Trade Ideas Archives - CBOE Blogs

  • VIX | Trader Talk | Trade Ideas | French Election | Apr 8, 2017, 1:05 PM

    Weekend Review of VIX Options and Futures - 4/3/2017 - 4/7/2017

    Weekend Review of VIX Options and Futures - 4/3/2017 - 4/7/2017

    The S&P 500 lost about 0.3% last week and VIX rose.  I think the VIX to S&P 500 relationship is only part of the story related to VIX rising last week.  It appears the pending election process in France is starting to influence US volatility.  Note that April is a bit higher than May volatility in the orange circle on the chart below.  This is a fairly rare occurrence for the futures considering the current low level of VIX.  As long as there is a cloud of uncertainty[...]

  • VIX | Trader Talk | Trade Ideas | French Election | Apr 4, 2017, 3:11 PM

    VIX, VSTOXX, and the French Election

    VIX, VSTOXX, and the French Election

    About a year ago, we were all starting to focus on the Brexit referendum which we ‘knew’ wasn’t going to pass.  There were several lessons from the Brexit experience with the top one being do not discount an election until all the votes are counted.  This played out again in November, but that’s not what this blog is about.  This blog is about how VSTOXX and VIX are behaving in front of the pending French election process.  First, going back to June 2016[...]

  • Weekend Review of VIX Futures and Options - 3/27 - 3/31

    Weekend Review of VIX Futures and Options - 3/27 - 3/31

    The Friday to Friday change in the VIX term structure was as orderly as I’ve seen it in some time.  VIX has had a lower average daily close during a quarter only once, the fourth quarter of 2006.  However, the low to high range for VIX has never been tighter than what we experienced in the first quarter of 2017 with the range of 2.54.  On average the range of closing VIX prices is about 10.60 so the VIX market may be a bit wound up to the point where a big move to the upside[...]

  • Market News | Trader Talk | Trade Ideas | Apr 2, 2017, 10:42 AM

    Weekend Review of Russell 2000 Options and Volatility - 3/27 - 3/30

    Weekend Review of Russell 2000 Options and Volatility - 3/27 - 3/30

    The first quarter of the 2017 performance race between the Russell 1000 (RUI) and Russell 2000 (RUT) came to close with large caps up 5.51% and the small cap focused RUT up 2.12%.  The consensus feeling is that RUT got a little too far ahead of RUI from election day through the end of 2016 and RUI was due for a bit of catching up.  The small cap versus large cap risk index is a good way to explain the chart below.  Small cap expected volatility is best represented by the CBOE Russell[...]

  • VIX | Trader Talk | Trade Ideas | French Election | Apr 2, 2017, 9:50 AM

    Weekend Review of Volatility Indexes and ETPs - 3/27 - 3/31

    Weekend Review of Volatility Indexes and ETPs - 3/27 - 3/31

    The shift lower in the VXST – VIX – VXV – VXMT curve was 75% parallel and 25% dramatic.  The dramatic move was at the shorter end of the curve where VXST dropped 28% moving from a premium to discount relative to VIX.  As noted volatility was lower across the board.  Of interest below, VVIX finished below 80 and TYVIX remained at very low levels. For the volatility bulls the only glimmer of hope is SKEW around 140, but it is pretty difficult to get excited about[...]

  • Market News | VIX | Trader Talk | Strategy | Trade Ideas | Mar 26, 2017, 9:31 AM

    Weekend Review of VIX Futures and Options - 3/20 - 3/24

    Weekend Review of VIX Futures and Options - 3/20 - 3/24

    VIX reached 2017 highs last week as we got our first experience with downside volatility in 2017.  VIX closing at 13.12 widens the low to high range for the first quarter to 2.54.  Barring a close of 13.26 on the upside or 10.44 on the downside next week this will go down as the narrowest VIX range on record.  We continue to look to our friends in Europe for volatility guidance.  After the Dutch election results VSTOXX had the biggest one day drop on record.  Equity market[...]

  • Weekend Review of VIX Options and Futures - 3/13 - 3/17

    Weekend Review of VIX Options and Futures - 3/13 - 3/17

    We got a pretty orderly shift down in the VIX curve last week as the market easily digested a rate hike by the FOMC.  Also, the March premium to spot VIX at about 0.50 is pretty narrow, however the April premium remains a bit wide based on pending events in Europe.  We have been paying attention to the VSTOXX term structure due to market concerns about the pending French election.  It appears the Dutch results pushed spot VSTOXX lower, in fact the reaction was the biggest one day[...]

  • Harnessing Twitter Sentiment and the Volatility Risk Premium – Events in NYC on March 28th and in Chicago on April 5th

    Harnessing Twitter Sentiment and the Volatility Risk Premium – Events in NYC on March 28th and in Chicago on April 5th

    At the 33rd Annual CBOE Risk Management Conference in California last week, several speakers discussed ways to use sentiment analysis and the volatility risk premium in their quest to add alpha and enhance the risk-adjusted returns of their portfolios. I am pleased to report that two upcoming events will provide more details and analysis of the topics of developing investable and actionable intelligence from analysis of sentiment trends on social media, and generating attractive risk-adjusted returns[...]

