Trader Talk Archives - Cboe Blogs

  • Market News | VIX | Trader Talk | Education | Futures | Trade Ideas | Apr 3, 2016, 11:11 AM

    Weekend Review - VIX Options and Futures - 3/28 - 4/1

    Weekend Review - VIX Options and Futures - 3/28 - 4/1

    VIX closed on the 2016 lows last week and flirted with a 12 handle. I was asked at a seminar in Scottsdale, AZ on Thursday night how long it will take for VIX to touch 12. I responded that I had a hard time seeing a 12 handle this year. It won’t take much for me to be proven wrong. Something that keeps me in the higher volatility regime camp is the relative level of VIX futures to spot VIX. Note below that the April futures are at a hefty premium to spot VIX despite getting the monthly employment[...]

  • Weekend Review - Volatility Indexes and ETPs - 3/28 - 4/1

    Weekend Review - Volatility Indexes and ETPs - 3/28 - 4/1

    Don’t fight the Fed. That’s a rule we must all live by and long volatility is a fight that isn’t winning these days. Note the drop in the week over week curves below and keep in mind that on March 24th there was a three day weekend in front of VXST which makes that drop even more dramatic. The curve is steep, which can be taken as longer term concerns prevail, but for the near term those looking for higher volatility have stopped fighting. The long funds on the table[...]

  • Weekend Review - Russell 2000 Index and Volatility - 3/28 - 4/1

    Weekend Review - Russell 2000 Index and Volatility - 3/28 - 4/1

    The Russell 2000 (RUT) had a great week rising 3.5% while the large cap focused Russell 1000 (RUI) also did pretty well gaining about 1.9%. For the year RUI went from down to up and is now in the green by 1.23% while the Russell 2000 is still in the red by 1.60%. A repeat of last week and RUT will join RUI in positive territory for 2016. I put lots of charts together every weekend and there’s always one or two that catch my eye. This week’s is below as despite the outperformance[...]

  • Market News | VIX | Trader Talk | Futures | Mar 27, 2016, 10:43 AM

    Weekend Review - Russell 2000 Options and Volatility - 3/21 - 3/24

    Weekend Review - Russell 2000 Options and Volatility - 3/21 - 3/24

    The Russell 2000 (RUT) gave up 2% last week after making a little run at closing the 2016 gap with the Russell 1000 (RUI).  RUT is now down just about 5% for 2016.  There was a glimmer of hope for large caps this time last week, but RUI gave up 0.70% last week and is now 0.65% lower for 2016. The concern for small cap stocks continues to rise relative to large cap stocks in the form of the ratio of the CBOE Russell 2000 Volatility Index (RVX) relative to VIX.  The gap between the[...]

  • Market News | VIX | Trader Talk | Futures | Mar 26, 2016, 9:35 AM

    Weekend Review - VIX Options and Futures - 3/21-3/24

    Weekend Review - VIX Options and Futures - 3/21-3/24

    Despite facing a three day weekend, VIX rebounded with the weakness in the stock market last week.  Of note on the chart below is the price action for the April future.  That contract was at a pretty steep premium to spot VIX and the result was a slight drop in the April contract despite the rise in VIX.  May is at a very large premium as well and this may have been a motivating factor behind the two trades discussed below. Since it is a long weekend let’s take a look at two[...]

  • Market News | VIX | Trader Talk | Education | Strategy | Trade Ideas | Mar 25, 2016, 9:19 AM

    Weekend Review - Volatility Indexes and ETPs - 3/21 - 3/24

    Weekend Review - Volatility Indexes and ETPs - 3/21 - 3/24

    The S&P 500 was slightly lower last week, ruining a five week winning streak.  This gave three of the four volatility indexes on the chart below a chance to rebound from 2016 lows.  The exception is VXST, but we give this one a break since three day weekends are always tough on VXST. The choppiness in the volatility space last week, along with the front month future actually losing a little value did no favors for the VIX related ETPs.  UVXY was up almost 9% for the week early[...]

  • Market News | VIX | Trader Talk | Futures | Trade Ideas | Mar 19, 2016, 4:29 PM

    Weekend Review - Volatility Indexes and ETPs - 3/14 - 3/18

    Weekend Review - Volatility Indexes and ETPs - 3/14 - 3/18

    I’m honestly surprised and admitting that I have been very wrong in trying to guess at the VIX action lately.  I never would have expected a 13 handle for VIX, but low and behold that’s what we got on Friday.  When I return to work on Monday I will spend a little time on the wall of shame. Even the longer dated volatility indexes have given up the fight with VXV and VXMT closing near the respective 2015 averages after remaining at elevated levels for most of 2016. VXX[...]

