Trader Talk Archives - Cboe Blogs

  • Market News | VIX | Trader Talk | Futures | Trade Ideas | Mar 6, 2016, 12:44 PM

    Weekend Review - VIX Options and Futures - 2/29 - 3/4

    Weekend Review - VIX Options and Futures - 2/29 - 3/4

    VIX gave up over 14% as the S&P 500 tried to work back to the 2000’s last week, falling short by 0.01.  Note the steepness of the curve below with the standard March contract at over a two point premium to spot VIX. The generic curve is also a bit steep, considering it is normally pretty flat.  VIX may be low, but even the short dated futures are braced for higher levels.   With VIX under pressure on Friday, someone came in to the market using one of my favorite[...]

  • Market News | VIX | Trader Talk | Strategy | Trade Ideas | Mar 6, 2016, 8:36 AM

    Weekend Review - Volatility Indexes and ETPs - 2/29 - 3/4

    Weekend Review - Volatility Indexes and ETPs - 2/29 - 3/4

    The S&P 500 rose about 2.7% last week and shorter term volatility took it on the chin with VXST and VIX both down over 14%.  The longer dated volatility indexes were lower as well, but as show below, remain elevated compared to their respective averages last year.  You can read that as the market still bracing for higher volatility over the balance of 2016 (or at least until 6 months from now). The long and long leveraged VIX realted ETPs were down last week with VXX dropping[...]

  • Market News | VIX | Trader Talk | Futures | Trade Ideas | Mar 5, 2016, 9:45 AM

    VIX Death Cross Update

    VIX Death Cross Update

    This past week I got to attend CBOE’s Risk Management Conference in Florida and finished my week at Oklahoma State as a guest lecturer.  When I travel like this I am not watching the markets as closely as I would like and as I updated charts this morning I nervously scanned the numbers used to create the chart below.  I say nervously because I was afraid I had dropped the ball on catching the VIX Death Cross.  It turns out I updated charts just in time. Yesterday (3/4) was the[...]

  • Market News | Trader Talk | Strategy | Trade Ideas | Mar 4, 2016, 1:40 PM

    Earnings Next Week - 3/7 - 3/11

    Earnings Next Week - 3/7 - 3/11

    The numbers below represent three years of history with a couple of exceptions which have not been around long enough to provide a full three years of history.  In those cases the data appears in italics.   After the ticker the columns show the biggest gain, biggest drop, average move (non-directional) and stock price reaction last quarter.  

  • Market News | VIX | Trader Talk | Futures | Trade Ideas | Mar 2, 2016, 9:08 PM

    CBOE RMC Day 3 Recap

    CBOE RMC Day 3 Recap

    The final day began at CBOE’s Risk Management Conference with a very timely address from Jim VandeHei President and CEO of POLITICO.  He offered extensive insight into the current presidential race and this was a timely presentation considering yesterday was Super Tuesday.  An interview with VandeHei appears at the CBOE RMC Video Highlights Page. There were two tracks today, one focusing on directional trading and the other focusing on volatility. The first directionally oriented[...]

  • Market News | VIX | Trader Talk | Education | Futures | Strategy | Trade Ideas | Mar 2, 2016, 5:29 PM

    Cross-Region Volatility Analysis for Investing and Hedging

    Cross-Region Volatility Analysis for Investing and Hedging

    The final presentation at CBOE’s Risk Management Conference in Bonita Springs, FL was a discussion of Cross-Region Volatility Analysis for Investing and Hedging.  Vishnu Kurella, Portfolio Manager at Caxton Associates and Ramon Verastegui, Managing Director, Head of Flow Strategy & Solutions Americas for Societe Generale.  Both are favorite presenters at RMC and drew a very large crowd. Their presentation covered a variety of important topics such as how natural derivative flows[...]

  • Market News | Trader Talk | Trade Ideas | Mar 2, 2016, 10:54 AM

    Directional Options Trading and Strategy Discussion at CBOE RMC

    Directional Options Trading and Strategy Discussion at CBOE RMC

    // One of the final presentations of this year’s CBOE RMC discussed Directional Options Trading and Strategy – How to Effectively Manage a Directional Options Portfolio.  Ilya Feygin, Managing Director / Senior Strategist from WallachBeth Capital LLC and Michael Khouw Chief Strategist from Tradelegs and President of Optimize Advisors shared the presentation dutes. Feygin began listing five things to focus[...]

  • Market News | VIX | Trader Talk | Futures | Mar 2, 2016, 10:12 AM

    The Evolving Dynamics of VIX Futures Discussed at CBOE RMC

    The Evolving Dynamics of VIX Futures Discussed at CBOE RMC

    // Maneesh Deshpande and Samuel Vazquez Ph.D. teamed up at RMC for a presentation titled The Evolving Dynamics of VIX Futures.  Deshpande is a Managing Director and Head of Americas Equity Derivatives Strategy at Barclays and Vazquez is a Vice President and Quant Strategist from Capstone Investment Advisors. Deshpande started things off discussing the VIX Term Structure noting contango is more common than backwardation. [...]

