• 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[...]

  • Market News | Trader Talk | Strategy | Trade Ideas | Feb 28, 2016, 8:35 PM

    Earnings Next Week - 2/29 - 3/4

    Earnings Next Week - 2/29 - 3/4

    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 | Feb 27, 2016, 12:36 PM

    Weekend Review - VIX Options and Futures - 2/22 - 2/26

    Weekend Review - VIX Options and Futures - 2/22 - 2/26

    For the past few years I’ve struggled with things to write when there has been a parallel shift in the curve.  This week we got the first normal curve change of 2016 so there’s that to say.  Kevin Davitt, who is relatively new to The Options Institute keeps noting that the far end of the curve is as flat as he’s ever seen it.  I have to agree and when he inquire how I read things like that I noted that when the curve is flat it indicates a ton of uncertainty and these[...]

  • Market News | VIX | Trader Talk | Education | Futures | Strategy | Feb 27, 2016, 7:00 AM

    Weekend Review - Volatility Indexes and ETPs - 2/22 - 2/26

    Weekend Review - Volatility Indexes and ETPs - 2/22 - 2/26

    This was probably the calmest week we had in the markets in 2016, which is good for the long term investors, but makes my job sort of tough.  VIX put in a 2016 closing low but do note that VXST rose last week.  This past week didn’t really have a lot of the known unknowns such as major economic numbers so short term volatility was pretty tame.  Next week we get an employment number on Friday and I am attributing the rise in VXST to that event. The long funds continued to give[...]

  • Weekend Review - Russell 2000 Options and Volatility - 2/22 - 2/26

    Weekend Review - Russell 2000 Options and Volatility - 2/22 - 2/26

    Small caps played some catch up again last week with the Russell 2000 (RUT) gaining about 2.7% while the large cap oriented Russell 1000 (RUI) was up 1.75%.  There is still more work for RUT to do as it is underperforming RUI by about 3.6% in 2016. VIX made a new 2016 low last week while the CBOE Russell 2000 Volatility Index (RVX) did not.  This is surprising since small cap stocks outperformed large cap stocks last week, but I’m learning that how RVX and VIX interrelate[...]

  • Market News | VIX | Trader Talk | Education | Futures | Feb 26, 2016, 4:20 PM

    February 26, 2016 Weekly Report on CBOE VIX Index Suite

    February 26, 2016 Weekly Report on CBOE VIX Index Suite

    Foreign Exchange Volatility Remains a Hot Spot The chance of divergence between monetary policies and the impact of oil prices and China factors on international trade continues to sustain volatility in foreign exchange VIX indexes: CBOE/CME FX Euro Volatility IndexSM (Ticker: EUVIX); CBOE/CME FX Yen Volatility IndexSM (Ticker: JYVIX)  and CBOE/CME FX British Pound Volatility IndexSM (Ticker: BPVIX). In contrast, this week the CBOE VIX Index stabilized as stock markets rallied[...]

  • Market News | VIX | Trader Talk | Futures | Feb 23, 2016, 9:17 AM

    The Iceman Selleth

    The Iceman Selleth

    Sometimes it's worth letting something simmer on the stove a while to get impressive results, or in this case it's more like letting something ferment in earthenware pots buried in a forgotten location. But the feast five months later is worth the wait and the worry! Back in September I asked an offhand question of my fellow trader, @Option_Iceman, and received no offhand reply; I quickly forgot about the matter and didn't revisit it again until an answer emerged just a few days ago. The curiosity[...]

  • VIX | Trader Talk | Education | Futures | Trade Ideas | Feb 21, 2016, 12:44 PM

    CBOE RMC - Five Things I'm Looking Forward to Next Week

    CBOE RMC - Five Things I'm Looking Forward to Next Week

    One the best parts of my job as Director of Education at The Options Institute is getting to attend each of the Risk Management Conferences offered by CBOE.  Back in the Fall the running theme at both the European and Asian versions of RMC seemed to be how the markets were shifting from a low to high volatility regime.  Early 2016 price action has confirmed this. There are five things that have me particularly excited about heading to Bonita Springs, FL next week for the 32nd Annual RMC[...]

  • VIX | Trader Talk | Education | Futures | Trade Ideas | Feb 21, 2016, 11:39 AM

    Weekend Review Volatility Indexes and ETPs - 2/16 - 2/19

    Weekend Review Volatility Indexes and ETPs - 2/16 - 2/19

    VXST dropped dramatically last week and closed on the lows of 2016.  VIX managed to hold up a little better and looking at the economic calendar for next week I can kind of see why.  VXST often leads VIX so a move below 20.00 next week may not be out of the question.  After I typed that sentence I realized we are only 0.53 away from the teens so it wasn’t the most daring of market predictions. This is the year I am going to focus more on the disconnection in performance[...]

  • Market News | VIX | Trader Talk | Futures | Trade Ideas | Feb 20, 2016, 7:52 PM

    Weekly Review VIX Options and Futures 2/16 - 2/19

    Weekly Review VIX Options and Futures 2/16 - 2/19

    VIX managed to stay in the 20’s despite the most resilient performance from the S&P 500 in 2016.  We did finally give up on the last bastion of backwardation (month 1 versus month 2) as March became the front month with February going off the board Wednesday on the open. The generic short dated VIX curve constructed using Weeklys futures flattened and then some last week based on the drop in VIX and a fairly light economic calendar over the next couple of weeks. [...]

  • Market News | VIX | Trader Talk | Strategy | Feb 20, 2016, 7:12 PM

    Weekly Review Russell 2000 Options and Volatility 2/16 - 2/19

    Weekly Review Russell 2000 Options and Volatility 2/16 - 2/19

    Small caps had a great holiday shortened week with the Russell 2000 (RUT) rising almost 4%.  RUT also played some catch up with the Russell 1000 (RUI) as the large cap benchmark was up a little less than 3%.  However, RUT has a long way to go to catch up with RUI for 2016.  However, there’s a lot of trading left to be done for 2016. The CBOE Russell 2000 Volatility Index (RVX) and VIX both dropped dramatically last week.  However, they dropped in line with each[...]

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