Trader Talk Archives - Cboe Blogs

  • Market News | Trader Talk | Strategy | Jun 20, 2016, 10:55 AM

    Jobs Report Shocks the Federal Reserve into Submission

    Jobs Report Shocks the Federal Reserve into Submission

    There is no doubt the Federal Reserve committee dialed it back significantly from the recent 'rate hike' rhetoric we have been hearing about lately.  It was only a month ago we heard most of the Fed Governors boldly claim a rate hike was coming and probably sooner than everyone believed. However, they presented a mixed picture of the economy, seeing some growth areas but weakness in others. This from their recent statement:  Information received since the Federal Open Market Committee met[...]

  • Market News | VIX | Trader Talk | Trade Ideas | Jun 19, 2016, 10:48 AM

    Weekend Review - Russell 2000 Options and Volatility - 6/13 - 6/17

    Weekend Review - Russell 2000 Options and Volatility - 6/13 - 6/17

    Despite global concerns dominating the market chatter last week, large cap stocks outperformed small cap stocks. Both were lower as the Russell 1000 (RUI) lost 1.16% while the Russell 2000 (RUT) gave up 1.65%. RUI widened the lead on RUT and is now up 1.33% for 2016 while RUT is still higher, but by only 0.78%. The CBOE Russell 2000 Volatility Index (RVX) rose last week, but not nearly as much as the gains we saw from VIX. As global concerns entered the marketplace, the RVX[...]

  • Weekend Review - Volatility Indexes and ETPs - 6/13 - 6/17

    Weekend Review - Volatility Indexes and ETPs - 6/13 - 6/17

    The VXST – VIX – VXV – VXMT curve moved from contango to an unusual shape this past week. Lots of things point to the markets being concerned about next week’s ‘should I stay or should I go’ vote in Britain. VXST represents short term SPX option volatility and the options that expire just after the vote are feeding that calculation.  I’m going to say results in VXST finishing the week at such an elevated level last week have a little to do with Brexit. With[...]

  • Market News | VIX | Trader Talk | Futures | Strategy | Trade Ideas | Jun 17, 2016, 11:00 PM

    Weekend Review - VIX Futures and Options - 6/13 - 6/17

    Weekend Review - VIX Futures and Options - 6/13 - 6/17

    I’ve been around long enough to remember when the time in the markets between Memorial Day and Labor Day were quiet enough for traders to spend several afternoons at Wrigley field without feeling they were missing anything. This past week no one could have gotten away with playing hooky. As the stock market came under pressure, VIX climbed to the highest levels we have seen since February. Everyone is focused on Brexit as the ‘reason’ for the markets to be doing what they are doing.[...]

  • Market News | Trader Talk | Futures | Trade Ideas | Jun 16, 2016, 6:18 PM

    A Quick Look at Options versus Futures

    A Quick Look at Options versus Futures

    When short dated options were introduced on stocks and ETFs I made an assumption. We all know assumptions may be wrong, and that is the case here. I thought the major use of short dated options would be to take advantage of at the money time decay.   I was actually half wrong as we do see option short sellers come into the market place fairly frequently when expiration is approaching. The use I did not foresee involves using a short dated options as a substitute for a futures trade. A few[...]

  • Market News | Trader Talk | Trade Ideas | Jun 15, 2016, 7:17 PM

    Earnings Next Week - 6/20 - 6/24

    Earnings Next Week - 6/20 - 6/24

    It is a very quiet week for earnings enthusiasts as only four companies with short dated options will be reporting earnings.  As always the data below is based on the last three years of earnings results.  The columns show the biggest rally, biggest drop, average move, and what the stock did last quarter in reaction to earnings.  

  • Market News | Trader Talk | Education | Jun 14, 2016, 8:00 PM

    The Smooth Process Known as Russell Reconstitution

    The Smooth Process Known as Russell Reconstitution

    June means a lot of different things to different people. For my kids it’s get out of school time. For my wife it’s how long until my kids go back to school time. For me it is Russell Reconstitution time. Before joining CBOE I would monitor the reconstitution process and try to trade around stocks that were going to be added or deleted from the Russell 2000. Now as an employee of CBOE I monitor the process since we are home for options trading on many FTSE Russell Indexes. Four of those[...]

