Market News Archives - CBOE Blogs

  • Market News | Sep 28, 2015, 6:20 AM

    New Benchmark Indexes – CNDR, BFLY, PPUT, VSTG, et al. – for Enhanced Yield, Reduced Risk, or Capturing of Alpha

    New Benchmark Indexes – CNDR, BFLY, PPUT, VSTG, et al. – for Enhanced Yield, Reduced Risk, or Capturing of Alpha

    On Monday, September 28 at the Fourth Annual CBOE Risk Management Conference (RMC) Europe http://www.cboermceurope.com, a presentation on new CBOE strategy benchmark indexes that use index options was delivered by William Speth, Vice President, Research and Product Development, CBOE. (In 2002 CBOE introduced the first major option-based strategy benchmark index – the CBOE S&P 500 BuyWrite Index (BXM)). Names, tickers and descriptions for many of the new benchmark indexes are at the[...]

  • Market News | VIX | Trader Talk | Futures | Trade Ideas | Sep 27, 2015, 7:01 AM

    The Week in Russell 2000 Trading - 9/21 - 9/25

    The Week in Russell 2000 Trading - 9/21 - 9/25

    For the previous couple of weeks small cap stocks were the place to be.  That fad came to an abrupt end last week as the Russell 2000 (RUT) dropped almost 3.5%.  Over the same period of time the large cap focused Russell 1000 (RUI) was lower by 1.57%.  In addition to trailing RUI for the week, RUT is now 6.8% lower for 2015 while the RUI is down 5.92%. For a while it appeared the CBOE Russell 2000 Volatility Index (RVX) was going to return to ‘normal’ levels when compared[...]

  • Market News | VIX | Trader Talk | Futures | Trade Ideas | Sep 26, 2015, 2:05 PM

    The Week in VIX - 9/21 - 9/25

    The Week in VIX - 9/21 - 9/25

    The S&P 500 lost just over 1% and VIX rose 6% and the standard near dated futures were higher as well, but lagged a bit.  This resulted in the curve a bit more backward than it was a week ago. On the short dated futures front the contract expiring this coming Wednesday finished the week at a small discount to VIX while a week ago the contract that settled this past Wednesday was at a slight premium to VIX.  I’m still getting familiar with the short dated curve which move from[...]

  • Market News | VIX | Trader Talk | Education | Futures | Sep 26, 2015, 10:44 AM

    The Week in Volatility Indexes and ETPs - 9/21 - 9/25

    The Week in Volatility Indexes and ETPs - 9/21 - 9/25

    With the drop in the S&P 500 last week the market continues to be on edge.  This is reflected in the uniform move higher in the VXST – VIX – VXV – VXMT curve from last week.  Note the ‘bump’ remains on the VXV data point which represents 3 month implied volatility.  This time frame is the first on the chart below to come after the last two Fed meetings in 2015.  It will be interesting to see if a change in the shape curve coincides with the approach[...]

  • Market News | VIX | Sep 25, 2015, 3:00 PM

    The Weekly Options News Roundup – 9/25/2015

    The Weekly Options News Roundup – 9/25/2015

    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. Bonds Are At It Again There is considerable uncertainty in the interest rate markets creating a volatile, yet fragile, bond market.   Global asset managers can watch the “interest rate VIX” – the CBOE/CBOT 10-Year US Treasury Note Volatility Index (TYVIX) -- for clues. “The TYVIX Index:[...]

  • Market News | Sep 25, 2015, 2:55 PM

    New Benchmark Indexes That Use S&P 500 Weekly Options – Presentation in Switzerland

    New Benchmark Indexes That Use S&P 500 Weekly Options – Presentation in Switzerland

    S&P 500® Weekly options (SPXW) offer near-term expirations on Fridays other than the third Friday standard expirations. Average daily volume for the S&P 500 Weekly options grew to 272,939 in 2014. QUESTION ABOUT WEEKLY OPTIONS - Some options investors and commentators have asked questions such as – “Are the Weekly options merely tools for short-term speculation, or are they also used for prudent income enhancement strategies? Can CBOE create a benchmark index that uses Weekly[...]

  • Market News | Sep 25, 2015, 1:38 PM

    Weekly Stock Market Commentary: Volatility Has Generally Been Trendless

    Weekly Stock Market Commentary: Volatility Has Generally Been Trendless

    The $SPX chart remains bearish. During the oversold rally that failed at the 2000 level, an upward trend line had developed on the $SPX chart, connecting the daily lows since the 1870 bottom. That trend line was broken decisively this week, as $SPX fell back below its 20-day moving average. For now, the $SPX chart is bearish as long as it remains below the broken trend line (see Figure 1). Put-call ratios are bullish. Figures 2 & 3 show that both equity-only put-call ratios have rolled over and[...]

