Trade Ideas Archives - CBOE Blogs

  • VIX | Trader Talk | Trade Ideas | Oct 21, 2017, 1:17 PM

    Weekend Review of VIX Futures and Options - 10/16/2017 - 10/20/2017

    Weekend Review of VIX Futures and Options - 10/16/2017 - 10/20/2017

    VIX was higher last week, despite the S&P 500 hitting a record high for five days in a row.  At low levels this sort of divergence between VIX and the S&P 500 isn’t usually much of a big deal.  But I wonder if there may be more significance since VIX under 10 has become a bit more of a norm.  I love going through time and sale to see what sort of trading has been going on in VIX options and it’s a bonus when I find a trade structure that’s uncommon. [...]

  • VIX | Trader Talk | Trade Ideas | Oct 18, 2017, 7:57 PM

    Block Trade Analysis - VIX Ratio Risk Reversal

    Block Trade Analysis - VIX Ratio Risk Reversal

    Today when I was searching for trades to discuss on Volatility 411 I came across a pretty interesting one that was structured a little different than the normal risk reversal.  With VIX around 10.18 and the November futures at 11.65 someone came in and sold 1500 VIX Nov 12 Puts for 1.37 and purchased 3000 VIX Nov 15 Calls for 0.59 and a net credit of 0.19.  The payoff below assumes the trade is held to expiration, but if there is some sort of volatility event between now and then I[...]

  • VIX | Trader Talk | Trade Ideas | Oct 15, 2017, 9:15 AM

    Weekend Review of VIX Options and Futures - 10/9/2017 - 10/13/2017

    Weekend Review of VIX Options and Futures - 10/9/2017 - 10/13/2017

    On a week over week basis VIX hardly budged, but we did have a couple of days with closes over 10.00 both Monday and Tuesday.  In fact, we would have had a double digit VIX highs each day if it weren’t for Friday’s price action falling short by 0.02.  The curve moved lower than VIX as October played catch up with VIX going into this week’s settlement.  Worth noting is the volatility of VIX options.  Specifically, the level of VVIX, which ticked higher last[...]

  • VIX | Trader Talk | Strategy | Trade Ideas | Oct 14, 2017, 11:45 AM

    Weekend Review of Volatility Indexes and ETPs - 10/9/2017 - 10/13/2017

    Weekend Review of Volatility Indexes and ETPs - 10/9/2017 - 10/13/2017

    There are lots of articles floating around discussing the lack of volatility in the markets along with the low level of VIX.  It’s reaching a point where we don’t have much else to say and are just waiting for a change of scenery.  With all that going on, the four volatility indexes based on SPX option pricing remained low and on average were basically unchanged last week.  There is a single data point standing out on the table below.  That is VVIX in the upper 90’s. [...]

  • Technical Analysis & Charts | VIX | Trader Talk | Trade Ideas | Oct 14, 2017, 11:40 AM

    Weekend Review of Russell 2000 Options and Volatility - 10/9/2017 - 10/13/2017

    Weekend Review of Russell 2000 Options and Volatility - 10/9/2017 - 10/13/2017

    The recent dominance of small cap stocks came to an end as the Russell 2000 (RUT) dropped just over 0.5% while the Russell 1000 (RUI) gained 0.13%.  That places RUI at a performance advantage of just over 3.25% for 2017.  The volatility indexes based on large cap (VIX) and small cap indexes (Russell 2000 Volatility Index – RVX) reflect the extra risk that showed up in the underperformance of RUT.  Note the spike down in mid-September on the chart below that was followed[...]

  • VIX | Trader Talk | Trade Ideas | Oct 7, 2017, 11:15 AM

    Weekend Review of VIX Futures and Options - 10/2/2017 - 10/6/2017

    Weekend Review of VIX Futures and Options - 10/2/2017 - 10/6/2017

    Despite closing at an all-time low on Thursday and the S&P 500 gaining over 1% last week, VIX was slightly higher when the dust settled Friday.  The same cannot be said for the VIX futures curve where all contracts lost value last week.  It should be noted that despite the low level (or because of the low level of VIX), VVIX close just shy of 100 last week.  VIX Weeklys continue to become a bigger part of the VIX story with non-standard expirations continuing to experience volume[...]

  • VIX | Trader Talk | Trade Ideas | Oct 7, 2017, 10:41 AM

    Weekend Review of Volatility Indexes and ETPs - 10/2/2017 - 10/6/2017

    Weekend Review of Volatility Indexes and ETPs - 10/2/2017 - 10/6/2017

    The VXST – VIX – VIXM3 – VXMT curve was mixed with VIX rising but the other three S&P 500 related volatility indexes lower on the week. On the summary table, SKEW and VVIX stand out as indications that risk is lurking around the markets.  As a perspective, we have SKEW data going back to 1990 and Friday’s close places the index higher than 99.11% of all observations.  The long-term average (going back to 2007) for VVIX is 87.71, which places Friday’s[...]

