Trade Ideas Archives - Cboe Blogs

  • Market News | VIX | Trader Talk | Trade Ideas | Dec 11, 2016, 9:03 AM

    Weekend Review - Volatility Indexes and ETPs - 12/5 - 12/9

    Weekend Review - Volatility Indexes and ETPs - 12/5 - 12/9

    With the continuation of the election related equity market rally comes even lower SPX option implied volatility.  The curve shifted lower across the board, but do note the angle steepens a bit between VIX and VXV with VXV representing IV into 2017. The performance table lives up to expectations after a week where the S&P 500 rose 3%.  A couple of things that are worth note.  VVIX remains at relatively high levels despite VIX being under pressure.  SKEW finished the week[...]

  • Market News | VIX | Trader Talk | Trade Ideas | Election & VIX | 2016 Recap | Dec 10, 2016, 1:56 PM

    Weekend Review - VIX Options and Futures - 12/5 - 12/9

    Weekend Review - VIX Options and Futures - 12/5 - 12/9

    VIX is experiencing some seasonal pressure despite the looming FOMC meeting (and expected rate hike) this Wednesday.  VIX finished the week with an 11 handle at 11.75.  Without the final known unknown market event of 2016 coming up next week one can only wonder where VIX would be.  The curve is steep, but that rise doesn’t really kick in until next year when the uncertainty of political change in Washington DC is probably hovering over the equity markets. Things[...]

  • Market News | VIX | Trader Talk | Trade Ideas | Dec 10, 2016, 9:36 AM

    Weekend Review - Russell 2000 Options and Volatility - 12/5 - 12/9

    Weekend Review - Russell 2000 Options and Volatility - 12/5 - 12/9

    The out performance of small cap stocks in the form of the Russell 2000 (RUT) relative to large cap stocks which is best represented with the Russell 1000 (RUI) has been nothing short of astonishing.  Last week RUT was up over 6% while RUI gained just over 3%.  For the year, RUT is up over 22% and RUI is up almost 11%. Breaking down the performance difference a little more starts with a look at relative performance since election day.  RUT is up 16.1% and RUI is up 5.9%. [...]

  • Market News | Trader Talk | Strategy | Trade Ideas | Dec 8, 2016, 1:11 PM

    Block Trade Analysis - Buyer of 250,000 XLF Jan 20th 25 Calls

    Block Trade Analysis - Buyer of 250,000 XLF Jan 20th 25 Calls

    All of equity market sectors the financial sector seems to have benefited the most since Donald Trump was elected President back on November 8th.  Note on the price chart below that as of mid-day today the Financial Select Sector SPDR Fund (XLF) is up about 19% since election day. Apparently one trader expects this bull run for XLF to continue into the new year.  This morning, less than 90 minutes into the trading day, there was a buyer of 250,000 XLF Jan 20th 25 Calls for 0.13. [...]

  • Market News | Trader Talk | Trade Ideas | Dec 6, 2016, 7:48 AM

    Block Trade Analysis - TOL Earnings Trade

    Block Trade Analysis - TOL Earnings Trade

    As I write this Toll Brothers (TOL) is trading up 0.73 to 31.20.  The company reported earnings this morning.  I scrambled to find a trade that called the direction of this earnings reaction from yesterday and didn’t have to look to hard.  With just under half an hour to the close and TOL trading at 30.47 someone came in and sold several hundred TOL Dec 9th 29.50 Puts for 0.50 and purchased the TOL Dec 9th 27.00 Puts for 0.15 netting a credit of 0.35 per spread.  The payoff[...]

  • VIX | Trader Talk | Trade Ideas | Dec 5, 2016, 3:42 PM

    Block Trade Analysis - Long Dec VIX Put

    Block Trade Analysis - Long Dec VIX Put

    Buying a single option is not the most exotic trade, but it can be interesting, especially when it involves buying a VIX option.  This morning, with VIX at 12.75 and the December VIX futures trading at 13.95 there was a buyer of 12,000 VIX Dec 21st 14.00 Puts for 1.10.  A payout at expiration on the morning of the 21st appears below.  Note the VIX futures and spot VIX levels when the trade was executed are highlighted on the diagram. Both the futures and spot index finished the day[...]

  • VIX | Trader Talk | Trade Ideas | Dec 5, 2016, 12:17 PM

    Whistling Over the Bridge

    Whistling Over the Bridge

    At my last writing I had taken an accounting-sheet loss by simply exchanging one security for a comparable one and then selling some options against that position with the intention of bringing in some extra return on that position.  Refresher: Converted to: (shown after just a few minutes as the position immediately resumed producing red ink): Well, what happened to those during the earthquake that was election night and the days leading up to it?  I said I'd report back on my bag of[...]