  • Technical Analysis & Charts | VIX | Trader Talk | Trade Ideas | Mar 12, 2017, 2:04 PM

    Weekend Review of Volatility Indexes and ETPs - 3/6 - 3/10

    Weekend Review of Volatility Indexes and ETPs - 3/6 - 3/10

    The short end of the VXST – VIX – VXV – VXMT curve moved up while the longer end hardly budged.  TYVIX is at 2017 lows going into FOMC week, but it appears equity volatility may be pricing in some uncertainty in front of this week’s Fed decision.  Needless to say and already mentioned, VXST is the big attention getter on the table below with a 24% gain last week.  The Ten-Year futures dropped more in front of higher rates, but note that TYVIX, which closed[...]

  • Technical Analysis & Charts | VIX | Trader Talk | Trade Ideas | Mar 12, 2017, 11:40 AM

    Weekend Review of VIX Options and Futures - 3/6 - 3/10

    Weekend Review of VIX Options and Futures - 3/6 - 3/10

    VIX was higher and all VIX futures were lower last week.  We have been in a pretty steep state of contango which flattened a bit.  However, there are expectations that April will remain elevated due to market conditions in Europe.  This will be explained a little more below. The VSTOXX term structure appears below and note the elevated April futures contract price relative to the spot index (it’s impossible to miss).  This shape has been around for a while now and we’ll[...]

  • Technical Analysis & Charts | VIX | Trader Talk | Trade Ideas | Mar 12, 2017, 10:47 AM

    Weekend Review of Russell 2000 Options and Volatility - 3/6 - 3/10

    Weekend Review of Russell 2000 Options and Volatility - 3/6 - 3/10

    Last week small cap stocks took it on the chin with the Russell 2000 (RUT) dropping about 2.5% while the Russell 1000 (RUI) actually gained about 0.7%.  The divergence between the two widened to over 5% with RUI in the lead for 2017.  VIX gained a bit last week which narrowed the gap between the CBOE Russell 2000 Volatility Index (RVX) and VIX to around 40%.  This is low by 2017 standards, but still pretty high relative to the long-term history of these two indexes.  The[...]

  • Market News | VIX | Trader Talk | Trade Ideas | Mar 6, 2017, 3:37 PM

    Tales from the Cross VIX Highway

    Tales from the Cross VIX Highway

    While traders of nothing but the Essenpee would find themselves sitting on a gain of 1.5% to nearly 2% from February 14th through today (or through Friday, March 3rd's closing price, thus the difference between quotes), traders like me who favor TVIX or UVXY would be sitting right where they started, whether short or long. See chart below for a short history of UVXY over the last nearly-three-weeks. My account performance shows a gain of several percent. How did I do that, when trading nothing[...]

  • Market News | VIX | Trader Talk | Strategy | Trade Ideas | Mar 5, 2017, 8:08 AM

    Weekend Review of Volatility Indexes and ETPs - 2/27/2017 - 3/3/2017

    Weekend Review of Volatility Indexes and ETPs - 2/27/2017 - 3/3/2017

    Textbook and parallel are two terms that come to mind to described the shift in the VXST – VIX – VXV – VXMT curve below.  Also, steep comes to mind as the longer dated indexes are pretty elevated when compared to VIX and VXST. The long funds below benefited from volatility increasing a bit on Tuesday last week, with VIX even putting in a 2017 high, before resuming their downward trajectory.  Note TYVIX giving up 10% which puts the volatility of 10-Year Treasury Note options[...]

  • Trader Talk | Trade Ideas | Mar 3, 2017, 9:47 AM

    Block Trade Analysis - Huge Bullish EEM Spread Trade

    Block Trade Analysis - Huge Bullish EEM Spread Trade

    Early Friday a huge spread trade was executed at CBOE using options on the iShares MSCI Emerging Market Index ETF (EEM).   Just a few minutes into the day a trader bought 66,000 EEM Mar 38 Calls at 0.62, sold 132,000 (twice as many) EEM Mar 39 Calls for 0.18 and then took in a little more premium by selling 66,000 EEM Mar 37 Puts for 0.19.  The net result was a cost of 0.07 for each short 1 37 Put, long 1 38 Call, short 2 39 Calls spreads.  The payoff at expiration on March 17th[...]

  • Trader Talk | Trade Ideas | Feb 25, 2017, 2:54 PM

    Weekend Review of Russell 2000 Options and Volatility - 2/21 - 2/24

    Weekend Review of Russell 2000 Options and Volatility - 2/21 - 2/24

    Large cap dominance continues as the Russell 1000 (RUI) gained 0.77% last week and the Russell 2000 (RUT) was down 0.38%.  For the year RUI is now outpacing by over 3%. Small cap risk remains high relative to large cap risk as the CBOE Russell 2000 (RVX) premium to VIX remains are elevated levels.  First thing Friday, with RUT under a bit of pressure down about 10 points around 1383 one trader came in with a bull put spread that has a ton of room for error.  They sold the RUT Apr[...]