Cboe Blogs

The Weekly News Roundup is your weekly recap of CBOE features, options industry news and VIX Index and volatility-related articles from print, broadcast, online and social media outlets. CBOE Hosts Institutional “VIP” Summit On Thursday, CBOE hosted its 1st ever Institutional VIP -- “Volatility Investor Program” -- Summit, a day of events for principal volatility managers and institutional allocators that focused on how volatility investing can be utilized to improve portfolio[...]

VIX had a pretty stellar week, aided by the new on Friday, to finish over 20% higher. Spot VIX may be buying into a new scandal, but the futures did not.  The curve is as flat as it has been in months which tells me traders expect this move in VIX to be short lived. We are all aware that VIX made a little move on Friday as new of a new chapter in the Clinton email saga commenced.  As the week came to an end on trader took advantage of a rise in VIX and the December futures[...]

Last week the Russell 2000 (RUT) took it on the chin dropping 2.6% while the large cap focused Russell 1000 (RUI) was down only 0.80%.  For the year RUT still has a small lead, up 4.55% versus up 3.98%, but that could quickly disappear next week. The volatility spike that came Friday afternoon did what most surprising events do to the relationship between the Russell 2000 Volatility Index (RVX) and VIX.  The ratio dropped, but is still above average for 2016. The week ended[...]

OCT. 28 – On Friday afternoon a news story at wsj.com<http://blogs.wsj.com/moneybeat/2016/10/28/markets-rattled-by-fresh-fbi-review-of-clinton-email/?mod=djemalertMARKET> noted that – “Worries about a surprise election outcome resurfaced anew in financial markets on Friday afternoon after the Federal Bureau of Investigation uncovered new evidence in its investigation of Democratic presidential candidate Hillary Clinton‘s email server. … The news sent ripples through[...]

In honor of National Chocolate Day, The Hershey Company (HSY) released what must be considered a sweet earnings report for investors.  As I write this the stock is at 100.50 up 4.99 or just over 5% on the day.  I decided in honor of the 'holiday' and HSY’s great results that I would go looking for a trade that correctly anticipated today’s rise in shares. Early Thursday, with HSY trading around 96.75 there was a buyer of the HSY Oct 28th 99.50 Calls in several lots at prices[...]

As always the data below is based on the last three years of earnings results unless the ticker is in italics.  The columns show the biggest rally, biggest drop, average move, and what the stock did last quarter in reaction to earnings.  Finally, double check the earnings dates as not all were confirmed.

So we keep hearing that the market is unconcerned with respect to the upcoming election or stated another way the stock market is discounting a victory by Hillary Clinton.  I am always skeptical when being told that the market thinks one thing or another without some sort of numbers to back up the statement.  With respect to the market discounting a pending event as being a non-event I always turn to volatility.  Specifically, implied volatility. If stock market participants are discounting[...]

The Weekly News Roundup is your weekly recap of CBOE features, options industry news and VIX Index and volatility-related articles from print, broadcast, online and social media outlets. A Second VESTment Launches On Monday, October 18, CBOE Vest announced the launch of the CBOE Vest Defined Distribution Strategy Fund (VDDIX).  VDDIX, the second mutual fund to be launched by CBOE Vest, seeks to generate consistent periodic distributions while preserving capital over the long term. For more information,[...]

In a bear market we refer to market bounces as ‘relief rallies’.  The drop in volatility last week may be attributed to some sort of relief, whether with respect to expectations around the coming election or that a good part of earnings season has passed without any catastrophic results.  Whatever the reason the curve moved lower as the S&P moved up slightly and the shape is a little less steep. The long volatility funds had a tough time last week with VXX losing[...]

VIX worked lower as we all survived, endured, or got through the final debate on this Presidential election.  The stock market moving up a little probably helped the cause as well.  November took over as the front month contract and finished the week at 15.575 or a spread of just over 2.20 when compared to the spot index.  This is actually a pretty narrow spread relative to how steep the VIX curve has been over the past few months. On Friday one trader came in with the[...]

Last week the Russell 1000 (RUI) and Russell 2000 (RUT) both gained a little ground, with RUI rising 0.41% and RUT winning the week by a nose by moving higher by 0.49%.  For the year RUT is about 3.4% higher than RUI. Both VIX and the Russell 2000 Volatility Index (RVX) were lower last week as the equity markets survived (and we endured) the final debate before the presidential election.  The RVX / VIX ratio gained a bit with the drop in volatility but is still off 2016 highs. On[...]

This week is by far the busiest of earnings season with over 100 companies with  Weeklys available for trading reporting results.   As always the data below is based on the last three years of earnings results unless the ticker is in italics.  The columns show the biggest rally, biggest drop, average move, and what the stock did last quarter in reaction to earnings.  Finally, double check the earnings dates as not all were confirmed.

The Weekly News Roundup is your weekly recap of CBOE features, options industry news and VIX Index and volatility-related articles from print, broadcast, online and social media outlets. VIX FIX: Volatility’s October Surprise Earnings season is once again upon us, and has caused a bit of turbulence throughout markets.  The Dow Jones Index underwent a series of triple-digit moves this week, briefly dipping below 18,000 on Thursday before rebounding on Friday.  Another catalyst for[...]

The tug of war was on and it appears the VIX futures won last week as VIX rose about 20% and the October contract gained only 8%.  When we are in steep contango eventually VIX either rises or the futures give in, this time VIX blinked.  Remember next week October drops off the board and November becomes the front month.  If you are playing the election volatility game we do have Weeklys that expire closer to the vote, but the standard November contract will be the one that gets most[...]

On a percentage basis VIX was the big winner among the four S&P 500 related volatility indexes.  VIX gained just over 19% while VXST was up about 13%.  The longer end of the curve is often less responsive to drops in the stock market.  VXV and VXMT behaved as they normally do and rose about 6% and 4% respectively. The long ETPs had a nice week with the unleveraged funds gaining over 5% and the leveraged funds putting up gains of over 10%.  As I like to say, the[...]