Trade Ideas Archives - Cboe Blogs

  • VIX | Trader Talk | Trade Ideas | Election & VIX | 2016 Recap | Nov 5, 2016, 7:09 PM

    Volatility History Lesson - The 2012 Election

    Volatility History Lesson - The 2012 Election

    I’ve been getting lots of questions with respect to how volatility acts around US elections.  We don’t have a lot of history to work with, but we do have data on how the four volatility indexes based on SPX option trading did four years ago.  I did a little digging and reconstructed the VXST – VIX – VXV – VXMT curves from the Friday before and Friday after the 2012 election. The pre-election curve was slightly inverted with VXST at a premium to spot VIX.  [...]

  • Market News | VIX | Trader Talk | Trade Ideas | Nov 5, 2016, 8:00 AM

    Weekend Review - Russell 2000 Options and Volatility - 10/31 - 11/4

    Weekend Review - Russell 2000 Options and Volatility - 10/31 - 11/4

    It’s a stretch, but the race to the end of 2017 is shaping up like the most recent World Series that captivated my home town.  Early this year the Russell 1000 (RUI) dominated performance, then it looked like the Russell 2000 was going to run away with the out performance crown.  Suddenly, a couple of weeks ago, RUI got a second wind and is making a run at RUT.  Last week RUI closed the gap a tad losing 1.92% while RUT was down 2.08%.  For the year RUT is up 2.43% and RUI[...]

  • VIX | Trader Talk | Trade Ideas | Election & VIX | 2016 Recap | Nov 4, 2016, 8:47 AM

    Now Even Long Term Volatility is Reacting to the Election

    Now Even Long Term Volatility is Reacting to the Election

    A bonus with respect to the Cubs pulling off what we all thought was impossible has been a distraction from the political process we have all been enduring.  Before bringing everyone back to reality I want to throw an interesting thought out there.  If three years ago someone had said the Cubs will win the World Series and less than a week later Donald Trump would be elected President of the United States, you would think they were referring to a subplot in Back to the Future IV. We know[...]

  • Market News | VIX | Trader Talk | Trade Ideas | Election & VIX | 2016 Recap | Nov 1, 2016, 4:16 PM

    Volatility and the Election Update

    Volatility and the Election Update

    Usually by this time in the election season we have a pretty good idea of who is going to win the election.  However, like everything associated with this election, it is different this time.  Things changed on a dime late last week and I'm having a hard time figuring out what to highlight with respect to the volatility markets.  So forgive me if I miss a thing or two here... Last Monday I showed the chart below and highlighted that implied volatility for SPX options expiring just[...]

  • VIX | Trader Talk | Trade Ideas | Election & VIX | 2016 Recap | Nov 1, 2016, 9:01 AM

    The Election and Market Sector Volatility Part 2

    The Election and Market Sector Volatility Part 2

    Update - I expanded on the information below in this video after writing this blog earlier today. LimelightPlayerUtil.initEmbed('limelight_player_532992'); So, last week I looked at the implied volatility of various option markets that expired just before and just after next week’s election.  You can read all about that here.  Of course, as we all know, things changed a bit last Friday.  When things change, I start running numbers.  First I updated the table from last week[...]

  • VIX | Trader Talk | Trade Ideas | Oct 31, 2016, 7:04 PM

    Trick Now, Treat Later

    Trick Now, Treat Later

    After having a pretty good week shorting anything with a ticker (no, not really - just a few select names) and getting away with it, I got caught with my shorts up on Friday afternoon.  Who can predict green ticks higher than the Empire State Building that materialize while you're waiting by the microwave for coffee to warm?  So I decided to transmogrify the offending position into a Frankenstein's monster of sorts, fitting for the candy festival otherwise known as October 31st. I booked[...]

  • VIX | Trader Talk | Trade Ideas | Election & VIX | Oct 30, 2016, 12:36 PM

    Weekend Review - Volatility Indexes and ETPs - 10/24 - 10/28

    Weekend Review - Volatility Indexes and ETPs - 10/24 - 10/28

    As a good number, but not all (some of us are White Sox fans) of the traders on the floor at CBOE were starting to think about where they were going to be that evening to watch Game 3 of the World Series, some news broke that shook the equity markets.  I don’t need to regurgitate all that here.  In fact, regurgitate is a good word to describe the election process this year. The curve below is partially a result of the uncertainty around the election, but also reflects a relationship[...]

  • Market News | VIX | Trader Talk | Trade Ideas | Oct 29, 2016, 1:49 PM

    Weekend Review - Russell 2000 Options and Volatility - 10/24 - 10/28

    Weekend Review - Russell 2000 Options and Volatility - 10/24 - 10/28

    Last week the Russell 2000 (RUT) took it on the chin dropping 2.6% while the large cap focused Russell 1000 (RUI) was down only 0.80%.  For the year RUT still has a small lead, up 4.55% versus up 3.98%, but that could quickly disappear next week. The volatility spike that came Friday afternoon did what most surprising events do to the relationship between the Russell 2000 Volatility Index (RVX) and VIX.  The ratio dropped, but is still above average for 2016. The week ended[...]

