Trade Ideas Archives - CBOE Blogs

  • Market News | Trader Talk | Trade Ideas | Jun 13, 2016, 11:10 AM

    #Brexit Update from Social Market Analytics

    #Brexit Update from Social Market Analytics

    Over the weekend I noticed the headlines regarding Brexit.  It appears the polls are starting to point to a shift in sentiment with respect to Britain exiting the EU. Those leaning toward leaving seem to slightly outnumber those who consider staying in the EU a good idea. To see how the situation looks from a social media standpoint I asked the guys at Social Market Analytics for a quick update. This first graph shows that over the last 24 hours 213,595 tweets have included the hashtag[...]

  • Market News | VIX | Trader Talk | Trade Ideas | Jun 12, 2016, 12:00 PM

    Weekend Review - Russell 2000 Options and Volatility - 6/6 - 6/10

    Weekend Review - Russell 2000 Options and Volatility - 6/6 - 6/10

    Only 5 basis points separate the 2016 performance for the Russell 2000 (RUT) and Russell 1000 (RUI). As of Friday RUI was in the lead, but do note early last week RUT finally surpassed RUI performance for 2016. The CBOE Russell 2000 Volatility Index (RVX) rose last week, as did just about every volatility index CBOE calculates. However, the rise in RVX lagged the rise in VIX on a percentage basis which resulted in a drop in the RVX / VIX premium to the lowest levels since March of this[...]

  • Market News | VIX | Trader Talk | Futures | Trade Ideas | Jun 12, 2016, 10:29 AM

    Weekend Review - VIX Futures and Options - 6/6 - 6/10

    Weekend Review - VIX Futures and Options - 6/6 - 6/10

    June VIX settlement is on the horizon, just two trading days and an overnight to Wednesday’s AM settlement. I mention that as a lead off in this space as I find the June futures at a premium to spot VIX kind of interesting considering VIX rose 26% last week. Admittedly, a 0.50 premium isn’t all that much, but any premium at all makes me think traders are still on edge after the S&P 500 price action last week and now going into two weeks with big known unknowns (FOMC this week[...]

  • Market News | VIX | Trader Talk | Strategy | Trade Ideas | Jun 11, 2016, 12:23 PM

    Weekend Review - Volatility Indexes and ETPs - 6/6 - 6/10

    Weekend Review - Volatility Indexes and ETPs - 6/6 - 6/10

    Last week VIX rose every day which isn’t all that unusual.   What was ground breaking was that VIX rose each of the first three days last week despite the S&P 500 moving up as well. I decided to take a look at what has happened in the past when both the S&P 500 and VIX rise together for three consecutive days. The result, it's not as uncommon as I thought, we've had 17 occurrences of three up together.  However, the last time was in January 2013. VVIX[...]

  • Market News | VIX | Trader Talk | Strategy | Trade Ideas | Jun 9, 2016, 4:34 PM

    Block Trade Analysis - VIX July Ratio Call Spread

    Block Trade Analysis - VIX July Ratio Call Spread

    June VIX futures and options settle next Wednesday on the open so we are starting to see traders look ahead to July standard expiration. Of course those that want to be more strategic can explore the VIX Weeklys, but that is an argument for another blog. This morning, exactly an hour into the trading day there was a buyer of 8,500 VIX Jul 17 Calls at 1.99 who then sold 17,000 VIX Jul 21 Calls for 1.03 each and a net credit of 0.07 per spread. The result is a small credit and a payoff at July expiration[...]

  • Market News | Education | Trade Ideas | Jun 9, 2016, 3:17 PM

    Will the China A-Shares Be Added to the MSCI Emerging Markets Index on June 14?

    Will the China A-Shares Be Added to the MSCI Emerging Markets Index on June 14?

    A key topic for global investors today is whether Chinese A-Shares will be added to the popular MSCI Emerging Markets Index on June 14. A recent news story in the Wall Street Journal noted that -- “MSCI is set to decide this month whether to include in its benchmarks the shares of companies listed on China’s domestic exchanges. U.S. options traders are ramping up bets on the outcome using the biggest exchange-traded fund linked to China. If the MSCI decides to include the stocks, known[...]

  • Market News | Trader Talk | Trade Ideas | Jun 9, 2016, 10:54 AM

    Earnings Next Week - 6/13 - 6/17

    Earnings Next Week - 6/13 - 6/17

    It is a very quiet week for earnings enthusiasts as only three companies with short dated options will be reporting earnings.  As always the data below is based on the last three years of earnings results.  The columns show the biggest rally, biggest drop, average move, and what the stock did last quarter in reaction to earnings.

  • VIX | Trader Talk | Trade Ideas | Jun 7, 2016, 2:41 PM

    Plans are Meant for Re-Planning

    Plans are Meant for Re-Planning

    At my last writing on Tuesday, May 17th, I had just sold to open SVXY 55.50 puts for the May 20th expiration at 1.45 per contract.  My pledge was to stick to my plan and that's what I did:  I let those expire and realized full profit over the weekend when the contract expired worthless to the buyer.  It was rough going, though, with the high, low, and close of SVXY over the intervening days as shown below:   SVXY's closing price on Friday, May 20th was over $55.50,[...]

