Strategy Archives - Cboe Blogs

  • Strategy | Mar 15, 2016, 2:17 PM

    Know Your Time Frame

    Know Your Time Frame

    Forecasting is fun, but it leads to many errors in the process.  We hear them all time, someone trying to be a hero but often failing miserably in their predictions.  I read a quote last week by Howard Simons of the 'Iron Law' of forecasting (for economists):  Give 'em a number or give 'em a date, but don't ever give 'em both.  Indeed, trying to forecast is quite difficult, one can go back and forth from hero to goat several times.  Keep laying out a forecast and eventually[...]

  • Market News | VIX | Blogging Options | Trader Talk | Education | Strategy | Mar 12, 2016, 8:40 AM

    Weekend Review - Volatility Indexes and ETPs 3/7 - 3/11

    Weekend Review - Volatility Indexes and ETPs 3/7 - 3/11

    Three out of the four S&P 500 based volatility indexes dropped last week with the longer term focused VXMT rising slightly.  I went on a data fishing expedition with respect to weeks where VXMT and the S&P 500 rose, but couldn’t find a definitive patters.  I even looked at the predictive power going out as far as six months and got nada.  I did find out that both the S&P 500 and VXMT have risen in sync 52 times since 2008, which is interesting and a bit surprising,[...]

  • Market News | VIX | Trader Talk | Strategy | Trade Ideas | Mar 6, 2016, 7:03 PM

    Weekend Review - Russell 2000 Options and Volatility - 2/29 - 3/4

    Weekend Review - Russell 2000 Options and Volatility - 2/29 - 3/4

    The Russell 2000 (RUT) continues to show some resilience rising over 4% last week and closing the 2016 performance gap with the Russell 1000 (RUI). The long term average for the CBOE Russell 2000 Volatility Index (RVX) relative to VIX has been about 20% which is where we are now.  For some time back in the fourth quarter of last year we spent much more time closer to parity between RVX and VIX. An interesting trade was executed on Friday around lunchtime, with RUT trading near[...]

  • Market News | VIX | Trader Talk | Strategy | Trade Ideas | Mar 6, 2016, 8:36 AM

    Weekend Review - Volatility Indexes and ETPs - 2/29 - 3/4

    Weekend Review - Volatility Indexes and ETPs - 2/29 - 3/4

    The S&P 500 rose about 2.7% last week and shorter term volatility took it on the chin with VXST and VIX both down over 14%.  The longer dated volatility indexes were lower as well, but as show below, remain elevated compared to their respective averages last year.  You can read that as the market still bracing for higher volatility over the balance of 2016 (or at least until 6 months from now). The long and long leveraged VIX realted ETPs were down last week with VXX dropping[...]

  • Market News | Trader Talk | Strategy | Trade Ideas | Mar 4, 2016, 1:40 PM

    Earnings Next Week - 3/7 - 3/11

    Earnings Next Week - 3/7 - 3/11

    The numbers below represent three years of history with a couple of exceptions which have not been around long enough to provide a full three years of history.  In those cases the data appears in italics.   After the ticker the columns show the biggest gain, biggest drop, average move (non-directional) and stock price reaction last quarter.  

  • Market News | VIX | Futures | Strategy | Mar 4, 2016, 1:00 PM

    March 4, 2016 Weekly Report on CBOE VIX Index Suite

    March 4, 2016 Weekly Report on CBOE VIX Index Suite

    Can Fear Be Gone From the Market? All it took was a mildly positive non-farm payrolls report on Friday morning to drive the CBOE VIX Index below its median value of 17 (measured since 2003). Not only has U.S. equity volatility subsided, but so has the volatility of volatility measured by the VVIX Index and the CBOE SKEW, a measure of tail risk. Both suggest the probability of a significant crash in the U.S. equity market is dissipating. Figure 1. VVIX and SKEW since January 2015 So it appears[...]

  • Market News | VIX | Trader Talk | Education | Futures | Strategy | Trade Ideas | Mar 2, 2016, 5:29 PM

    Cross-Region Volatility Analysis for Investing and Hedging

    Cross-Region Volatility Analysis for Investing and Hedging

    The final presentation at CBOE’s Risk Management Conference in Bonita Springs, FL was a discussion of Cross-Region Volatility Analysis for Investing and Hedging.  Vishnu Kurella, Portfolio Manager at Caxton Associates and Ramon Verastegui, Managing Director, Head of Flow Strategy & Solutions Americas for Societe Generale.  Both are favorite presenters at RMC and drew a very large crowd. Their presentation covered a variety of important topics such as how natural derivative flows[...]

