Trade Ideas Archives - CBOE Blogs

  • Market News | Trader Talk | Education | Futures | Trade Ideas | Mar 2, 2016, 9:13 AM

    CBOE RMC - Using Correlation to Enhance Directional Trading

    CBOE RMC - Using Correlation to Enhance Directional Trading

    // Ryan McRandal, Portfolio Manager from One River Asset Management and Nitin Saksena head of US Equity Derivatives Research at Bank of America Merrill Lynch teamed up for a discussion titled How to Improve Directional Trading Using Correlation Information. Saksena started things off noting that even highly correlated markets may diverge in performance over time.  One example of this is the S&P 500 and Emerging Markets[...]

  • Market News | VIX | Trader Talk | Education | Strategy | Trade Ideas | Mar 1, 2016, 8:30 PM

    CBOE RMC Day 2 Recap

    CBOE RMC Day 2 Recap

    When you attend a conference like CBOE Risk Management you hope to have the opportunity to hear a variety of speakers.  This has always been true for RMC.  However, there are usually market themes that persist from presentation to presentation.  For instance at RMC in Europe a few months ago there was a lot of discussion about the markets moving to a higher volatility regime.  What is interesting about this conference is that the variety of market outlooks matches the variety[...]

  • Market News | VIX | Trader Talk | Education | Futures | Trade Ideas | Mar 1, 2016, 4:07 PM

    Risk Hedging Frameworks: Governance Concerns and Equity Derivative Strategies Discussion at RMC

    Risk Hedging Frameworks:  Governance Concerns and Equity Derivative Strategies Discussion at RMC

    // One of the final presentations during Day 2 of CBOE’s Risk Management Conference teamed up Ari Paul, CFA, Portfolio Manager at The University of Chicago Office of Investments and Rebecca Cheong, Head of Americas Equity Derivatives Strategy, UBS Securities.  They separately discussed aspects related to Risk Hedging Frameworks: Governance Concerns and Equity Derivative Strategies. Paul began listing sources of[...]

  • Market News | VIX | Trader Talk | Education | Trade Ideas | Mar 1, 2016, 2:59 PM

    Equities & Rates: Hybrid Options, Correlation and Risk Management Discussion at CBOE RMC

    Equities & Rates:  Hybrid Options, Correlation and Risk Management Discussion at CBOE RMC

    Rocky Fishman, CFA, Equity Derivatives Strategies from Deutsche Bank Securities and Philip Jones, SVP Quantitative Strategies Capital Markets Solutions, Ameriprise Financial teamed up for a session titled Equities and Rates: Hybrid Options Correlation, and Risk Management. Fishman started out noting that the correlation between interest rates and stocks changed about 15 years ago.  From the early 1960’s through 2000 there was a negative relationship, more recently it has been positive. [...]

  • Market News | Trader Talk | Education | Strategy | Trade Ideas | Feb 29, 2016, 2:18 PM

    The Unknowns about Bond Investing that Equity Options Traders Know

    The Unknowns about Bond Investing that Equity Options Traders Know

    John Marshall, Managing Director, Derivatives and Tactical Research at Goldman Sachs and Zem Sternberg of Lake Hill delivered a joint presentation at CBOE’s Risk Management Conference today in Bonita Springs, FL.  Their very timely talk, considering the uncertainty surrounding the current interest rate environment, was titled The Unknowns about Bond Investing that Equity Options Traders Know. Zem kicked off the presentation saying there are three questions (with answers) that must be addressed[...]

  • Education | Futures | Strategy | Trade Ideas | Feb 29, 2016, 12:39 PM

    Constructing/Deconstructing Volatility Risk Premia Strategies

    Constructing/Deconstructing Volatility Risk Premia Strategies

    LimelightPlayerUtil.initEmbed('limelight_player_969842'); I have to include a personal note - this is the best first presentation I have ever witnessed at a CBOE Risk Management Conference. The first session of the 32nd Annual CBOE Risk Management Conference paired up Mark Shore who is Chief Research Officer from Shore Capital Research as well as an Adjunct Instructor at DePaul University with Roni Israelov, Portfolio Manager from AQR Capital Management.  Their session was titled Constructing[...]

  • Market News | Trader Talk | Strategy | Trade Ideas | Feb 28, 2016, 8:35 PM

    Earnings Next Week - 2/29 - 3/4

    Earnings Next Week - 2/29 - 3/4

    The numbers below represent three years of history with a couple of exceptions which have not been around long enough to provide a full three years of history.  In those cases the data appears in italics.   After the ticker the columns show the biggest gain, biggest drop, average move (non-directional) and stock price reaction last quarter.