  • Market News | VIX | Trader Talk | Trade Ideas | Dec 4, 2016, 11:09 AM

    Weekend Review - Russell 2000 Options and Volatility - 11/28 - 12/2

    Weekend Review - Russell 2000 Options and Volatility - 11/28 - 12/2

    The Russell 2000 (RUT) took a rest for dominating the Russell 1000 (RUI) last week.  Neither index RUT dropped 2.8% while RUI was down about 1.1%.  Since the election the Russell 2000 had gone a bit parabolic, something we don’t often see from broad based indexes.  As of Friday RUT is up 15.7% while RUI is up 7.5% for 2016. The chart below breaks down performance for both RUI and RUT since the election.  Despite the tough week RUT is up 10.0% since November[...]

  • Market News | VIX | Trader Talk | Strategy | Trade Ideas | Dec 4, 2016, 5:05 AM

    Weekend Review - VIX Options and Futures - 11/28 - 12/2

    Weekend Review - VIX Options and Futures - 11/28 - 12/2

    VIX gained over 14% last week as volatility rose in reaction to a 1% drop in the S&P 500.  It is hard to quantify, but I’m thinking that a part of the rise is VIX can be attributed to the vote going on in Italy this weekend.  Note that the curve shift was not exactly uniform and the futures lagged the move in the index.  Barring a volatility spike in reaction to this weekend or some other unforeseen market moving event, I would not be surprised to see the VIX curve return[...]

  • VIX | Trader Talk | Education | Trade Ideas | Dec 1, 2016, 2:59 AM

    Volatility Panel Discussion at CBOE RMC

    Volatility Panel Discussion at CBOE RMC

    The final session at the 2nd Annual CBOE RMC Asia featured a panel discussion hosted by Steven Sears from Barrons.  The participants were: David Dredge from City Financial Investment Company Pte Ltd Richard Johnston from Albourne Partners (Asia) Limited Benoit Meulot from Nine Masts Capital Limited Laurent Poirot from GF Asset Management Some highlighted quotes from the panel – “For long volatility strategies you have to have some sort of management plan” “There is[...]

  • VIX | Trader Talk | Education | Strategy | Trade Ideas | Dec 1, 2016, 2:47 AM

    Long Volatility Discussion at CBOE RMC

    Long Volatility Discussion at CBOE RMC

    Govert Heijboer from True Partner Advisor and James Murray from NSW Treasury Corporation split the duties for a discussion titled Implementing Long Volatility Exposures for Hedging and Alpha today in Hong Kong. Murray led off by discussing risk management and the objectives of long volatility risk management strategies.  He noted that there is no free lunch when getting long volatility exposure and strategies are a trade-off between convexity, timing, basis and time decay.  A final thought[...]

  • VIX | Trader Talk | Education | Trade Ideas | Dec 1, 2016, 12:02 AM

    Short Volatility Strategies Discussed at CBOE RMC

    Short Volatility Strategies Discussed at CBOE RMC

    Tanuj Dutt, CFA from Nikko Asset Management and Selim Piot from Barclays Capital teamed up to deliver a session on Implementing Short Volatility Strategies at the 2nd Annual CBOE RMC in Hong Kong today. Piot led things off by discussing how short volatility strategies may be implemented.  He noted the diversification benefits of substituting a part of equity risk with short volatility exposure and followed that thought stating that a portfolio of short volatility across regions and different[...]

  • VIX | Trader Talk | Education | Trade Ideas | Nov 30, 2016, 11:32 PM

    Discussion of Market Dislocations at RMC Asia

    Discussion of Market Dislocations at RMC Asia

    The keynote speaker this morning for the 2nd Annual Risk Management Conference Asia was Rebecca Cheong who is Head of Americas Equity Derivatives Strategy for UBS Securities.  She also grew up in Hong Kong so this was a special treat for her as well as the attendees. Rebecca’s presentation was titled Cross-Asset Dislocations and Market Signal.  She started out discussing the difference between a true Cross-Asset Dislocation and a Temporary Dislocation.  A Temporary Dislocation[...]

  • Market News | Education | Strategy | Trade Ideas | Nov 30, 2016, 1:12 AM

    Wide Variety of CBOE Benchmark Indexes Discussed at RMC

    Wide Variety of CBOE Benchmark Indexes Discussed at RMC

    Matt Moran and Bruce Traan, both from CBOE, delivered the second session at this year’s CBOE Risk Management Conference in Hong Kong.  Bruce kicked things off with a discussion titled “New Developments in Options and Volatility-Based Benchmarks”.  Matt followed with “Options and Volatility Based Benchmark Indexes”. Bruce noted that demand for passive investing is growing and smart-beta is the fastest growing segment of passive investing.  He highlighted[...]

  • Trader Talk | Education | Strategy | Trade Ideas | Nov 29, 2016, 11:49 PM

    Dan Passarelli Discusses Getting a Volatility Edge

    Dan Passarelli Discusses Getting a Volatility Edge

    The first presentation at the 2nd Annual Asian version of CBOE’s Risk Management Conference featured an informative tutorial from Dan Passarelli of Market Taker Mentoring.  Dan’s talk was titled Directional Options Strategies and Trade Management. He kicked things off with a quick review of the option greeks and then dove into directional strategies.  He emphasized that trades can start with a directional outlook, but there are other factors that come into play with respect[...]