Trader Talk Archives - Cboe Blogs

  • Market News | Trader Talk | Strategy | Sep 19, 2016, 10:37 AM

    Earnings This Week - 9/19 - 9/23

    Earnings This Week - 9/19 - 9/23

    As always the data below is based on the last three years of earnings results unless the ticker is in italics.  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 | Sep 18, 2016, 2:53 PM

    Weekend Review - VIX Futures and Options - 9/12 - 9/16

    Weekend Review - VIX Futures and Options - 9/12 - 9/16

    VIX gave up a little over 12% while the futures were lower, but not nearly to the extent that spot VIX lost value.  We are back to contango in the blink of an eye. VIX options and futures trade until 3:15 Chicago time each day.  Late Friday, after the official stock market closing time of 3:00, someone came in and did a pretty interesting trade in VIX.  The trade involved a purchase of 3,000 VIX Sep 21st 20 Calls at 0.19 each and then sold 10,000 VIX Sep 21st 23 Calls[...]

  • Market News | VIX | Trader Talk | Trade Ideas | Sep 18, 2016, 7:25 AM

    Weekend Review - Volatility Indexes and ETPs - 9/12 - 9/16

    Weekend Review - Volatility Indexes and ETPs - 9/12 - 9/16

    After a lot of zigging and zagging VIX and the other S&P 500 related volatility indexes finished lower on a week over week basis.  The curve depicting the relationship among VXST, VIX, VXV, and VXMT even returned to a historically normally shape. I found VVIX remaining over 100 interesting despite last week's drop in VIX.  Also, the drop in TYVIX is noteworthy as it occurred in front of a week where we get a Fed decision. In the exchange traded product space the long funds[...]

  • Market News | VIX | Trader Talk | Trade Ideas | Sep 10, 2016, 2:17 PM

    Weekend Review - Volatility Indexes and ETPs - 9/5 - 9/9

    Weekend Review - Volatility Indexes and ETPs - 9/5 - 9/9

    VXST more than doubled as a function of the index being depressed in front of the three-day weekend and then in reaction to Friday’s SPX sell off.  As would be expected, the rest of the VXST-VIX-VXV-VXMT curve moved higher as well, but outside of VXST relative to VIX we are still in a state of contango. The 2.39% drop in the S&P 500 all came from Friday’s price action as did just about everything else on the table below.  Note that VXX rose 11% and UVXY gained[...]

  • Market News | VIX | Trader Talk | Trade Ideas | Sep 10, 2016, 9:30 AM

    Weekend Review - VIX Options and Futures - 9/5 - 9/9

    Weekend Review - VIX Options and Futures - 9/5 - 9/9

    The streak of SPX doldrums came to an end on Friday with the orderly drop of over 50 points for which resulted in VIX rising to 17.50.  Everything worth noting happened on Friday which may have added to the angst that resulted in the S&P 500 closing near the daily lows and VIX closing near the daily highs. Early Friday when VIX was at 13.93 and the big move was just getting started there was a split strike trade that came into the pit.  With the October future at 16.35[...]

  • Market News | VIX | Trader Talk | Trade Ideas | Sep 5, 2016, 8:40 AM

    Weekend Review - Russell 2000 Options and Volatility - 8/29 - 9/2

    Weekend Review - Russell 2000 Options and Volatility - 8/29 - 9/2

    I went to the horse track for the first time in about a decade just before writing this blog.  In one race, a horse (not mine of course) steadily pulled away into the finish of a race.  That’s sort of what is happening with the Russell 2000 (RUT) performance relative to the large cap focused Russell 1000 (RUI). RUT gained almost twice as much at RUI last week (1.19% versus 0.62%).  This places RUT up 10.21% for 2016 and RUI up only 6.81%. VIX finished the week under[...]

  • Market News | VIX | Trader Talk | Trade Ideas | Sep 4, 2016, 11:40 AM

    Weekend Review - Volatility Indexes and ETPs - 8/29 - 9/2

    Weekend Review - Volatility Indexes and ETPs - 8/29 - 9/2

    The VXST – VIX – VXV – VXMT curve does what it normally does on a pre three-day weekend week and got steeper.  It’s been a while since I ran the numbers but I’m fairly certain VXST almost always drops before a holiday weekend and then rebounds when we all return to work refreshed and ready to trade. SKEW below 130 was the first thing that stood out to me on the table below.  A quick check and I saw that it had been consistently higher than 130[...]