  • Market News | Sep 25, 2015, 11:54 AM

    TYVIX Weekly Report: VIX Indexes Heat Up by Economic News from China; Yellen Speaks

    TYVIX Weekly Report: VIX Indexes Heat Up by Economic News from China; Yellen Speaks

      Expected volatility exploded last month, on August 24, after the Shanghai 300 Index dropped by 8.75 percent, its steepest year-to-date move.  On Tuesday of this week, the change in the Shanghai Index from Monday’s close was a benign .93 percent, but news of a contraction in China’s manufacturing sector, as measured by the Caixin/Markit China General Manufacturing Purchasing Managers’ Index™ (PMI), was worrisome enough to turn around the majority of VIX indexes.[...]

  • Market News | Education | Trade Ideas | Sep 24, 2015, 8:26 PM

    RMC Europe Day 3 Preview

    RMC Europe Day 3 Preview

    The final day of the Fourth Annual European Version of CBOE’s Risk Management Conference gets started with a keynote address from Edward Chancellor a noted financial author and historian.  Chancellor’s address is titled, “The Consequences of Extraordinary Monetary Policy – An Historical Perspective on the Current Environment”. After the keynote address the balance of the morning is filled with a wide variety of presentations.  Hitendra Varsani from Morgan Stanely[...]

  • Market News | Strategy | Trade Ideas | Sep 24, 2015, 10:30 AM

    Earnings Week of 9/28 - 10/2

    Earnings Week of 9/28 - 10/2

    The calendar is light again as we move into early October next week.  Enjoy the silence because the following week we start to see the beginnings of third quarter earnings.  The numbers below represent historical stock price reactions in response to earnings reports for the last three years.

  • Market News | VIX | Trader Talk | Education | Sep 24, 2015, 1:51 AM

    RMC Europe Day 2 Preview

    RMC Europe Day 2 Preview

    The second day is always the most jam packed day at Risk Management and this year’s European stop in Geneva is full of thought provoking presentations. The day begins with a welcome address from Ed Provost, President and COO of CBOE Holdings.  The welcome address normally touches on new product initiatives and I look forward to finding out what CBOE has in store.  Paul Donovan, the Global Economist from UBS follows the welcoming address delivering a presentation titled, “It[...]

  • Market News | Sep 22, 2015, 10:00 AM

    The Fed Blinked, and That Wasn't a Good Thing

    The Fed Blinked, and That Wasn't a Good Thing

    We can all take heart that the Fed is still supporting the global markets. But if the message of the market is any indication, then this may be the wrong approach.  I suspect this was a contentious meeting, the committee struggling with a pivot to tighter policy.  Simply put, the current funds rate near zero has been in place for more than six years, and while the recovery is not anything hoped for, extremely generous policy has passed its time.  The market remains confused by policy[...]

  • Market News | Sep 21, 2015, 5:08 PM

    RMC Europe Day 1 Preview

    RMC Europe Day 1 Preview

    On Monday September 28th the European version of CBOE’s Risk Management Conference gets underway in Geneva, Switzerland. The conference kicks off with Matt Moran and Bill Speth from CBOE discussing the wide variety of Benchmark Indexes calculated and disseminated by CBOE.  The theme to this discussion could be something old and something new.  CBOE was the pioneer in creating strategy benchmark indexes with the CBOE S&P 500 BuyWrite Index.  This and a handful of other established[...]

  • Market News | Sep 21, 2015, 10:45 AM

    Markets, Fed & The Dollar - Weekly Market Outlook 

    Markets, Fed & The Dollar - Weekly Market Outlook 

    What started out as a fairly bullish week didn't end as one. The Federal Reserve's decision to not raise the nation's key interest rate inspired just enough doubt about the health of the global economy to send stocks lower on Friday. It was just enough of a stumble to pull stocks back into the red for the entire week. And yet, there's still a way for the pullback to stop before it gets started in earnest. We'll dissect that narrow path below, after taking a look at last week's key economic numbers. Economic[...]

  • Market News | Trader Talk | Trade Ideas | Sep 21, 2015, 12:40 AM

    Earnings Next Week - 9/21 - 9/24

    Earnings Next Week - 9/21 - 9/24

    We are still in a pretty light period as far as earnings announcements go.  Things don't kick off until Thursday with ACN in the morning and NKE and BBBY in the afternoon.  As always the numbers below depict the last three year's worth of stock price reactions to earnings announcements.