Market News Archives - CBOE Blogs

  • Market News | VIX | Aug 28, 2015, 3:00 PM

    The Weekly Options News Roundup – 8/28/2015

    The Weekly Options News Roundup – 8/28/2015

    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. VIX: Word on the Street Markets have experienced a tumultuous week, to say the least.  Triple digit swings in the Dow and S&P caused the CBOE Volatility Indexâ (VIXâ Index) to catapult above 50 – a level not seen seven years – on Monday, before retreating to the mid-20s today.  Is[...]

  • Market News | Aug 28, 2015, 2:03 PM

    TYVIX Weekly Review: How This Week's Mini-Crisis Impacted Volatilities Across Different Asset Markets

    TYVIX Weekly Review: How This Week's Mini-Crisis Impacted Volatilities Across Different Asset Markets

    General Volatility Flash        U.S. investors’ expectations of how China’s slower economic growth pace would impact the U.S. economy experienced a violent turnaround, setting the scene for Monday’s stock market tsunami. U.S. stocks spent the week recovering, and Figure 1 shows how the unfolding of this mini crisis impacted volatilities across different asset markets. Although the stock market plunged on Monday, it is clear from Figure 1 that[...]

  • Market News | Aug 27, 2015, 5:33 PM

    Interested in Managing Global Portfolio Exposure? Explore Options on MSCI Indexes

    Interested in Managing Global Portfolio Exposure? Explore Options on MSCI Indexes

    Interest in managing global portfolio exposure has grown in recent weeks. As shown in the price charts below, over the five-trading-day period from August 17 through August 24 – Two key global stock indexes – the MSCI EAFE Index (MXEA) and MSCI Emerging Markets Index (MXEF) – both fell by more than 5%; Several volatility indexes rose considerably – the CBOE Emerging Markets ETF Volatility Index (VXEEM) rose 120%; CBOE EFA ETF Volatility Index (VXEFA) rose 112%, and CBOE China[...]

  • Market News | VIX | Trader Talk | Futures | Trade Ideas | Aug 27, 2015, 9:51 AM

    Return of the Big VIX Trade

    Return of the Big VIX Trade

    Beginning back in the spring there was a very large 1 x 2 VIX Call spread that was rolled from month to month for several months.  With the excess volatility it appears the trade was exited earlier this week.  But that is apparently not the end of the story…. Yesterday there was a buyer of about 92,000 VIX Oct 15 Calls for 8.00 who sold about 184,000 VIX Oct 21 Calls at 4.80 which boils down to a credit of 1.60 per spread.  The payoff, if held to October expiration, appears below[...]

  • Market News | Aug 25, 2015, 7:15 PM

    Checking in on VIX Weeklys Futures Price Action

    Checking in on VIX Weeklys Futures Price Action

    Tomorrow morning we will get the settlement print for the August 26th VIX Weeklys Futures contract.  You never know how a product is going to trade until it is set free upon the marketplace.  The assumption with respect to VIX Weeklys Futures was that the nearest expiring contract would closely track price action in spot VIX.  The past couple of days has been a heck of a time to test this out, but so far it appears the expected price behavior of the nearest expiring future[...]

  • Market News | VIX | Trader Talk | Strategy | Aug 25, 2015, 6:21 PM

    Trade in Which I Get a Black Eye, but Escape a Worse Black Eye

    Trade in Which I Get a Black Eye, but Escape a Worse Black Eye

    It was a black eye I gave myself, of course.  If this blog were all sunshine and lollipops - well, that would be great.  I'll work on it.  For now, it's not happening. So last week I got it into my head to sell some UVXY 55 calls, thinking that strike was unlikely to hit.  Under "normal" market conditions, that would be a reasonable belief.  As everyone and their kid's kindergarten teacher knows by now, the market has had a "correction."  I got sent[...]

  • Market News | Aug 25, 2015, 2:41 PM

    Around-the-Clock Trading of VIX and SPX Soars in Recent Days

    Around-the-Clock Trading of VIX and SPX Soars in Recent Days

    CBOE Holdings now offers Extended Trading Hours (ETH) on key popular index futures and options contracts -- to provide investors with tools to hedge and to take advantage of market opportunities as they happen. www.cboe.com/ETH. In recent days many investors have become concerned about falling share prices on stock exchanges in Asia, and on August 24 the trading volumes during ETH soared to 140,811 for VIX futures, 21,612 for VIX options and 8,407 for S&P 500 (SPX) options. DAILY VOLUME DURING[...]

  • Market News | VIX | Trader Talk | Futures | Aug 24, 2015, 8:20 PM

    VIX and Volatility Markets Today - 8/24/2015

    VIX and Volatility Markets Today - 8/24/2015

    First, a quick discussion of the VIX quotes from early today.  Just as the equity market opened the S&P 500 E-mini futures went limit down.  Market makers in the SPX pit at CBOE use the futures for hedging purposes so it was difficult for the traders in the pit to asses where the equity market was going and this created a pause is quoting.  Following the limit down situation there was spotty quoting in SPX and SPXW options so VIX values were not being disseminated.  The VIX[...]

