Trader Talk Archives - Cboe Blogs

  • Market News | Trader Talk | Trade Ideas | Feb 11, 2016, 12:26 PM

    Earnings Next Week 2/15 - 2/19

    Earnings Next Week 2/15 - 2/19

    We have a holiday shortened week and earnings season is approaching the end of the heavy period, but there are plenty of companies left to report.  Thirty six companies with short dated options available for trading release numbers next week.  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[...]

  • Market News | VIX | Trader Talk | Futures | Trade Ideas | Feb 7, 2016, 12:15 PM

    Weekend Review - VIX Options and Futures - 2/1 - 2/5

    Weekend Review - VIX Options and Futures - 2/1 - 2/5

    Friday provided our first glimpse into how the economy was faring in January and the stock market apparently didn’t like what it saw.  VIX finished the day up 7% which was just under half the over 15% rise we got last week.  The February future managed an 11% gain to finish higher than spot VIX.  However, backwardation is still in place with the February contract higher than the March contract.  More on this after the chart and table below. I’ve been obsessively[...]

  • Market News | VIX | Trader Talk | Strategy | Trade Ideas | Feb 6, 2016, 3:50 PM

    Weekly Review - Volatility Indexes and ETPs - 2/1 - 2/5

    Weekly Review - Volatility Indexes and ETPs - 2/1 - 2/5

    VIX rose last week as did the rest of the volatility indexes that based their levels on S&P 500 Index (SPX) option pricing.  Usually in times of panic VXST (9-day volatility) rises above VIX (30-day volatility), but that was not the case this past week.  You can read this two ways – traders think stocks will rebound or traders are mentally prepared for more downside in the market.  I’m leaning toward the latter. I decided to leave the year to date numbers[...]

  • Market News | VIX | Trader Talk | Strategy | Feb 6, 2016, 9:38 AM

    Weekly Review - Russell 2000 Index and Options - 2/1 - 2/5

    Weekly Review - Russell 2000 Index and Options - 2/1 - 2/5

    Small cap stocks continue to take it on the chin as the Russell 2000 (RUT) dropped almost 5% (4.81% for the quants) last week while the Russell 1000 (RUI) was down 3.16%.  I love how I am conditioned to a 3% drop in a broad based index feeling kind of normal.  My how times have changed. In times of panic the implied volatility of S&P 500 (SPX) options often elevates compared to the implied volatility of RUT index options.  That has not been the case in 2016 and in fact VIX closed[...]

  • Market News | Trader Talk | Trade Ideas | Feb 4, 2016, 6:09 PM

    Block Trade Analysis - Bearish SPX Trade in Front of Employment Report

    Block Trade Analysis - Bearish SPX Trade in Front of Employment Report

    Tomorrow we get the first look at how the economy fared in January.  This insight comes with the release of the January Non-Farm Payrolls number.  I went searching for a trade or two executed late Thursday that may indicate a bullish or bearish market outlook in front of the number. I didn’t have to look too much to find an interesting trade..  Just before the SPX option market closed at 3:15 pm Chicago time there was a buyer of about 500 SPX Feb 26th 1920 Puts at 41.70. [...]

  • Trader Talk | Trade Ideas | Feb 4, 2016, 5:03 PM

    Earnings Next Week - 2/8 - 2/12

    Earnings Next Week - 2/8 - 2/12

    Earnings season is approaching the end of the heavy period, but there are plenty of companies left to report.  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.

  • VIX | Trader Talk | Futures | Trade Ideas | Jan 31, 2016, 4:48 AM

    Weekly Review - VIX Futures and Options - 1/25 - 1/29

    Weekly Review - VIX Futures and Options - 1/25 - 1/29

    The VIX term structure is approaching contango which many VIX watchers will consider a green light for the equity markets, but the February contract stubbornly remains elevated relative to the March contract.  Although on Friday this premium was down to 0.30.  My feeling is February may stay up a bit until we get the employment number behind us this coming Friday.  At that point I guess VIX will be just like the Fed (data dependent). The shorter term curve flattened out[...]

  • Market News | VIX | Trader Talk | Futures | Trade Ideas | Jan 30, 2016, 4:20 PM

    Weekly Review - Volatility Indexes and ETPs - 1/25 - 1/29

    Weekly Review - Volatility Indexes and ETPs - 1/25 - 1/29

    The equity market came to life last week and avoided what could have been the worst January in most of our lifetimes for stocks.  In response the four volatility indexes that are based on SPX option pricing were lower, but all four are also well above where they were to end 2015. I included a year-to-date performance column in this week’s table.  A big part of the motivation was to show the stellar performance of VXX and UVXY (along with the comparable funds) for 2016. [...]

