Technical Analysis & Charts Archives - CBOE Blogs

  • Technical Analysis & Charts | Education | Mar 9, 2015, 3:00 PM

    RMC Speakers - Volatility of Volatility Rose in Recent Months

    RMC Speakers - Volatility of Volatility Rose in Recent Months

    In the first two months of 2015, the CBOE VIX of VIX Index (VVIX) had an average daily close of 100.2, a higher level than in any of its previous eight full calendar years from 2007 through 2014. On Thursday at the 31st CBOE Annual Risk Management Conference in Carlsbad, expert presentations on Volatility of Volatility (VOV) were delivered by Benn Eifert, Ph.D., Portfolio Manager, Mariner Investment Group and Kambiz Kazemi, Portfolio Manager, Picton Mahoney Asset Management. INTRODUCTION TO INDEXES Before[...]

  • Technical Analysis & Charts | Education | Mar 9, 2015, 11:58 AM

    Selling Volatility Safely:  VIX, VXX, and Other Short Volatility Option Strategies

    Selling Volatility Safely:  VIX, VXX, and Other Short Volatility Option Strategies

    Investors who sell VIX-based products often keep a close eye on contango, and the VIX was in contango on 248 days in 2012 and 219 days in 2014. On Friday at the 31st Annual Risk Management Conference presentations on - Selling Volatility Safely:  VIX, VXX, and Other Short Volatility Option Strategies – were delivered by David Burchmore, Portfolio Manager, Ontario Teachers' Pension Plan, and Rocky Fishman, CFA, Equity Derivatives Strategy, Deutsche Bank Securities. INTRO – VIX IN[...]

  • Technical Analysis & Charts | Education | Mar 6, 2015, 2:30 PM

    Discussion of Risk Premia and Volatility Selling Strategies

    Discussion of Risk Premia and Volatility Selling Strategies

    Can volatility-selling strategies deliver superior risk-adjusted returns over the long term, particularly in light of the fact that index options generally have been richly priced? On Friday at the CBOE Risk Management Conference (RMC), presentations on Risk Premia and Volatility Selling Strategies were delivered by Donald Pierce, CFA, Chief Investment Officer, San Bernardino County Employees' Retirement Association, and Defina Maluki, Portfolio Manager, Barclays Wealth and Investment Management. BENCHMARK[...]

  • The Art of Hedging Discussed at RMC

    The Art of Hedging Discussed at RMC

    The last presentation of the day today at CBOE’s Risk Management Conference also turned out to be one of the best. Boris Lerner, Head of US Quantitative and Derivative Strategies at Morgan Stanley and Arie Aboulafia, Senior Portfolio Manager from Capstone Investment Advisors teamed up to discuss “The Art of Hedging”.  Many market participants have forgotten that there is a non-quantitative aspect to investing and trading since the industry has become so quantitative. This session[...]

  • Technical Analysis & Charts | Education | Mar 5, 2015, 9:35 AM

    Options-Based Funds Had Lower Standard Deviation Over the Past 15 Years

    Options-Based Funds Had Lower Standard Deviation Over the Past 15 Years

    On Wednesday at the 31st Annual CBOE Risk Management Conference, a joint presentation on a new study was delivered by Keith Black, Ph.D., CAIA, CFA, Managing Director, Curriculum and Exams, Chartered Alternative Investment Analyst (CAIA) Association.  (Edward Szado, Assistant Professor of Finance, Providence College was scheduled to be on the panel with Dr. Black, but was delayed by weather on the East Coast and unable to attend). Early this year Dr. Black and Dr. Szado published their new groundbreaking[...]

  • Technical Analysis & Charts | VIX | Education | Mar 4, 2015, 8:15 PM

    BXY and PUT Indexes - Lower Standard Deviation and Higher Return Over the 26.5 Years

    BXY and PUT Indexes - Lower Standard Deviation and Higher Return Over the 26.5 Years

    On Wednesday at the 31st Annual CBOE Risk Management Conference, a presentation on a new study was delivered by Keith Black, Ph.D., CAIA, CFA, Managing Director, Curriculum and Exams, Chartered Alternative Investment Analyst (CAIA) Association.  (Edward Szado, Assistant Professor of Finance, Providence College was scheduled to appear with Dr. Black but was delayed by bad weather). Early this year Dr. Black and Dr. Szado published their new groundbreaking study - Performance Analysis of Options-Based[...]

  • Technical Analysis & Charts | Education | Mar 4, 2015, 6:00 PM

    Berlinda Liu on Deciphering VIX Futures Term Structure

    Berlinda Liu on Deciphering VIX Futures Term Structure

    On Wednesday at the 31st Annual CBOE Risk Management Conference in California, Ms. Berlinda Liu, Director of Index Research and Design, S&P Dow Jones Indices, delivered a presentation entitled Deciphering VIX Futures Term Structure. In her presentation Ms. Liu noted that -- When VIX is in Contango, the term structure is upward sloping; Shorter-term futures are cheaper than longer-term futures; Long positions suffer from roll cost; and Short positions collect positive carry. When VIX is in Backwardation,[...]

