Trade Ideas Archives - Cboe Blogs

  • 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[...]

  • VIX | Trader Talk | Trade Ideas | Jul 2, 2017, 11:57 AM

    Weekend Review of VIX Futures and Options - 6/26/2017 - 6/30/2017

    Weekend Review of VIX Futures and Options - 6/26/2017 - 6/30/2017

    VIX had quite a midweek move rising above 15.00 for a very short period of time before settling at 11.18 to end the week.  Note the VIX action didn’t have much of an impact on the futures contracts which can be attributed to the steep nature of the curve going into last week.  I spoke about the following trade on the Vol Views podcast this past Friday.  However, it was such a great use of VIX Weeklys that I wanted to repeat the trade here.  On Monday last week, with VIX[...]

  • Market News | VIX | Trader Talk | Trade Ideas | Jul 2, 2017, 11:14 AM

    Weekend Review of Russell 2000 Options and Volatility - 6/26/2017 - 6/30/2017

    Weekend Review of Russell 2000 Options and Volatility - 6/26/2017 - 6/30/2017

    Small caps in the form of the Russell 2000 (RUT) were up slightly last week while the Russell 1000 (RUI) was down slightly.  Friday marked the end of the second quarter.  Both RUT and RUI were higher for the second quarter with RUT gaining 2.12% while the large cap focused RUI was 2.55% higher.  We all know RUT had stellar performance from election day to the end of 2016 on both and absolute and relative basis when compared to RUI.  However, RUT has consistently underperformed[...]

  • VIX | Trader Talk | Trade Ideas | Jun 25, 2017, 9:00 AM

    Weekend Review of Volatility Indexes and ETPs - 6/19/2017 - 6/23/2017

    Weekend Review of Volatility Indexes and ETPs - 6/19/2017 - 6/23/2017

    VXST was slightly higher while the rest of the SPX related volatility indexes dropped last week.  All moves were relatively small as we have truly entered the summer doldrums, at least for broad based index volatility. There’s very little exciting on the table below.  TYVIX bumped up slightly, but is still at very low levels.  VVIX remaining over 80.00 is interesting as traders may continue to take advantage low VIX to get long volatility exposure through buying calls or spreads[...]

  • VIX | Trader Talk | Trade Ideas | Jun 24, 2017, 7:13 PM

    Weekend Review of VIX Futures and Options - 6/19/2017 - 6/23/2017

    Weekend Review of VIX Futures and Options - 6/19/2017 - 6/23/2017

    VIX was a bit lower to end the week and the curve moved down as well.   We retired June last week and now July is the front month and is at a premium of just over 1.80 to finish the week.  Before getting into a trade I would like to point out some heavy activity that abounded last week in the VIX Weekly options expiring this coming week.  There was a pretty big buyer of the VIX Jun 28th 19, 20, and 21 Calls paying 0.10 for the 19’s and 0.05 for both the 20’s and[...]