  • Market News | VIX | Trader Talk | Jan 30, 2016, 11:00 AM

    Weekly Review - Russell 2000 Options and Volatility - 1/25 - 1/29

    Weekly Review - Russell 2000 Options and Volatility - 1/25 - 1/29

    The Russell 1000 (RUI) and Russell 2000 (RUT) both put up a respectable week.  However despite the positive week, RUT finished January down 8.85% while RUI was down 5.49%. In an interesting twist, RVX climbed to what is considered a normal premium to VIX last week.  As VIX moved lower, RVX did as well, but not as rapidly.  The result is an RVX to VIX premium of around 20% which is close to the average for the past few years. At least one trader is bullish on small caps[...]

  • Market News | Technical Analysis & Charts | VIX | Trader Talk | Jan 29, 2016, 1:37 PM

    Weekly Stock Market Commentary 1/29/16

    Weekly Stock Market Commentary 1/29/16

    The market has finally stabilized to some extent.  Even though $SPX had wide swings in the past week, there was a net gain over the past five trading days. There is strong support at 1820 (see Figure 1), because that is where this January's decline halted, and where the declines of April and October 2014 also halted.   A breach of that area would be quite negative. Equity-only put-call ratios remain on sell signals.  There have been some attempts by the computer analysis programs[...]

  • Market News | Trader Talk | Trade Ideas | Jan 29, 2016, 7:54 AM

    Earnings Next Week - 2/1 - 2/5

    Earnings Next Week - 2/1 - 2/5

    Earnings season peaked this past week, but there are plenty of companies left to report.  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 | Jan 28, 2016, 7:29 PM

    Block Trade Analysis - Two VIX Trades from Today

    Block Trade Analysis - Two VIX Trades from Today

    We had two big trades come through the VIX pit today and about the only thing they have in common is that they both used March VIX options. First, there was an out of the money bull call spread.  With spot VIX around 22.60 there was a buyer of 80,000 VIX Mar 27 Calls at 1.95 who then sold 80,000 VIX Mar 35 Calls at 0.91 for a net cost of 1.04.  A spike to just over 28.00 gets this trade to the point of profitability.  This requires a closing high for 2016 in VIX since that current[...]

  • Paper by Professor Bondarenko Has Intriguing New Analysis of the Premiums, Returns and Volatility of PUT and WPUT Indexes

    Paper by Professor Bondarenko Has Intriguing New Analysis of the Premiums, Returns and Volatility of PUT and WPUT Indexes

    A new 10-page study examines both the CBOE S&P 500 PutWrite Index (PUT) and the CBOE S&P 500 One-Week PutWrite Index (WPUT), comparing their performances with that of traditional benchmark stock and bond indexes. This is the first comprehensive published study that examines the performance of a benchmark strategy index that incorporates WeeklysSM options. Written by Oleg Bondarenko, professor of finance at the University of Illinois at Chicago, the study -- “An Analysis of Index Option[...]

  • Market News | VIX | Trader Talk | Futures | Jan 25, 2016, 12:39 PM

    Block Trade Analysis - Russell 1000 Long Dated Out of The Money Put

    Block Trade Analysis - Russell 1000 Long Dated Out of The Money Put

    We all know that 2016 has not started out too well for either small or large cap stocks.  This morning a large trade was executed in the Russell 1000 Index (RUI) option pit that appears to be based on fear (or hope) that bearishness in the large cap equity segment continues. Just before 11:00 am Chicago time, with RUI at 1041.59 a buyer of just under 3000 (2980 for the quants) RUI Dec 850 Puts paid 33.00.  We have no idea what the motivation is here, it could be a bearish call on the market[...]

  • Weekly Review - Russell 2000 Index and Options - 1/18 - 1/22

    Weekly Review - Russell 2000 Index and Options - 1/18 - 1/22

    Investors got a slight reprieve from what has been a difficult start to the year as both the Russell 1000 (RUI) and Russell 2000 (RUT) rose last week.  RUI gained 1.36% while the small cap focused RUT was up by 1.28%.  There has been nowhere to hide in 2016, but large cap stocks have held up pretty well versus small caps.  RUI is down just over 7% in 2016 while RUT is down a little more than 10%.  The chart below indexes RUI and RUT to 100 as of December 31st 2015 for comparison’s[...]