  • Market News | VIX | Blogging Options | Trader Talk | Futures | Trade Ideas | Mar 19, 2016, 2:38 PM

    Weekend Review - Russell 2000 Options and Volatility - 3/14 - 3/18

    Weekend Review - Russell 2000 Options and Volatility - 3/14 - 3/18

    I guess I have to try to work some sort of St. Patrick’s Day theme in here since the Russell 1000 (RUI) went from red to green on the year last week, but I’m too worn out to come up with anything clever.  Also, it is difficult to get too excited over an index that is up 0.05% for the year.  Since I’m trying to be funny, here’s a lame attempt, the Russell 2000 (RUT) remains in a rut for 2016, even after gaining 1.3% last week the small cap benchmark is still 3% lower[...]

  • Market News | VIX | Blogging Options | Trader Talk | Futures | CBOE Memories | Mar 17, 2016, 9:02 AM

    VIX Network Discussion at FIA Boca

    VIX Network Discussion at FIA Boca

    Yesterday afternoon at the 41st Annual International Futures Industry Conference in Boca Raton, CBOE and S&P Dow Jones Indices teamed up for a session highlighting the growing use of VIX around the world. Reid Steadman from S&P Dow Jones Indices offered a brief welcome address where he noted the various markets where participants have access to a consistent measure of implied volatility.  He underscored that a wide variety of equity markets including India, Australia,[...]

  • Market News | Blogging Options | Trader Talk | Strategy | Trade Ideas | Mar 17, 2016, 8:14 AM

    Earnings Week of 3/21 - 3/25

    Earnings Week of 3/21 - 3/25

    It's a very quiet week next week on the earnings front with the highlight being NKE.  The numbers below represent three years of history.   After the ticker the columns show the biggest gain, biggest drop, average move (non-directional) and stock price reaction last quarter.  

  • Market News | Trader Talk | Trade Ideas | Mar 14, 2016, 12:59 PM

    Earnings Week of 3/14 - 3/18

    Earnings Week of 3/14 - 3/18

    Apologies for being late to the game, luckily we do have some big names reporting later this week so this blog may still be useful for many readers. The numbers below represent three years of history.   After the ticker the columns show the biggest gain, biggest drop, average move (non-directional) and stock price reaction last quarter.

  • VIX | Blogging Options | Trader Talk | Education | Futures | Trade Ideas | Mar 13, 2016, 10:04 AM

    Weekend Review - Russell 2000 Options and Volatility - 3/7 - 3/11

    Weekend Review - Russell 2000 Options and Volatility - 3/7 - 3/11

    After stumbling a bit last week both the Russell 1000 (RUI) and Russell 2000 (RUT) moved higher with RUI up by about 1% and RUT rising 0.5%.  this is the first week in a while where RUT under performed RUI and the small cap benchmark is now lagging the large cap Russell 1000 by 3% for 2016. The relative implied volatility ticked up a bit for the CBOE Russell 2000 Volatility Index when compared to VIX.  The 2016 closing high for the RVX / VIX ratio occurred on February 1st and[...]

  • Market News | VIX | Blogging Options | Trader Talk | Futures | Trade Ideas | Mar 12, 2016, 10:55 AM

    Weekend Review - VIX Options and Futures - 3/7 - 3/11

    Weekend Review - VIX Options and Futures - 3/7 - 3/11

    VIX dropped just over 2% which isn’t that much considering we got a 1% rise in the stock market.  The curve remains in a fairly common state of contango.  Standard March futures settle Wednesday on the open and the spread of over a point also makes me wonder if volatility traders are buying into higher stock prices. I did a little more digging on VIX price action, really just looking for the 2016 intraday-low which I assumed occurred last week.  I assumed wrong. [...]

  • Market News | VIX | Blogging Options | Trader Talk | Education | Strategy | Mar 12, 2016, 8:40 AM

    Weekend Review - Volatility Indexes and ETPs 3/7 - 3/11

    Weekend Review - Volatility Indexes and ETPs 3/7 - 3/11

    Three out of the four S&P 500 based volatility indexes dropped last week with the longer term focused VXMT rising slightly.  I went on a data fishing expedition with respect to weeks where VXMT and the S&P 500 rose, but couldn’t find a definitive patters.  I even looked at the predictive power going out as far as six months and got nada.  I did find out that both the S&P 500 and VXMT have risen in sync 52 times since 2008, which is interesting and a bit surprising,[...]

  • Market News | VIX | Trader Talk | Strategy | Trade Ideas | Mar 6, 2016, 7:03 PM

    Weekend Review - Russell 2000 Options and Volatility - 2/29 - 3/4

    Weekend Review - Russell 2000 Options and Volatility - 2/29 - 3/4

    The Russell 2000 (RUT) continues to show some resilience rising over 4% last week and closing the 2016 performance gap with the Russell 1000 (RUI). The long term average for the CBOE Russell 2000 Volatility Index (RVX) relative to VIX has been about 20% which is where we are now.  For some time back in the fourth quarter of last year we spent much more time closer to parity between RVX and VIX. An interesting trade was executed on Friday around lunchtime, with RUT trading near[...]