch is YUM! Brands (YUM).  About half their sales come from China and in my mind this is one of the best ways to get an idea what is going on in that part of the world.  As always the numbers represent the last 12 earnings announcements.

  • Market News | Oct 2, 2015, 11:26 AM

    Weekly Stock Market Commentary 10/2/15

    Weekly Stock Market Commentary 10/2/15

    Despite a couple of rough days this week, buy signals have emerged from our short-term oversold indicators, and so we have a more bullish outlook for the short term but not necessarily for the intermediate- term. $SPX has retested the August lows and formed a "W" bottom, so that is support at 1870. A violation of that area would force a retest of the October lows at 1820. A move above 2000 would be bulllish. Put-call ratios turned bullish just over a week ago, and they remain on buy signals[...]

  • Market News | Sep 30, 2015, 5:13 AM

    Hedging With VIX Discussion at RMC

    Hedging With VIX Discussion at RMC

    The final presentation I attended at this year’s Risk Management Conference discussed Hedging with VIX.  Pravit Chintawongvanich, Head of Risk Strategy at Macro Risk Advisors covered different methods of hedging a portfolio using VIX. Pravit began listing several questions that should be addressed to determine what will be the ‘best hedge’.   Examples of these questions include what type of sell-off are we concerned about or what is the potential timing of this move. He[...]

  • Market News | Sep 30, 2015, 4:41 AM

    Extracting Useful Information from Listed Option Prices

    Extracting Useful Information from Listed Option Prices

    I often say that attending CBOE’s Risk Management Conferences is the highlight of being employed by CBOE.  Getting a chance to see Stacey Gilbert, the Head of Derivatives Strategy at Susquehanna, speak in person for the first time is a highlight of this year’s European conference.  Her topic, “Extracting Useful Information from Listed Option Prices” is an area I focus on in both my academic and professional lives so I was really looking forward Gilbert’s presentation. There[...]

  • Market News | Sep 30, 2015, 4:37 AM

    Presentations in Geneva on Managing Tail Risks

    Presentations in Geneva on Managing Tail Risks

    Seven years ago several major stock indexes and commodity indexes suffered drawdowns of more than 50%, and since then there has been increased investor interest in managing tail risks. On Wednesday, September 30, in Geneva, Switzerland at the Fourth Annual CBOE Risk Management Conference (RMC) Europe, two experts – (1) Julien Halfon, Principal - Financial Strategy Group, Mercer, and (2) Jean-Francois Bacmann, Portfolio Manager and Head of Volatility Strategies, Man AHL—delivered presentations[...]

  • Market News | Sep 30, 2015, 3:43 AM

    Cross-Region and Cross-Asset Volatility Analysis for Investing and Hedging

    Cross-Region and Cross-Asset Volatility Analysis for Investing and Hedging

    During the second session on Day 3 at CBOE’s Risk Management Hitendra Varsani, Head of Quantitative and Derivative Strategies from Morgan Stanley teamed up with John Moffatt, Portfolio Manager of the World Index Book from Capstone to discuss Cross-Region and Cross-Asset Volatility Analysis for Investing and Hedging. Varsani began the session discussing the history of options noting the first option trading we know of involved the philosopher Thales in ancient Greece.  He cornered the olive[...]

  • Market News | Sep 30, 2015, 2:27 AM

    Financial Historian Edward Chancellor Address at RMC

    Financial Historian Edward Chancellor Address at RMC

    As a big fan of the history of the financial markets I was excited to see Edward Chancellor as the first speaker on the last day of this year’s Risk Management Conference.  His talk was titled The Consequences of Extraordinary Monetary Policy:  An Historical Perspective on the Current Environment.   When Paul Stephens introduced Chancellor he said he felt it would be useful to have a financial historian speak at RMC.  I agreed when he said that and believe it even more[...]

  • Market News | Sep 30, 2015, 12:33 AM

    More Precision with SPX and VIX Weeklys – Discussion at RMC Europe

    More Precision with SPX and VIX Weeklys – Discussion at RMC Europe

    During the first three decades of listed options trading (1973 – 2003) most exchange-listed options in the US (except FLEX options) had expirations on or near the third Friday of the month. In the past decade S&P 500® Weekly options (SPXW) offered near-term expirations on Fridays other than the third Friday standard expirations. In 2015 new Weekly futures and options on the CBOE Volatility Index® (VIX®) are being introduced. On Tuesday, September 29, at the Fourth Annual[...]