  • Market News | Trader Talk | Education | Futures | Trade Ideas | Mar 2, 2016, 9:13 AM

    CBOE RMC - Using Correlation to Enhance Directional Trading

    CBOE RMC - Using Correlation to Enhance Directional Trading

    // Ryan McRandal, Portfolio Manager from One River Asset Management and Nitin Saksena head of US Equity Derivatives Research at Bank of America Merrill Lynch teamed up for a discussion titled How to Improve Directional Trading Using Correlation Information. Saksena started things off noting that even highly correlated markets may diverge in performance over time.  One example of this is the S&P 500 and Emerging Markets[...]

  • Market News | VIX | Trader Talk | Education | Strategy | Trade Ideas | Mar 1, 2016, 8:30 PM

    CBOE RMC Day 2 Recap

    CBOE RMC Day 2 Recap

    When you attend a conference like CBOE Risk Management you hope to have the opportunity to hear a variety of speakers.  This has always been true for RMC.  However, there are usually market themes that persist from presentation to presentation.  For instance at RMC in Europe a few months ago there was a lot of discussion about the markets moving to a higher volatility regime.  What is interesting about this conference is that the variety of market outlooks matches the variety[...]

  • VIX | Trader Talk | Education | Futures | Mar 1, 2016, 4:19 PM

    Volatility of Volatility and Other Facets of VIX Options Discussed at CBOE RMC

    Volatility of Volatility and Other Facets of VIX Options Discussed at CBOE RMC

    One of the final discussions today at CBOE RMC focused on the Volatility of Volatility and Other Facets of VIX Options.  The three presenters were Joe Aiken, Portfolio Manager, Malachite Capital Management, Art Lu, Director, Equity Quant Trading Strategy, Citigroup, and a RMC favorite Dominic Salvino, VIX Specialist, Group One, LLC. Highlights for each speaker’s presentation appear below – Dominic Salvino He noted that VIX Weeklys seem to be catching on quite well with the futures[...]

  • Market News | VIX | Trader Talk | Education | Futures | Trade Ideas | Mar 1, 2016, 4:07 PM

    Risk Hedging Frameworks: Governance Concerns and Equity Derivative Strategies Discussion at RMC

    Risk Hedging Frameworks:  Governance Concerns and Equity Derivative Strategies Discussion at RMC

    // One of the final presentations during Day 2 of CBOE’s Risk Management Conference teamed up Ari Paul, CFA, Portfolio Manager at The University of Chicago Office of Investments and Rebecca Cheong, Head of Americas Equity Derivatives Strategy, UBS Securities.  They separately discussed aspects related to Risk Hedging Frameworks: Governance Concerns and Equity Derivative Strategies. Paul began listing sources of[...]

  • Market News | VIX | Trader Talk | Education | Trade Ideas | Mar 1, 2016, 2:59 PM

    Equities & Rates: Hybrid Options, Correlation and Risk Management Discussion at CBOE RMC

    Equities & Rates:  Hybrid Options, Correlation and Risk Management Discussion at CBOE RMC

    Rocky Fishman, CFA, Equity Derivatives Strategies from Deutsche Bank Securities and Philip Jones, SVP Quantitative Strategies Capital Markets Solutions, Ameriprise Financial teamed up for a session titled Equities and Rates: Hybrid Options Correlation, and Risk Management. Fishman started out noting that the correlation between interest rates and stocks changed about 15 years ago.  From the early 1960’s through 2000 there was a negative relationship, more recently it has been positive. [...]

  • Market News | VIX | Trader Talk | Education | Mar 1, 2016, 8:13 AM

    CBOE Holdings President and COO Edward Provost on Exchange’s New Initiatives

    CBOE Holdings President and COO Edward Provost on Exchange’s New Initiatives

    CBOE Holdings President and COO Edward Provost kicked off Day Two of CBOE RMC U.S. with an update on recent CBOE developments, highlighting numerous CBOE initiatives designed to create new trading opportunities for investors. Provost began by announcing CBOE’s plans to launch FLEX index options with Asian and Cliquet style settlement, citing their relevance to RMC participants working in the insurance field. “Asian and Cliquet FLEX index options are designed to give insurers an alternative[...]

  • Market News | Trader Talk | Education | Strategy | Trade Ideas | Feb 29, 2016, 2:18 PM

    The Unknowns about Bond Investing that Equity Options Traders Know

    The Unknowns about Bond Investing that Equity Options Traders Know

    John Marshall, Managing Director, Derivatives and Tactical Research at Goldman Sachs and Zem Sternberg of Lake Hill delivered a joint presentation at CBOE’s Risk Management Conference today in Bonita Springs, FL.  Their very timely talk, considering the uncertainty surrounding the current interest rate environment, was titled The Unknowns about Bond Investing that Equity Options Traders Know. Zem kicked off the presentation saying there are three questions (with answers) that must be addressed[...]