  • Market News | Trade Ideas | Jun 5, 2016, 2:25 PM

    Earnings Next Week - 6/6 - 6/10

    Earnings Next Week - 6/6 - 6/10

    It is a very quiet week for earnings enthusiasts as only three companies with short dated options will be reporting earnings.  As always the data below is based on the last three years of earnings results.  The columns show the biggest rally, biggest drop, average move, and what the stock did last quarter in reaction to earnings.  

  • Market News | VIX | Trader Talk | Trade Ideas | Jun 5, 2016, 1:55 PM

    Weekend Review - Volatility Indexes and ETPs - 5/31 - 6/3

    Weekend Review - Volatility Indexes and ETPs - 5/31 - 6/3

    The whole curve shifted a bit higher last week. We have to attribute the rise to the three-day weekend effect. At least in the case of VXST and VIX. Typically, VXV and VXMT are not impacted as much as the shorter dated volatility indexes. I might attribute the rise of longer dated volatility to the expected date for the next rate hike being pushed down the road. Despite the rise in VIX last week, the long volatility oriented ETPs were lower on the week. This is a function of the futures[...]

  • VIX | Trader Talk | Trade Ideas | Jun 4, 2016, 5:54 PM

    Weekend Review - VIX Options and Futures - 5/31 - 6/3

    Weekend Review - VIX Options and Futures - 5/31 - 6/3

    The S&P 500 was slightly higher last week and so was VIX, but we put an asterisk next to that number based on the three-day holiday weekend. The futures tell more of the story and as you can see below as with the exception of the February 2017 contract all the futures moved lower. Friday morning the stock market was weak and VIX was higher in reaction to the employment numbers. With VIX at 13.93 and the Jun VIX futures contract at 15.10 someone came in and bought 2500 of the VIX Jun[...]

  • Market News | VIX | Trader Talk | Trade Ideas | Jun 4, 2016, 12:05 PM

    Weekend Review - Russell 2000 Index and Volatility - 5/31 - 6/3

    Weekend Review - Russell 2000 Index and Volatility - 5/31 - 6/3

    The Russell 2000 - How about that??? I hear Mel Allen’s voice as I type that. Small caps went on a relative tear last week with the Russell 2000 (RUT) rising 1.19% last week while the large cap focused Russell 1000 was up 0.10%. This places RUT up 2.49% for 2016, within striking distance of the Russell 1000 which is up 2.73% year to date. More impressive is the relative performance since the lows in February. RUT has rebounded 22.1% off this year’s closing low and RUI is up 15.6% over[...]

  • Market News | VIX | Trader Talk | Trade Ideas | May 29, 2016, 9:26 AM

    Weekend Review - Volatility Indexes and ETPs - 5/23 - 5/27

    Weekend Review - Volatility Indexes and ETPs - 5/23 - 5/27

    The S&P 500 rally along with the three-day weekend effect pushed VXST to finish Friday below 10.00 for the first time since July of last year. The VXST - VIX - VXV - VXMT curve moved lower and steepened a bit based on the calendar and the strength in the market. Looking at the table below it is like several indexes and instruments are playing limbo seeing how low they can go. VXX and the unleveraged long ETPs lost 10% while the leveraged funds gave up almost 20%. Check[...]

  • Market News | VIX | Trader Talk | Trade Ideas | May 28, 2016, 2:41 PM

    Weekend Review - VIX Futures and Options - 5/23 - 5/27

    Weekend Review - VIX Futures and Options - 5/23 - 5/27

    With the strength in stocks last week VIX finished the week just 0.02 higher than the 2016 closing low of 13.10. Always remember that part of the equation on Fridays when looking at VIX performance relates to a weekend impact where the market is closed for two days. This is accentuated when we have a three day holiday weekend so don’t be surprised if VIX rebounds a little on Tuesday regardless of what the stock market is doing. About 20 minutes after the open on Wednesday last week someone[...]

  • Market News | VIX | Trader Talk | Strategy | Trade Ideas | May 28, 2016, 9:18 AM

    Weekend Review - Russell 2000 Index and Volatility - 5/23 - 5/27

    Weekend Review - Russell 2000 Index and Volatility - 5/23 - 5/27

    Small cap stocks continue to show some strength with the Russell 2000 (RUT) beating the Russell 1000 (RUI) for the second week in a row. Is this the beginning of a streak? RUT rose 3.43% last week while the large cap focused RUI gained 2.28%. For the year RUT is now up 1.28%, still lagging RUI which is up 2.63%. The RVX / VIX premium remains at the high end of this year’s range, despite the strong performance from small cap stocks. It may be that the uncertainty about the Fed’s[...]