  • Market News | Futures | Aug 24, 2015, 8:27 AM

    Record Volume Day for CBOE and SPX Options, as VIX Index Has Its Biggest One-Week Jump

    Record Volume Day for CBOE and SPX Options, as VIX Index Has Its Biggest One-Week Jump

    This past week the CBOE Volatility Index® (VIX®) rose 118.5%, its largest move ever (in percentage terms) in one calendar week. On Friday CBOE®, C2 Exchange and the CBOE’s S&P 500® (SPX) options all experienced record volume days, with estimated volume of 11 million options contracts traded on CBOE.  A news report at Marketwatch noted –“Across the globe, investors dumped anything with a whiff of “risk” as an economic slowdown in China accelerates,[...]

  • Market News | Technical Analysis & Charts | VIX | Trader Talk | Aug 23, 2015, 11:05 AM

    The Week in Russell 2000 Trading - 8/17 - 8/21

    The Week in Russell 2000 Trading - 8/17 - 8/21

    Small cap stocks held up (generous term here) well versus large cap stocks last week.  The Russell 2000 (RUT) was down 4.61% while the large cap focused Russell 1000 (RUI) lost 5.73%.  The drop for RUI was the biggest one week lost since mid-September 2011.  For the year RUT and RUI are down 3.98% and 3.89% respectively.  I’m going to say that’s a tie with just over four months to go. With RUT holding up relative to RUI small cap risk, as measured by the CBOE Russell[...]

  • Market News | VIX | Trader Talk | Aug 22, 2015, 12:36 PM

    The Week in VIX - 8/17 - 8/21

    The Week in VIX - 8/17 - 8/21

    VIX more than doubled last week in what was the biggest week over week percent change for VIX in history. Specifically VIX rose 118% from Friday to Friday.   This past week was August settlement week for VIX futures and options. In the past this would mean that the next expiring future would have weeks of trading left. However, we now have VIX Weeklys trading at the CBOE Futures Exchange. More on that in a minute. The curve shifted higher and into backwardation last week. The cheapest future[...]

  • Market News | VIX | Trader Talk | Futures | Aug 22, 2015, 11:22 AM

    The Week in Volatility Indexes and ETPs - 8/17 - 8/21

    The Week in Volatility Indexes and ETPs - 8/17 - 8/21

    The S&P 500 was down 5.77% and S&P 500 related volatility indexes did exactly what traders would expect. They shot higher and the curve became as inverted as it has been in the last three to four years. I’m pretty sure the last time the VXST – VIX – VXV – VXMT curve was in this sort of backwardation was in August 2011. For the record VXST was up 231%, VIX rose 118%, VXV gained 51%, and VXMT was higher by about 34% for the week.   Before the week began, XIV[...]

  • Market News | VIX | Aug 21, 2015, 3:16 PM

    The Weekly Options News Roundup – 8/21/2015

    The Weekly Options News Roundup – 8/21/2015

    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. Eureka!!! CBOE in collaboration with Eurekahedge has launched 4 new benchmark indexes measuring the performance of volatility-based investment strategies.  For more information on these indexes visit www.cboe.com/eurekahedge “CBOE adds hedge fund volatility benchmarks” – Alice Attwood, FOW http://bit.ly/1JanwhU “CBOE[...]

  • Market News | Aug 21, 2015, 12:51 PM

    TYVIX Weekly Review: Will the FOMC Lift the Lid on the Federal Fund Target Rate?

    TYVIX Weekly Review: Will the FOMC Lift the Lid on the Federal Fund Target Rate?

      Federal Funds Target Rate and Treasury Volatility With 26 days left until the September 16th meeting of the Federal Reserve Open Market Committee, and signals for U.S. rates diverging amid continued China and Europe economic weakness, it is still uncertain whether the FOMC will lift the lid on the federal funds target rate (FFTR) on September 16 or later. The FOMC is concerned that a rate hike will stall the U.S. economy and market participants are concerned that a rate hike will depress Treasuries[...]

  • Market News | Strategy | Aug 21, 2015, 11:48 AM

    The Eurekahedge Report highlights impressive YTD performance of Relative Value Volatility Managers

    The Eurekahedge Report highlights impressive YTD performance of Relative Value Volatility Managers

    As noted in our previous blog post, CBOE® and Eurekahedge announced the launch of four new benchmark indexes that measure the performance of hedge funds that employ volatility-based investment strategies. The four new indexes: CBOE Eurekahedge Short Volatility Index CBOE Eurekahedge Long Volatility Index CBOE Eurekahedge Relative Value Volatility Index CBOE Eurekahedge Tail Risk Index According to Eurekahedge’s August monthly newsletter, The Eurekahedge Report, the newly created CBOE[...]