  • VIX | Trader Talk | Trade Ideas | Oct 7, 2017, 9:40 AM

    Weekend Review of Russell 2000 Options and Volatility - 10/2/2017 - 10/6/2017

    Weekend Review of Russell 2000 Options and Volatility - 10/2/2017 - 10/6/2017

    Both the Russell 2000 (RUT) and Russell 1000 (RUI) had a solid week with both rising about 1.3%.  Small caps still lag large cap stocks, but since the summer RUT has been slowly chipping away at the lead held but the Russell 1000. After a dip to the lowest levels in 2017, which was then followed by a couple of weeks of small cap outperformance, the relationship between the CBOE Russell 2000 Volatility index (RVX) and VIX has returned to the elevated levels that have been common this year. [...]

  • Market News | VIX | Trader Talk | Trade Ideas | Oct 1, 2017, 10:20 AM

    Weekend Review of VIX Futures and Options - 9/25/2017 - 9/29/2017

    Weekend Review of VIX Futures and Options - 9/25/2017 - 9/29/2017

    VIX remains at low levels and the curve continues to be steep as the volatility markets appear to be braced for ‘something’.  That something is probably an unknown unknown that will shock some very complacent markets.  An interesting VIX trade caught my eye on Friday as it were a little different than most of the trades I’ve come across.  First the trade details and then a little color about that trade.  Friday morning, with VIX around 9.50, there was a buyer[...]

  • VIX | Trader Talk | Futures | Trade Ideas | Oct 1, 2017, 9:03 AM

    Weekend Review of Volatility Indexes and ETPs - 9/25/2017 - 9/29/2017

    Weekend Review of Volatility Indexes and ETPs - 9/25/2017 - 9/29/2017

    The S&P 500 continues to power higher finishing the week (and 3rd quarter) at an all-time high.  The price action last week pushed all the SPX related volatility indexes lower, but not by much.  All were already low and testing levels that have been pretty much a floor before the week commenced.  The long VIX related ETPs reacted as would be expected with VIX hovering in single digits last week with VXX down about 5% and UVXY losing just under 10% on the week.  For the[...]

  • Market News | VIX | Trader Talk | Trade Ideas | Sep 30, 2017, 9:02 AM

    Weekend Review of Russell 2000 Options and Volatility - 9/25/2017 - 9/29/2017

    Weekend Review of Russell 2000 Options and Volatility - 9/25/2017 - 9/29/2017

    Small cap stocks still lag, but the Russell 2000 (RUT) made quite a run over the past couple of weeks and is now up 9.85% on the year compared to 12.5% for the Russell 1000 (RUI).  Friday was the end of the third quarter and with the late quarter move RUT ended up 5.33% higher while RUI gained 3.97%.  The relationship between the CBOE Russell 2000 Volatility Index (RVX) and VIX visited 2017 lows over the past couple of weeks as small cap stocks outperformed large caps.  Despite the[...]

  • Market News | VIX | Trader Talk | Trade Ideas | Sep 25, 2017, 4:57 PM

    Block Trade Analysis - VIX Roll Trade

    Block Trade Analysis - VIX Roll Trade

    Back in the day, when I was a lad in Junior High School, the Dead Kennedys remade the theme to the TV show Rawhide.  The song begins, “Rollin’ rollin’ rollin’”, which is the ear worm I get when I see a trade like we had in the VIX pit today.  Specifically, an October spread that got put on in July was rolled out to December.    The first part of the story begins on Friday July 21st when a trader initiated a spread that sold 1 VIX Oct 12 Put for 0.75,[...]

  • VIX | Trader Talk | Education | Futures | Strategy | Trade Ideas | Sep 16, 2017, 5:15 AM

    Weekend Review of VIX Futures and Options - 9/11/2017 - 9/15/2017

    Weekend Review of VIX Futures and Options - 9/11/2017 - 9/15/2017

    VIX threatened to close the week with a 9 handle, but managed to stay out of single digit territory.  Spot VIX was down over 16% and the standard September futures contract which goes off the board on the open Wednesday was down 16% as well.  There’s still a premium of 0.95 between spot and September VIX, but the gap that has persisted until recently is closing.  October, which will take over as the front month, remains at a premium of about 1.75.  Friday was fairly quiet,[...]

  • Weekend Review of Russell 2000 Options and Volatility - 9/11/2017 - 9/15/2017

    Weekend Review of Russell 2000 Options and Volatility - 9/11/2017 - 9/15/2017

    Small cap stocks had a great week last week with the Russell 2000 (RUT) rising 2.25% which the large cap focused Russell 1000 (RUI) was up about 1.6%.  For the year RUI still has just over a 6% lead on RUT. Small cap volatility as measured by the CBOE Russell 2000 Volatility Index (RVX) has spent most of 2017 at a historically high premium relative to large cap volatility, best depicted by VIX.  The chart below shows RVX basically crashing to the lowest levels seen in 2017 last week. [...]

  • Market News | Trader Talk | Trade Ideas | Jul 29, 2017, 11:36 AM

    Weekend Review of Russell 2000 Options and Volatility 7/24/2017 - 7/28/2017

    Weekend Review of Russell 2000 Options and Volatility 7/24/2017 - 7/28/2017

    Large cap stocks held up better than small caps last week and the Russell 1000 (RUI) is now outperforming the Russell 2000 (RUT) by just about 1.00% for the third quarter.  I had high hopes for small cap stocks in the second half of 2017, but those hopes are starting to fade.   The CBOE Russell 2000 (RVX) premium to VIX topped 50% for the first time since early June.  My excuse for the higher RVX to VIX relationship has been blamed on VIX, but with VIX rising a bit next week I have[...]