Strategy Archives - Cboe Blogs

  • Technical Analysis & Charts | VIX | Futures | Strategy | Jun 13, 2016, 11:08 AM

    Market Outlook - Market Looks Vulnerable Here

    Market Outlook - Market Looks Vulnerable Here

    The market was on pace to a decent gain last week.... until Friday. With that day's stumble, an intraweek gain of 1.0% turned into a 0.14% loss for the five-day span. Worse, the shape and location of last week's intraweek reversal hints that the tide may have finally turned bearish. Of course, in this market, such hints don't necessarily mean a lot. We'll dissect it all below as usual, after painting with some broad brush strokes of economic data. Economic Data As was noted a week ago, there[...]

  • Market News | VIX | Trader Talk | Strategy | Trade Ideas | Jun 11, 2016, 12:23 PM

    Weekend Review - Volatility Indexes and ETPs - 6/6 - 6/10

    Weekend Review - Volatility Indexes and ETPs - 6/6 - 6/10

    Last week VIX rose every day which isn’t all that unusual.   What was ground breaking was that VIX rose each of the first three days last week despite the S&P 500 moving up as well. I decided to take a look at what has happened in the past when both the S&P 500 and VIX rise together for three consecutive days. The result, it's not as uncommon as I thought, we've had 17 occurrences of three up together.  However, the last time was in January 2013. VVIX[...]

  • Market News | VIX | Trader Talk | Strategy | Trade Ideas | Jun 9, 2016, 4:34 PM

    Block Trade Analysis - VIX July Ratio Call Spread

    Block Trade Analysis - VIX July Ratio Call Spread

    June VIX futures and options settle next Wednesday on the open so we are starting to see traders look ahead to July standard expiration. Of course those that want to be more strategic can explore the VIX Weeklys, but that is an argument for another blog. This morning, exactly an hour into the trading day there was a buyer of 8,500 VIX Jul 17 Calls at 1.99 who then sold 17,000 VIX Jul 21 Calls for 1.03 each and a net credit of 0.07 per spread. The result is a small credit and a payoff at July expiration[...]

  • VIX | Education | Futures | Strategy | Jun 7, 2016, 10:35 AM

    BPVIX Index Hits Highest Level Since 2009, as Investors Manage Brexit Risk

    BPVIX Index Hits Highest Level Since 2009, as Investors Manage Brexit Risk

    On Monday the CBOE/CME FX British Pound Volatility Index (BPVIX) closed at 22.59, its highest daily close since March 2009, and the BPVIX Index has risen 161.8% so far this year (through June 6). A number of news articles have noted that the implied volatility for British Pound has risen during the past month because of concern about the upcoming June 23 Brexit referendum. Recent headlines for news stories included (1) “Pound Falls, Volatility Jumps as Polls Show Momentum for Brexit”[...]

  • Technical Analysis & Charts | VIX | Futures | Strategy | Jun 6, 2016, 12:01 PM

    BigTrends.com Weekly Market Outlook - Mini-Trading Range Developing

    BigTrends.com Weekly Market Outlook - Mini-Trading Range Developing

    All things considered, the market held up quite well last week in spite of plenty of reason not to. The S&P 500 (SPX) (SPY) ended the shortened trading week with a very slight gain, and also ended the week with the bulls testing the waters of higher highs after defining a near-term floor. And yet, its failure to actually make forward progress, even though it tried to do so, is concerning in itself. We'll take a closer look at the trading range that developed last week and what it will take[...]

  • Market News | VIX | Trader Talk | Strategy | Trade Ideas | May 28, 2016, 9:18 AM

    Weekend Review - Russell 2000 Index and Volatility - 5/23 - 5/27

    Weekend Review - Russell 2000 Index and Volatility - 5/23 - 5/27

    Small cap stocks continue to show some strength with the Russell 2000 (RUT) beating the Russell 1000 (RUI) for the second week in a row. Is this the beginning of a streak? RUT rose 3.43% last week while the large cap focused RUI gained 2.28%. For the year RUT is now up 1.28%, still lagging RUI which is up 2.63%. The RVX / VIX premium remains at the high end of this year’s range, despite the strong performance from small cap stocks. It may be that the uncertainty about the Fed’s[...]

  • Technical Analysis & Charts | Education | Futures | Strategy | May 23, 2016, 10:45 AM

    Smart Volatility(TM): Dynamic Management of Volatility as an Asset Class

    Smart Volatility(TM): Dynamic Management of Volatility as an Asset Class

    Editor's note - David Skordal, Partner/Portfolio Manager, ABR Dynamic Funds, LLC, is the author of this blog The dips in August 2015 and January 2016 have served as reminders that the U.S. equity markets are now in the eighth year of a bull run, and equity crises happen on a regular basis. In the last 30 years, there was Black Monday, the Savings & Loan Crisis, the Russian Financial Crisis, the Tech Bubble Collapse, the Credit Crisis, the Flash Crash, and the Greek Crisis, just to name a few.[...]