  • Market News | VIX | Trader Talk | Education | Strategy | Trade Ideas | Mar 1, 2016, 8:30 PM

    CBOE RMC Day 2 Recap

    CBOE RMC Day 2 Recap

    When you attend a conference like CBOE Risk Management you hope to have the opportunity to hear a variety of speakers.  This has always been true for RMC.  However, there are usually market themes that persist from presentation to presentation.  For instance at RMC in Europe a few months ago there was a lot of discussion about the markets moving to a higher volatility regime.  What is interesting about this conference is that the variety of market outlooks matches the variety[...]

  • Market News | VIX | Education | Strategy | Mar 1, 2016, 1:09 PM

    CBOE RMC - Differentiating and Benchmarking Volatility-Based Investment Strategies

    CBOE RMC - Differentiating and Benchmarking Volatility-Based Investment Strategies

    The first session after lunch at today’s Risk Management conference was a combination presentation and panel discussion.  The first part of the session featured Chris DeMeo from Nu Paradigm Investment Partners, LLC who discussed the CBOE EurekaHedge Volatility Indexes which were introduced in August of 2015.  These indexes addressed the lack of an appropriate benchmarks for analyzing volatility based strategies. The indexes are divided into four categories – Long Volatility Short[...]

  • Market News | VIX | Education | Strategy | Feb 29, 2016, 3:38 PM

    Intersections Between Macroeconomic Conditions and Volatility Levels

    Intersections Between Macroeconomic Conditions and Volatility Levels

    The final session on the first day of Risk Management was titled Intersections Between Macroeconomic Conditions and Volatility Levels.  Benn Eifert, Ph.D., Former Portfolio Manager from Mariner Coria and Stacey Gilbert, Head of Derivatives Strategy at Susquehanna teamed up for a very informative and educational session. Eifert started things off discussing the relationship between the economy and equity market volatility which is an area that the markets are very focused on for 2016.  His[...]

  • Market News | Trader Talk | Education | Strategy | Trade Ideas | Feb 29, 2016, 2:18 PM

    The Unknowns about Bond Investing that Equity Options Traders Know

    The Unknowns about Bond Investing that Equity Options Traders Know

    John Marshall, Managing Director, Derivatives and Tactical Research at Goldman Sachs and Zem Sternberg of Lake Hill delivered a joint presentation at CBOE’s Risk Management Conference today in Bonita Springs, FL.  Their very timely talk, considering the uncertainty surrounding the current interest rate environment, was titled The Unknowns about Bond Investing that Equity Options Traders Know. Zem kicked off the presentation saying there are three questions (with answers) that must be addressed[...]

  • Education | Futures | Strategy | Trade Ideas | Feb 29, 2016, 12:39 PM

    Constructing/Deconstructing Volatility Risk Premia Strategies

    Constructing/Deconstructing Volatility Risk Premia Strategies

    LimelightPlayerUtil.initEmbed('limelight_player_969842'); I have to include a personal note - this is the best first presentation I have ever witnessed at a CBOE Risk Management Conference. The first session of the 32nd Annual CBOE Risk Management Conference paired up Mark Shore who is Chief Research Officer from Shore Capital Research as well as an Adjunct Instructor at DePaul University with Roni Israelov, Portfolio Manager from AQR Capital Management.  Their session was titled Constructing[...]

  • Technical Analysis & Charts | VIX | Education | Strategy | Feb 29, 2016, 12:10 PM

    Weekly Market Outlook - Bullish, But Not Yet Firmly So

    Weekly Market Outlook - Bullish, But Not Yet Firmly So

    Last week wasn't a no-holds-barred kind of bullish week, but stocks did manage to follow-through on the prior week's rebound effort, breaking above some semi-important resistance levels.  There still a tough road to travel, however, if the bulls are going to get anything going for the long haul. We'll take our usual look at the market's upside and downside below, after dissecting some of this week's and last week's more important economic data. Economic Data Last week was pretty busy in terms[...]

  • Market News | Trader Talk | Strategy | Trade Ideas | Feb 28, 2016, 8:35 PM

    Earnings Next Week - 2/29 - 3/4

    Earnings Next Week - 2/29 - 3/4

    The numbers below represent three years of history with a couple of exceptions which have not been around long enough to provide a full three years of history.  In those cases the data appears in italics.   After the ticker the columns show the biggest gain, biggest drop, average move (non-directional) and stock price reaction last quarter.

  • Market News | Education | Strategy | Trade Ideas | Feb 28, 2016, 2:11 PM

    Bear Market Survival Tactics

    Bear Market Survival Tactics

    There should be no dispute by now that we are in the throes of a vicious bear market.  Oh, sure we can argue stocks are well above where they were back in the financial crisis, and many stocks have not even lost half of those gains.  Yet, current market conditions are such that the prices can go sideways or down for a long period of time.  If that happens, what will/should you do? At times it is okay to sit it out.  I do this frequently, especially after a rough spell. [...]