  • Market News | Trader Talk | Trade Ideas | Jun 13, 2016, 11:10 AM

    #Brexit Update from Social Market Analytics

    #Brexit Update from Social Market Analytics

    Over the weekend I noticed the headlines regarding Brexit.  It appears the polls are starting to point to a shift in sentiment with respect to Britain exiting the EU. Those leaning toward leaving seem to slightly outnumber those who consider staying in the EU a good idea. To see how the situation looks from a social media standpoint I asked the guys at Social Market Analytics for a quick update. This first graph shows that over the last 24 hours 213,595 tweets have included the hashtag[...]

  • Market News | VIX | Trader Talk | Trade Ideas | Jun 12, 2016, 12:00 PM

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

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

    Only 5 basis points separate the 2016 performance for the Russell 2000 (RUT) and Russell 1000 (RUI). As of Friday RUI was in the lead, but do note early last week RUT finally surpassed RUI performance for 2016. The CBOE Russell 2000 Volatility Index (RVX) rose last week, as did just about every volatility index CBOE calculates. However, the rise in RVX lagged the rise in VIX on a percentage basis which resulted in a drop in the RVX / VIX premium to the lowest levels since March of this[...]

  • Market News | VIX | Trader Talk | Futures | Trade Ideas | Jun 12, 2016, 10:29 AM

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

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

    June VIX settlement is on the horizon, just two trading days and an overnight to Wednesday’s AM settlement. I mention that as a lead off in this space as I find the June futures at a premium to spot VIX kind of interesting considering VIX rose 26% last week. Admittedly, a 0.50 premium isn’t all that much, but any premium at all makes me think traders are still on edge after the S&P 500 price action last week and now going into two weeks with big known unknowns (FOMC this week[...]

  • Market News | VIX | Trader Talk | Strategy | Trade Ideas | Jun 11, 2016, 12:23 PM

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

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

    Last week VIX rose every day which isn’t all that unusual.   What was ground breaking was that VIX rose each of the first three days last week despite the S&P 500 moving up as well. I decided to take a look at what has happened in the past when both the S&P 500 and VIX rise together for three consecutive days. The result, it's not as uncommon as I thought, we've had 17 occurrences of three up together.  However, the last time was in January 2013. VVIX[...]

  • Market News | VIX | Trader Talk | Strategy | Trade Ideas | Jun 9, 2016, 4:34 PM

    Block Trade Analysis - VIX July Ratio Call Spread

    Block Trade Analysis - VIX July Ratio Call Spread

    June VIX futures and options settle next Wednesday on the open so we are starting to see traders look ahead to July standard expiration. Of course those that want to be more strategic can explore the VIX Weeklys, but that is an argument for another blog. This morning, exactly an hour into the trading day there was a buyer of 8,500 VIX Jul 17 Calls at 1.99 who then sold 17,000 VIX Jul 21 Calls for 1.03 each and a net credit of 0.07 per spread. The result is a small credit and a payoff at July expiration[...]

  • Market News | Trader Talk | Trade Ideas | Jun 9, 2016, 10:54 AM

    Earnings Next Week - 6/13 - 6/17

    Earnings Next Week - 6/13 - 6/17

    It is a very quiet week for earnings enthusiasts as only three companies with short dated options will be reporting earnings.  As always the data below is based on the last three years of earnings results.  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 | Jun 8, 2016, 3:11 PM

    All-Time Record High Open Interest for VIX Futures – 501,835 on June 7

    All-Time Record High Open Interest for VIX Futures – 501,835 on June 7

    Futures on the CBOE Volatility Index® (VIX®), which launched in 2004, experienced some milestones regarding open interest in recent days – *   VIX futures open interest surpassed 500,000 for the first time on June 6; *   VIX Futures open interest hit a new all-time record high of 501,835 on June 7; *   VIX Futures open interest is up 98.7% year-to-date (through June 7). VIX FUTURES VOLUME DURING EUROPEAN HOURS VIX futures are available for trading more[...]

  • VIX | Trader Talk | Trade Ideas | Jun 7, 2016, 2:41 PM

    Plans are Meant for Re-Planning

    Plans are Meant for Re-Planning

    At my last writing on Tuesday, May 17th, I had just sold to open SVXY 55.50 puts for the May 20th expiration at 1.45 per contract.  My pledge was to stick to my plan and that's what I did:  I let those expire and realized full profit over the weekend when the contract expired worthless to the buyer.  It was rough going, though, with the high, low, and close of SVXY over the intervening days as shown below:   SVXY's closing price on Friday, May 20th was over $55.50,[...]