Trade Ideas Archives - CBOE Blogs

  • 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[...]

  • VIX | Trader Talk | Trade Ideas | Jul 29, 2017, 11:32 AM

    Weekend Review of Volatility Indexes and ETPs 7/24/2017 to 7/28/2017

    Weekend Review of Volatility Indexes and ETPs 7/24/2017 to 7/28/2017

    On a week over week basis the S&P 500 was down fractionally.  One would not assume such a small move from SPX when looking at the VXST – VIX – VXV – VXMT curve below.  VXST and VIX made nice moves to the upside while the longer end of the curve moved up a bit less resulting in a slight flattening of the curve.  The long funds that focus on the first and second month futures were up slightly while the short funds were down slightly.  SKEW and VVIX both[...]

  • VIX | Trader Talk | Trade Ideas | Jul 29, 2017, 9:11 AM

    Weekend Review of VIX Futures and Options 7/24/2017 - 7/28/2017

    Weekend Review of VIX Futures and Options 7/24/2017 - 7/28/2017

    This past week is one of those weeks where those new to VIX futures get a lesson in price behavior and the lack of fair value that exists between the futures and the spot index.  VIX rose almost 10% on the week, the August contract was unchanged and the rest of the curve actually moved lower.  The curve had been steep and the result was futures not budging too much when VIX got moving to the upside.  As we enter the last five months of the year I would like to highlight where we[...]

  • VIX | Trader Talk | Trade Ideas | Jul 22, 2017, 3:10 PM

    Weekend Review of Volatility Indexes and ETPs - 07/17/2017 - 7/21/2017

    Weekend Review of Volatility Indexes and ETPs - 07/17/2017 - 7/21/2017

    VIX finished the week just off all-time lows and the VXST - VIX - VXV - VXMT curve shifted lower.  This is a result of realized volatility for S&P 500 price action remaining low and there not appearing to be any speed bumps on the horizon for the financial markets.  VVIX dipped below 80.00 to finish the week and TYVIX is near all-time lows despite there being an FOMC meeting this Wednesday.  The long funds continue to suffer (discussed a little more shortly) and the short funds[...]

  • Market News | Trader Talk | Trade Ideas | Jul 22, 2017, 3:01 PM

    Weekend Review of Russell 2000 Options and Volatility - 7/17/2017 - 7/21/2017

    Weekend Review of Russell 2000 Options and Volatility - 7/17/2017 - 7/21/2017

    Small and large cap index finished the week in what I will call a statistical tie up about 0.5%.  For the year the Russell 1000 (RUI) is now up over 10% while the Russell 2000 has gained a respectable 5.8% in 2017.  We are early in the 3rd quarter of the year, but so far RUI is up 1.98% versus RUT 1.45%.  With VIX so low the CBOE Russell 2000 Volatility (RVX) premium to VIX has popped up a bit.  I’m attributing more to low VIX than high small cap volatility.  It[...]

  • VIX | Trader Talk | Trade Ideas | Jul 21, 2017, 6:54 PM

    Weekend Review of VIX Futures and Options - 7/17/2017 - 7/21/2017

    Weekend Review of VIX Futures and Options - 7/17/2017 - 7/21/2017

    VIX closed Friday a tad shy of an all-time low while the S&P 500 continues to push higher having gained just over ½ a percent last week.  The curve below does appear steep, but the context of VIX being so low should be taken into account. One trader came into the VIX pit mid-day on Friday with what could be considered a massive trade.  With VIX at 9.76 and the standard October contract at 13.70 someone came in with a three-leg bullish trade on VIX.  They sold 262,441 VIX[...]

  • Trader Talk | Trade Ideas | Jul 20, 2017, 3:31 PM

    What's Trading Now? EBAY Bull Put Spread Into Earnings

    What's Trading Now?  EBAY Bull Put Spread Into Earnings

    Other trades of note: Health Care Select Sector SPDR ETF (XLV) at 80.94, a Bear Put Spread traded 1,430 times. The trader bought the Sept 15th 80/74 spread paying .85. iShares MSCI EAFE ETF (EFA) at 66.77, a Bull Put Spread traded 4,684 times. The trader sold the Sept 15th 64/61 spread for a credit of .16. Energy Transfer Equity, L.P. (ETE) at 18.20, a Risk Reversal traded 2,000 times. The trader sold the Oct 20th 18 Puts and bought the Oct 20th 19 Calls collecting .46. Russell 2000 Index[...]