  • Market News | Technical Analysis & Charts | VIX | Futures | Strategy | May 23, 2016, 9:49 AM

    BigTrends.com Weekly Market Outlook - Neutral With Downside Risk

    BigTrends.com Weekly Market Outlook - Neutral With Downside Risk

    The bulls and bears ended up in a stalemate last week. Both sides of the table looked as if they were going to take control at different points, but when all was said and done, neither side had the conviction need to rock the market out of its rut. The S&P 500's (SPX) (SPY) close of 2052.32 was only 0.27% better than the week-earlier close, and still right in the middle of some major support and resistance. The BigTrends TrendScore (for stocks) is a slightly anemic 56.6 out of a possible[...]

  • Market News | VIX | Trader Talk | Futures | Strategy | Trade Ideas | May 22, 2016, 6:00 AM

    Weekend Review - VIX Options and Futures - 5/16 - 5/20

    Weekend Review - VIX Options and Futures - 5/16 - 5/20

    The combination of VIX moving lower and June becoming the front month put some pressure on the June futures last week. I think maybe the lack of news flow expected over the next couple of weeks has something to do with that as well. Note the bifurcated futures performance from last week with many longer dated futures rising, which maybe could be the risk of higher rates or an ‘interesting’ presidential election hovering over the markets. Finally, I always like to periodically point out[...]

  • Market News | Strategy | Trade Ideas | May 19, 2016, 3:48 PM

    Earnings Next Week - 5/23 - 5/27

    Earnings Next Week - 5/23 - 5/27

    Again, next week is all about retail which should be interesting since the results have been pretty mixed.  As always the data below is based on the last three years of earnings results, unless the data is in italics.  In those cases less than three years worth of history is available.  The columns show the biggest rally, biggest drop, average move, and what the stock did last quarter in reaction to earnings.  In the case of HPE (in italics below) there was less than 3 years of[...]

  • Sometimes It's Best to Sit Back and Wait

    Sometimes It's Best to Sit Back and Wait

    As traders, we make our living each and every day trying to find the best trading opportunities.  For some, daily profits are the lifeblood of their existence not just feeding the ego but also paying the rent, putting food on the table and paying the bills.  This of course is the wrong approach for anyone who really chooses this career, as the timeframe chosen is critical as is the amount of capital in reserve.  Most of us realize the best possible position is to be well-capitalized,[...]

  • Market News | Trader Talk | Futures | Strategy | Trade Ideas | May 13, 2016, 4:24 PM

    Russell 2000 Futures vs. Short Call Spread from Last Week

    Russell 2000 Futures vs. Short Call Spread from Last Week

    Every weekend I write a brief blog discussing the performance of the Russell 2000, how the CBOE Russell 2000 Volatility Index is reacting to market conditions, and pick out a RUT trade or other piece of market information that looks interesting (at least to me). Last week I noted a bear call spread using Russell 2000 Index Options that sold a deep in the money call and purchased a slightly out of the money call, both of which expired this week. The specific trade involved selling the RUT May 13th[...]

  • Technical Analysis & Charts | VIX | Futures | Strategy | May 9, 2016, 12:21 PM

    Weekly Market Outlook - May Rally?

    Weekly Market Outlook - May Rally?

    The market may have finished last week on a bullish note, and started the week on a bullish note.  The middle of the week, however, was rough enough on stocks to leave the S&P 500 (SPX) (SPY) down 0.4% for the five-day span. On the other hand, when push came to shove at a critical line in the sand, the bulls were doing more pushing and shoving than the bears were.  Friday's gain - small as it may have been - happened in such a way and in such a place that there's a decent chance[...]

  • Market News | VIX | Trader Talk | Strategy | Trade Ideas | May 8, 2016, 1:09 PM

    Weekend Review - Volatility Indexes and ETPs - 5/2 - 5/6

    Weekend Review - Volatility Indexes and ETPs - 5/2 - 5/6

    The S&P 500 was down 0.44% last week which places the index up only 0.65% for the year. Three out of the four S&P 500 focused volatility indexes were also lower last week, despite the drop in the S&P 500. I find the longer end of the curve holding up like it has for most of 2016 interesting as well as worrisome, at least if you are bullish on stocks. In the ETP space VXX was down by 5.11% and UVXY lost a little over twice as much at VXX. SVXY put up a decent week gaining[...]

  • Market News | VIX | Trader Talk | Futures | Strategy | Trade Ideas | May 7, 2016, 11:35 AM

    Weekend Review - VIX Options and Futures - 5/2 - 5/6

    Weekend Review - VIX Options and Futures - 5/2 - 5/6

    VIX dropped last week, with a big part of the drop coming Friday afternoon. Note the futures followed suit, but specifically note that the front month May future gave up a little more ground than spot VIX. This is sort of common when we have an employment number. Also note how flat the curve is from July through November – the theory is that the Fed is out of play between the conventions and the election which may result in relative calm for the financial markets. Late Thursday[...]