  • Market News | Education | Strategy | Trade Ideas | Feb 28, 2016, 2:11 PM

    Bear Market Survival Tactics

    Bear Market Survival Tactics

    There should be no dispute by now that we are in the throes of a vicious bear market.  Oh, sure we can argue stocks are well above where they were back in the financial crisis, and many stocks have not even lost half of those gains.  Yet, current market conditions are such that the prices can go sideways or down for a long period of time.  If that happens, what will/should you do? At times it is okay to sit it out.  I do this frequently, especially after a rough spell. [...]

  • Market News | VIX | Trader Talk | Futures | Trade Ideas | Feb 27, 2016, 12:36 PM

    Weekend Review - VIX Options and Futures - 2/22 - 2/26

    Weekend Review - VIX Options and Futures - 2/22 - 2/26

    For the past few years I’ve struggled with things to write when there has been a parallel shift in the curve.  This week we got the first normal curve change of 2016 so there’s that to say.  Kevin Davitt, who is relatively new to The Options Institute keeps noting that the far end of the curve is as flat as he’s ever seen it.  I have to agree and when he inquire how I read things like that I noted that when the curve is flat it indicates a ton of uncertainty and these[...]

  • VIX | Trader Talk | Education | Futures | Trade Ideas | Feb 21, 2016, 12:44 PM

    CBOE RMC - Five Things I'm Looking Forward to Next Week

    CBOE RMC - Five Things I'm Looking Forward to Next Week

    One the best parts of my job as Director of Education at The Options Institute is getting to attend each of the Risk Management Conferences offered by CBOE.  Back in the Fall the running theme at both the European and Asian versions of RMC seemed to be how the markets were shifting from a low to high volatility regime.  Early 2016 price action has confirmed this. There are five things that have me particularly excited about heading to Bonita Springs, FL next week for the 32nd Annual RMC[...]

  • VIX | Trader Talk | Education | Futures | Trade Ideas | Feb 21, 2016, 11:39 AM

    Weekend Review Volatility Indexes and ETPs - 2/16 - 2/19

    Weekend Review Volatility Indexes and ETPs - 2/16 - 2/19

    VXST dropped dramatically last week and closed on the lows of 2016.  VIX managed to hold up a little better and looking at the economic calendar for next week I can kind of see why.  VXST often leads VIX so a move below 20.00 next week may not be out of the question.  After I typed that sentence I realized we are only 0.53 away from the teens so it wasn’t the most daring of market predictions. This is the year I am going to focus more on the disconnection in performance[...]

  • Market News | VIX | Trader Talk | Futures | Trade Ideas | Feb 20, 2016, 7:52 PM

    Weekly Review VIX Options and Futures 2/16 - 2/19

    Weekly Review VIX Options and Futures 2/16 - 2/19

    VIX managed to stay in the 20’s despite the most resilient performance from the S&P 500 in 2016.  We did finally give up on the last bastion of backwardation (month 1 versus month 2) as March became the front month with February going off the board Wednesday on the open. The generic short dated VIX curve constructed using Weeklys futures flattened and then some last week based on the drop in VIX and a fairly light economic calendar over the next couple of weeks. [...]

  • Trade Ideas | Feb 20, 2016, 6:01 PM

    Earnings Next Week 2/22 - 2/26

    Earnings Next Week 2/22 - 2/26

    I apologize for the late post, but I had no idea there were 48 companies with Weeklys reporting earnings next week.  I thought we were through the brunt of earnings season.  That's what I get for thinking... The numbers below represent three years of history with a couple of exceptions which have not been around long enough to provide a full three years of history.  In those cases the data appears in italics.   After the ticker the columns show the biggest gain, biggest drop,[...]

  • Market News | VIX | Trader Talk | Futures | Trade Ideas | Feb 17, 2016, 3:43 PM

    VIX Front Month - Second Month Backwardation Streak Ends at 30 - So Now What???

    VIX Front Month - Second Month Backwardation Streak Ends at 30 - So Now What???

    For the first time in 2016 the front month VIX future closed at a discount to the second month.  This brings the recent streak of backwardation to an end at 30 days.  The table below shows the 10 longest first month versus second month backwardation streaks with the recent run coming in a solid fourth place. So now what?  Anyone’s guess is as good as anyone else’s, but I did some quick historical analysis.  The table below shows the 30, 90, 125, and 250[...]

  • Market News | VIX | Trader Talk | Futures | Trade Ideas | Feb 14, 2016, 1:07 PM

    Weekly Review - Volatility Indexes and ETPs - 2/8 - 2/12

    Weekly Review - Volatility Indexes and ETPs - 2/8 - 2/12

    Three out of the four S&P 500 volatility oriented indexes were higher last week.  The shortest dated one, VXST, dropped a little.  We attribute this to the three day weekend impact that puts pressure on VXST, but also usually results in VXST rising the day after a holiday weekend.  For example on Friday VXST dropped 17% while VIX was down 9.74%.  I guess what I’m getting at here is that we should focus on the longer dated volatility indexes on the chart below to get[...]