  • Technical Analysis & Charts | Education | Mar 4, 2015, 3:52 PM

    Samuel Kadziela Delivers Primer on Volatility Analysis and Trading Strategies

    Samuel Kadziela Delivers Primer on Volatility Analysis and Trading Strategies

    On Wednesday at the 31st Annual Risk Management Conference (RMC) in California, Samuel Kadziela, Director of Education at Chicago Trading Company, delivered a presentation entitled Primer on Volatility Analysis and Trading Strategies. Mr. Kadziela noted that -- Realized volatility is the volatility of the underlying contract over some period of time; Implied volatility is derived from the prices of options in the marketplace, and reflects the marketplace’s consensus expectation of future volatility. Traditional[...]

  • Watching Closely Here - Weekly Market Outlook

    Watching Closely Here - Weekly Market Outlook

    Believe it or not, the S&P 500 (SPX) (SPY) lost ground last week. It was a "just barely" situation, and the Russell 2000 (RUT) (IWM) as well as the NASDAQ Composite (COMP) (QQQ) both ended the week higher even with Friday's pullbacks. The across-the-board weakness to close out the week, however, is something to think about even if it's not yet something to worry about. The odds are weighed below. Let's first dissect last week's economic numbers and preview what's coming up this week. Economic[...]

  • Market News | Technical Analysis & Charts | VIX | Education | Futures | Feb 27, 2015, 1:10 PM

    Weekly Market Commentary 2.27.15

    Weekly Market Commentary 2.27.15

    (Editors Note:  For those attending Traders Expo New York at the Marriott Marquis this weekend, please stop by and say hello to Larry McMillan and his group.  Russell Rhoads from the Options Institute at CBOE will be at Traders Expo as well). The stock market continues to move higher, albeit at a very slow pace. That makes the $SPX chart bullish, of course, and it will remain bullish as long as $SPX holds above support.  The highest support level is the 2090-2100 range that $SPX traded[...]

  • Technical Analysis & Charts | VIX | Trader Talk | Education | Feb 23, 2015, 1:45 PM

    Pretty Clear Breakout Amid Valuation Challenges - Weekly Market Outlook

    Pretty Clear Breakout Amid Valuation Challenges - Weekly Market Outlook

    It wasn't necessarily a huge gain for the market last week, but it was an important one. Most indices tiptoed into new-high (record high) territory on Tuesday, and after stalling for a couple of days then made a bold thrust into record high territory again on Friday. All told, last week's close of 2110.3 for the S&P 500 (SPX) (SPY) translated into a 0.6% gain for the holiday-shortened week. Though valuation challenges are going to make it tough for stocks to continue rallying, from the technical[...]

  • Anticipating MSCI EAFE Index Option Price Behavior

    Anticipating MSCI EAFE Index Option Price Behavior

    Over the next few weeks there is going to be a lot going on at CBOE. The Options Institute will be turning 30 soon, VIX and SPX option hours are going to be expanded to a 2:00 am Chicago opening, and the always informative US version of the CBOE Risk Management Conference will be held in early March. However, what is on the horizon that has me the most excited is the launch of index option trading on two of the widely followed MSCI family of indexes. As a side note - my interest in new[...]

  • Technical Analysis & Charts | VIX | Education | Feb 17, 2015, 9:45 AM

    Textbook Breakout, Will It Confirm? - Weekly Market Outlook

    Textbook Breakout, Will It Confirm? - Weekly Market Outlook

    While most everyone knows last week was a good one for the market, it may not be clear just how eventful it really was.  The S&P 500's (SPX) (SPY) 2.0% gain last week carried the index to record highs and a record high close. On the surface it's technically bullish, so we'll take the clue at face value.  We'll also point out, however, most of the recent surges like last week's ended up turning tail pretty quickly.  We'll still need to keep things on a short leash until this breakout[...]

  • Market News | Technical Analysis & Charts | Education | Feb 13, 2015, 1:45 PM

    Weekly Market Commentary 2.13.15

    Weekly Market Commentary 2.13.15

    The Standard & Poors 500 Index ($SPX) has finally broken out of the 1990-2065 trading range that had contained it for nearly two months. The breakout was not easily achieved, nor is it uniformly confirmed by all of the other indicators, but it is in place. As for support, there should be ample support at 2065 and at several levels below that, all the way to the bottom of the trading range, at 1990. Equity-only put-call ratios rolled over to buy signals a week ago Tuesday. You can see from the[...]

  • Weekly Market Commentary 2.6.15

    Weekly Market Commentary 2.6.15

    The stock market has had a strong week. Even so, $SPX remains within the general confines of the 1990-2065 trading range, on a closing basis. We still await a breakout from that range in order to establish an intermediate-term trend. In something of a surprise, both equity-only put-call ratios rolled over to buy signals after Tuesday's trading this week. The computer programs that we use to monitor these charts were right on top of this new signal. Market breadth has been jumping back[...]