  • VIX | Trader Talk | Trade Ideas | Sep 3, 2016, 10:31 AM

    Weekend Review - VIX Futures and Options - 8/29 - 9/2

    Weekend Review - VIX Futures and Options - 8/29 - 9/2

    VIX finished the week just under 12.  We can attribute this to a combination of the equity market being pleased by Friday’s August Non-Farm Payroll report along with the three-day weekend effect.  Note the September futures, which settle on the 21st moved lower, but held up a bit relative to spot VIX.  This is common regardless of the directional move out of the index, but is accentuated whenever we have a long weekend. Despite there only being one trading day (and[...]

  • Market News | Trader Talk | Trade Ideas | Aug 31, 2016, 6:57 PM

    Earnings Next Week - 9/6 - 9/9

    Earnings Next Week - 9/6 - 9/9

    Due to the short week we only have three stocks with Weeklys available for trading reporting earnings.  As always the data below is based on the last three years of earnings results unless the ticker is in italics.  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 | Aug 30, 2016, 7:45 AM

    See a Profit, Pick it Up

    See a Profit, Pick it Up

    She sells short shares down by the SVXY shore... Or something like that goes the nursery rhyme.  But does she buy calls to go with those shares?  Probably not. Here's why I did it: I wanted a chance to benefit from the SVXY downside I envisioned without worrying excessively about the potential penalty for being significantly unfortunate in my timing/prediction.  So, feeling confident that my dream of SVXY put through the macerator would come true, I decided on a price I'd be willing[...]

  • Market News | Trader Talk | Trade Ideas | Aug 29, 2016, 4:55 PM

    Trade Analysis - Short Term Bullish Spread With SPX Monday Weeklys

    Trade Analysis - Short Term Bullish Spread With SPX Monday Weeklys

    On Friday I received an email from a student who had recently attended one of the CBOE Options Institute courses.  They (I’m gender neutral to protect their identity) wanted to let me know that they had made the jump into SPX Monday Weeklys.  With the S&P 500 at 2166 they expressed a bullish outlook with respect to the stock market through initiating a bull call spread.   The specific trade involved buying the SPX Aug 29th 2160 Call for 10.80 and selling the SPX[...]

  • Market News | VIX | Trader Talk | Trade Ideas | Aug 28, 2016, 12:24 PM

    Weekend Review - VIX Futures and Options - 8/22 - 8/26

    Weekend Review - VIX Futures and Options - 8/22 - 8/26

    VIX rose a whopping 20% last week, although that is a jump off a pretty low base.  This was in response to the S&P 500 dropping only 0.68%.  Note the curve didn’t replicate the VIX move since the futures were already discounting higher volatility.  Stated another way, the steep contango dissipated a bit as spot VIX narrowed the spread with the nearer dated futures. At least one trader appears to be expecting a further run in VIX over the next few weeks. [...]

  • Market News | VIX | Trader Talk | Trade Ideas | Aug 27, 2016, 7:30 PM

    Weekend Review - Volatility Indexes and ETPs - 8/22 - 8/26

    Weekend Review - Volatility Indexes and ETPs - 8/22 - 8/26

    The short end of the VXST – VIX – VXV – VXMT curve rose last week as volatility moved higher in reaction to comments coming from the annual get together in Jackson Hole.  The result is a bit less steepness in a curve that has been pretty darn steep the past few weeks. The long volatility funds got a small reprieve from the severe downtrend in performance that has been in place since the first quarter. SVXY gave up some performance last week and VXX along with[...]

  • Market News | VIX | Trader Talk | Trade Ideas | Aug 27, 2016, 4:25 PM

    Weekend Review - Russell 2000 Options and Volatility - 8/22 - 8/26

    Weekend Review - Russell 2000 Options and Volatility - 8/22 - 8/26

    The Russell 2000 (RUT) widened the 2016 performance lead on the Russell 1000 (RUI) last week.  RUT rose 0.11% while RUI was down 0.67%.  For the year RUT is up 8.99% while RUI is up around 6.17%.  What is sort of missed is the relative performance since February’s lows.  RUT has gained 29.8% while RUI is up only 19.5% since the market bottomed earlier this year. Expected volatility rose last week but the gap between the CBOE Russell 2000 Volatility Index (RVX)[...]

  • VIX | Trader Talk | Trade Ideas | Aug 27, 2016, 11:08 AM

    Happy VIX-entines Day

    Happy VIX-entines Day

    The funniest part of my last post was the quote from my last sentence, "...VIX, which I doubt will stay the same every minute from here on out..." because it has basically stayed right where it was at the time of that writing more than a month ago.  Spanning 11-13 that day set the tone for the next month, since that's all it's done ever since (with the exception of a toe dipped in 14 yesterday), for the next 25 trading days. (*And excepting today as I've been sitting here writing this,[...]