  • Market News | VIX | Trader Talk | Trade Ideas | Election & VIX | Oct 29, 2016, 9:08 AM

    VVIX Index Spikes 21% on News of Federal Investigation

    VVIX Index Spikes 21% on News of Federal Investigation

    OCT. 28 – On Friday afternoon a news story at wsj.com<http://blogs.wsj.com/moneybeat/2016/10/28/markets-rattled-by-fresh-fbi-review-of-clinton-email/?mod=djemalertMARKET> noted that – “Worries about a surprise election outcome resurfaced anew in financial markets on Friday afternoon after the Federal Bureau of Investigation uncovered new evidence in its investigation of Democratic presidential candidate Hillary Clinton‘s email server. … The news sent ripples through[...]

  • Trade Ideas | Oct 28, 2016, 2:35 PM

    Admiral SPO Delivers Another Over Night Winner

    Admiral SPO Delivers Another Over Night Winner

    On Monday, October 24, Admiral sent out a call spread on Lockheed Martin in anticipation of a bullish Earnings Report due PreMarket on October 25. The DEC 240/245 call spread was filled @ $1.24. Lockheed Martin announced 3rd Quarter Profit earnings of $3.61 per share on Revenue of $11.6 Billion and easily beat the estimates. Being in profit with more than 150%, Admiral had  the order ready to sell at the open, which was filled @ $3.10, not bad for a one day trade.  As for Maury,[...]

  • Market News | Trader Talk | Trade Ideas | Oct 28, 2016, 9:39 AM

    Block Trade Analysis - HSY Earnings Trade

    Block Trade Analysis - HSY Earnings Trade

    In honor of National Chocolate Day, The Hershey Company (HSY) released what must be considered a sweet earnings report for investors.  As I write this the stock is at 100.50 up 4.99 or just over 5% on the day.  I decided in honor of the 'holiday' and HSY’s great results that I would go looking for a trade that correctly anticipated today’s rise in shares. Early Thursday, with HSY trading around 96.75 there was a buyer of the HSY Oct 28th 99.50 Calls in several lots at prices[...]

  • VIX | Trader Talk | Trade Ideas | Election & VIX | Oct 26, 2016, 10:47 AM

    Analyzing Equity Market Sector Risk and the Election

    Analyzing Equity Market Sector Risk and the Election

    So, what do Mexico and the Biotech industry have in common?  They both seem to be braced for excess volatility following the US Presidential election.  Before jumping into all that I’ll explain the table that sums all this up. A couple of days ago I posted a blog showing that SPX option implied volatility jumped about 2 points when comparing at the money options.   Our friends at CBOE LiveVol calculates ATM implied volatility for all option markets.  Using that information[...]

  • Technical Analysis & Charts | Trade Ideas | Oct 25, 2016, 1:59 PM

    Probing the Buy Side of VOD

    Probing the Buy Side of VOD

    One pattern that I notice all the time when using Fibonacci ratios, is that many moves tend to terminate at extensions of prior swings.  I'm starting to get interested in VOD due to this pattern.  Not only are we seeing some key extensions on this chart which are illustrated with the "green lines", but we are also seeing a nice overlap with many other Fibonacci price relationships.  There are two zones that stand out in particular and the first one is being tested right here[...]

  • Strategy | Trade Ideas | Oct 24, 2016, 9:10 AM

    Admiral SPO Puts his Mark on Microsoft

    Admiral SPO Puts his Mark on Microsoft

    Maury, Maury, Maury! Admiral SPO Puts his Mark on Microsoft. Knowing Maury’s thirst for shekels and his motto of "the best things in life are FREE" the Admiral launched a timely pre-earnings trade, a call time back spread. Maury, known for his Pavlovian behavior jumped in!  On Thursday, October 20th, the day Microsoft earnings were scheduled to come out after the bell, one day prior to OCT options expiration Admiral sent out the mother of all Maury trades at 2:56 PM CT: Sell[...]

  • Market News | VIX | Trader Talk | Trade Ideas | Oct 23, 2016, 8:04 AM

    Weekend Review - Volatility Indexes and ETPs - 10/17 - 10/21

    Weekend Review - Volatility Indexes and ETPs - 10/17 - 10/21

    In a bear market we refer to market bounces as ‘relief rallies’.  The drop in volatility last week may be attributed to some sort of relief, whether with respect to expectations around the coming election or that a good part of earnings season has passed without any catastrophic results.  Whatever the reason the curve moved lower as the S&P moved up slightly and the shape is a little less steep. The long volatility funds had a tough time last week with VXX losing[...]