Cboe Blogs

The Russell 2000 (RUT) was down 2.57% last week, over twice the drop that occurred in the large cap focused Russell 1000 (RUI). This puts large cap stock performance solidly in the lead relative to small caps in 2015. For the year RUT is now up (a strong word for this) 0.18% while RUI is up 1.25%. We saw a strong move in the relationship between small cap and large cap volatility last week. Probably the best way to measure this is to compare the CBOE Russell 2000 Volatility Index (RVX) with VIX[...]

The over 1% drop in the stock market did not get traders too worried as VIX remains well under 14 and the VXST – VIX – VXV – VXMT curve maintained a distinct ‘normal looking’ curve. In 30 days we will be in early September, which is a time of year that often puts traders more on edge.   VIX did rise over 10% last week in response to the S&P losing 1.25%. As of Friday VXX was about 1/3rd August VIX futures and 2/3rds September VIX. Since the August contract[...]

I apologize for the lateness of this post, despite my best efforts I was unable to get the list together before today (Saturday).  The numbers below represent stock price reactions to earnings announcements for the last 12 quarters, except if the font is in italics.  

  As market participants returned to the view this week that a September (rather than December) fed fund hike may be more likely, backed up in part by an as-expected U.S. July employment report on Friday, expected Treasury volatility measures through December 2015 decreased, but just barely. At week’s end, the TYVIX Index was still about 1 index point below its value at the beginning of July, as were futures on TYVIX.  This suggests the 10-Year Treasury market is indifferent to whether[...]

Today is a fantastic and exciting day for CBOE Holdings and Livevol, Inc., but more importantly for the sophisticated investor community who trade equity and index options.  As you may know, the CBOE announced today that its acquisition of the market data services and trading analytics platforms of Livevol, Inc. has officially closed.  Livevol is the leader and industry authority on equity and index options technology and market data services, which are widely used by both institutional[...]

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. Weeklys: A Better Hedge? After CBOE first introduced Weeklys options in 2005, their popularity as an event-driven, short-term hedge has grown steadily.  Investors now have the ability to trade Weeklys on VIX futures and, beginning in October, Weeklys on VIX options. “The Case for Shorter Expirations”[...]

The stock market continues to hover in its trading range. Despite some promising buy signals from sentiment extremes in put-call ratios and $VIX, there was no follow-through by the Standard & Poors 500 Index ($SPX). We have often said -- and still maintain -- that price is the most important indicator. Regardless, as long as $SPX remains in the broad 2040-2135 trading range, the chart is neutral. Equity-only put-call ratios gave buy signals a little over a week ago, and they remain strongly on[...]

I can hear it now from someone reading the title:  'A HA!  this guy is finally bearish after all this time -- I knew he would come around'.  That couldn't be further from the truth, in fact the bearish label is completely inaccurate.  I don't like labels, as when we describe ourselves bullish or bearish that puts us in a specific mindset unable to be flexible.  Hence, when we change our minds and decisions with changing markets our tactics are questioned.  In other words,[...]

The bulls managed to get a nice reversal rally going on Tuesday of last week. But, when push came to shove on Friday, the bulls couldn't follow-through and carry the market meaningfully higher. Though the market finished the week above its key short-term moving averages, it also finished the week pointing in a bearish direction. Maybe it was just a bad day. Maybe the market will rekindle last week's jump-started rally early on this week and make a run for new highs. (There's certainly room and some[...]

I was on the road for CBOE and on the other side of the world recently so I missed some of the market action of late. I knew the Russell 2000 (RUT) was lagging, but was honestly surprised to see that the small cap dominated RUT performance for 2015 is basically in line with large cap stocks which is represented by the Russell 1000 (RUI) below.  My impression was that China and Greece (storm that has passed - for the moment) were dominating the news.  However, the relative performance[...]

The S&P 500 was up over 1% and both spot VIX and VIX futures suffered the consequences.   Spot VIX lost almost 12% and the August future was down about 6% last week. VIX Weeklys futures were launched a couple of weeks ago and the first short dated contract expires this coming Wednesday on the open. I decided it was time for a quick look at how the nearest term contract has been tracking along with VIX. Day by day changes won’t tell us much so I sent my very competent summer intern[...]

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 Weeklys Options Are Coming Following the successful launch of VIX Weeklys futures, CBOE has announced plans to list VIX Weeklys options beginning October 8th, offering market participants more opportunities to trade VIX.  Weeklys offer investors short-term protection, as well as the ability to fine-tune the[...]

A recurring topic of discussion among market participants is how illiquid the Treasury market has become and what impact this will have on volatility.   In particular, there is concern over a possible repeat of the “flash crash” of October 15, 2014, when a surge of volume in the CME’s 10-year Treasury futures pushed down Treasury yields and added two index points to the TYVIX Index in the course of 15 minutes. Figure 1. TYVIX on October 15, 2014  From the point of[...]

The chart of $SPX is the least bullish of the indicators. SPX remains in the 2040-2135 trading range that has bound it for most of this year. Basically this is a neutral chart. Put-call ratios are much more encouraging. A strong buy signal has been generated by the standard put-call ratio (Figure 2). The weighted equity-only put-call ratio is also bullish (Figure 3). Market breadth remains mixed, with the NYSE-based indicator now on a buy signal, but the "stocks only" is not. Volatility[...]

We are coming toward the end of the second quarter reporting period, but still have several names to go.  As always the histories below represent three years with the exception of those in italics.