  • Market News | VIX | Trader Talk | Trade Ideas | Jul 16, 2017, 10:27 AM

    Weekend Review of Russell 2000 Options and Volatility - 7/10/2017 - 7/14/2017

    Weekend Review of Russell 2000 Options and Volatility - 7/10/2017 - 7/14/2017

    Stocks had a nice week with many indexes achieving all-time highs.  Small cap stocks in the form of the Russell 2000 (RUT) gained 0.92%, but this rise was outpaced by the Russell 1000 (RUI) which was up 1.4% for the week.  Lately I’ve been fixated on the relationship between the CBOE Russell 2000 Volatility Index (RVX) and VIX.  The RVX premium had been shrinking which led me to think a resurgence in relative performance for small caps was on the horizon.  This trend reversed[...]

  • VIX | Trader Talk | Trade Ideas | Jul 16, 2017, 10:24 AM

    Weekend Review of VIX Options and Futures - 7/10/2017 - 7/14/2017

    Weekend Review of VIX Options and Futures - 7/10/2017 - 7/14/2017

    VIX finished the week at the lowest close since 1993, but the two lower closes came during a holiday week so I’m considering consulting with other VIX watchers with respect to if this is basically an all-time low.  Note the dramatic move in the July contract that goes off the board on the open Monday. The most exciting activity we got from VIX came around lunchtime on Tuesday.  Many traders may have miss VIX running to the mid-11’s and the July contract trading around 12.50. [...]

  • VIX | Trader Talk | Trade Ideas | Jul 16, 2017, 8:54 AM

    Weekend Review of Volatility Indexes and ETPs - 7/10/2017 - 7/14/2017

    Weekend Review of Volatility Indexes and ETPs - 7/10/2017 - 7/14/2017

    We only have data going back to the 2007 – 2008 period for the non-VIX SPX related indexes on the diagram below.  VXST, VXV, and VXMT all made all-time lows, based on the history we have to work with, on the close Friday.  VIX closing at 9.51 was the third lowest on record.  However, the two instances of lower closing prices for VIX occurred on December 22nd and 23rd of 1993 (9.38 and 9.41).  In December 1993, the 24th was a market holiday as Christmas fell on the 25th. [...]

  • Market News | Trader Talk | Trade Ideas | Jul 8, 2017, 10:54 AM

    Weekend Review of Russell 2000 Options and Volatility - 7/3/2017 - 7/7/2017

    Weekend Review of Russell 2000 Options and Volatility - 7/3/2017 - 7/7/2017

    Small and large cap stocks finished week in what I will call a statistical tie performance wise.  The Russell 1000 (RUI) gained 0.02% while the Russell 2000 (RUT) was up 0.03%.  If this were an election RUI supporters would be calling for a recount.  I’m pretty convinced RUT is poised for a period of catching up to RUI and I looked smart on Monday as RUT gained 0.80% to RUI’s 0.25% rise, but with an increase in market volatility RUT fell back in line with RUI. The CBOE[...]

  • VIX | Trader Talk | Trade Ideas | Jul 8, 2017, 10:50 AM

    Weekend Review of VIX Options and Futures - 7/3/2017 - 7/7/2017

    Weekend Review of VIX Options and Futures - 7/3/2017 - 7/7/2017

    One a week over week basis VIX didn’t do very much, rising 0.01.  This did occur after VIX visited the mid-12’s on Thursday.  But like all moves higher in VIX lately, it was a short-lived rally.  What is interesting below is the gain in futures.  A week ago, I was talking about how the curve was in a mini-flatting phase.  However, the futures all moved up a bit more than VIX which may be something we look back at as an early indication that the bull market was[...]

  • VIX | Trader Talk | Trade Ideas | Jul 8, 2017, 10:46 AM

    Weekend Review of Volatility Indexes and ETPs - 7/3/2017 - 7/7/2017

    Weekend Review of Volatility Indexes and ETPs - 7/3/2017 - 7/7/2017

    The short end of the SPX volatility spectrum dropped last week which following a holiday-ish weekend is a little surprising to me.  Maybe getting employment out of the way pushed VXST lower relative to the other indexes.  Also note VXV and VXMT outperformed VIX to the upside.  Take my word on this, VXV often leads VIX and is worth keeping an eye on.  The long funds had a good wee with the unleveraged funds gaining over 2% and the leverage long funds rising by almost 5%. [...]

  • VIX | Trader Talk | Trade Ideas | Jul 2, 2017, 4:01 PM

    Weekend Review of Volatility Indexes and ETPs - 6/26/2017 - 6/30/2017

    Weekend Review of Volatility Indexes and ETPs - 6/26/2017 - 6/30/2017

    I’ve been traveling like a madman on behalf of CBOE in June.  I try my best to keep up with the markets when I’m out and about, but sometimes the catch up occurs outside of real time.  This weekend is one of those catch up weekends.  I was aware of the VIX move over 15.00 (who wasn’t?) and that VIX was a bit higher than it had been for most of 2017 to finish the week.  What surprised me was the level of VXST on Friday. VXST is a measure of 9-day volatility expectations[...]