Trader Talk Archives - Cboe Blogs

  • VIX | Trader Talk | Oct 16, 2017, 12:21 PM

    Some Perspective on High VIX Non-Commercial Short Interest

    Some Perspective on High VIX Non-Commercial Short Interest

    This morning, as I perused my twitter feed that is dedicated to VIX I came across two tweets highlighting the chart below.  Basically, these tweets were noting the high absolute level of Non-Commercial VIX futures short interest that appeared in the CFTC Commitment of Traders (COT) report from last week.  The net position for Non-Commercial VIX futures traders was -174,665, an all-time low.  This figure has some VIX commentators noting a rise in VIX and VIX futures may cause some panicked[...]

  • VIX | Trader Talk | Trade Ideas | Oct 15, 2017, 9:15 AM

    Weekend Review of VIX Options and Futures - 10/9/2017 - 10/13/2017

    Weekend Review of VIX Options and Futures - 10/9/2017 - 10/13/2017

    On a week over week basis VIX hardly budged, but we did have a couple of days with closes over 10.00 both Monday and Tuesday.  In fact, we would have had a double digit VIX highs each day if it weren’t for Friday’s price action falling short by 0.02.  The curve moved lower than VIX as October played catch up with VIX going into this week’s settlement.  Worth noting is the volatility of VIX options.  Specifically, the level of VVIX, which ticked higher last[...]

  • VIX | Trader Talk | Strategy | Trade Ideas | Oct 14, 2017, 11:45 AM

    Weekend Review of Volatility Indexes and ETPs - 10/9/2017 - 10/13/2017

    Weekend Review of Volatility Indexes and ETPs - 10/9/2017 - 10/13/2017

    There are lots of articles floating around discussing the lack of volatility in the markets along with the low level of VIX.  It’s reaching a point where we don’t have much else to say and are just waiting for a change of scenery.  With all that going on, the four volatility indexes based on SPX option pricing remained low and on average were basically unchanged last week.  There is a single data point standing out on the table below.  That is VVIX in the upper 90’s. [...]

  • Technical Analysis & Charts | VIX | Trader Talk | Trade Ideas | Oct 14, 2017, 11:40 AM

    Weekend Review of Russell 2000 Options and Volatility - 10/9/2017 - 10/13/2017

    Weekend Review of Russell 2000 Options and Volatility - 10/9/2017 - 10/13/2017

    The recent dominance of small cap stocks came to an end as the Russell 2000 (RUT) dropped just over 0.5% while the Russell 1000 (RUI) gained 0.13%.  That places RUI at a performance advantage of just over 3.25% for 2017.  The volatility indexes based on large cap (VIX) and small cap indexes (Russell 2000 Volatility Index – RVX) reflect the extra risk that showed up in the underperformance of RUT.  Note the spike down in mid-September on the chart below that was followed[...]

  • VIX | Trader Talk | Oct 11, 2017, 8:21 PM

    Why Shouldn't Market Volatility Be Low?

    Why Shouldn't Market Volatility Be Low?

    Richard Thaler has been doing the media circuit since being announced as the winner of this year’s Sveriges Riksbank Prize in memory of Alfred Nobel (which we all know as the Nobel Prize in Economics).  I heard him reiterate something he said at the CFA Conference in Philadelphia about market volatility.  Basically, he’s surprised stock market volatility is low as well as perplexed by the low level of VIX.  My thought is, “Why wouldn’t stock market volatility[...]

  • VIX | Trader Talk | Trade Ideas | Oct 7, 2017, 11:15 AM

    Weekend Review of VIX Futures and Options - 10/2/2017 - 10/6/2017

    Weekend Review of VIX Futures and Options - 10/2/2017 - 10/6/2017

    Despite closing at an all-time low on Thursday and the S&P 500 gaining over 1% last week, VIX was slightly higher when the dust settled Friday.  The same cannot be said for the VIX futures curve where all contracts lost value last week.  It should be noted that despite the low level (or because of the low level of VIX), VVIX close just shy of 100 last week.  VIX Weeklys continue to become a bigger part of the VIX story with non-standard expirations continuing to experience volume[...]

  • VIX | Trader Talk | Trade Ideas | Oct 7, 2017, 10:41 AM

    Weekend Review of Volatility Indexes and ETPs - 10/2/2017 - 10/6/2017

    Weekend Review of Volatility Indexes and ETPs - 10/2/2017 - 10/6/2017

    The VXST – VIX – VIXM3 – VXMT curve was mixed with VIX rising but the other three S&P 500 related volatility indexes lower on the week. On the summary table, SKEW and VVIX stand out as indications that risk is lurking around the markets.  As a perspective, we have SKEW data going back to 1990 and Friday’s close places the index higher than 99.11% of all observations.  The long-term average (going back to 2007) for VVIX is 87.71, which places Friday’s[...]

  • VIX | Trader Talk | Trade Ideas | Oct 7, 2017, 9:40 AM

    Weekend Review of Russell 2000 Options and Volatility - 10/2/2017 - 10/6/2017

    Weekend Review of Russell 2000 Options and Volatility - 10/2/2017 - 10/6/2017

    Both the Russell 2000 (RUT) and Russell 1000 (RUI) had a solid week with both rising about 1.3%.  Small caps still lag large cap stocks, but since the summer RUT has been slowly chipping away at the lead held but the Russell 1000. After a dip to the lowest levels in 2017, which was then followed by a couple of weeks of small cap outperformance, the relationship between the CBOE Russell 2000 Volatility index (RVX) and VIX has returned to the elevated levels that have been common this year. [...]

  • VIX | Trader Talk | Oct 6, 2017, 10:08 AM

    Fed Survey on Firm Uses of Equity Volatility

    Fed Survey on Firm Uses of Equity Volatility

    Every three months the Federal Reserve conducts a survey titled, “The Senior Credit Officer Opinion Survey on Dealer Financing Terms”.  This report comes in summary form as well as specific responses to 79 questions that are asked each quarter.  Periodically there are some extra questions placed at the end of the survey, needless to say the academic in me got pretty excited when I saw questions 81 through 89 were titled Special Questions on Client Trading in Equity Volatility[...]

  • Market News | VIX | Trader Talk | Trade Ideas | Oct 1, 2017, 10:20 AM

    Weekend Review of VIX Futures and Options - 9/25/2017 - 9/29/2017

    Weekend Review of VIX Futures and Options - 9/25/2017 - 9/29/2017

    VIX remains at low levels and the curve continues to be steep as the volatility markets appear to be braced for ‘something’.  That something is probably an unknown unknown that will shock some very complacent markets.  An interesting VIX trade caught my eye on Friday as it were a little different than most of the trades I’ve come across.  First the trade details and then a little color about that trade.  Friday morning, with VIX around 9.50, there was a buyer[...]

  • VIX | Trader Talk | Futures | Trade Ideas | Oct 1, 2017, 9:03 AM

    Weekend Review of Volatility Indexes and ETPs - 9/25/2017 - 9/29/2017

    Weekend Review of Volatility Indexes and ETPs - 9/25/2017 - 9/29/2017

    The S&P 500 continues to power higher finishing the week (and 3rd quarter) at an all-time high.  The price action last week pushed all the SPX related volatility indexes lower, but not by much.  All were already low and testing levels that have been pretty much a floor before the week commenced.  The long VIX related ETPs reacted as would be expected with VIX hovering in single digits last week with VXX down about 5% and UVXY losing just under 10% on the week.  For the[...]

  • Market News | VIX | Trader Talk | Trade Ideas | Sep 30, 2017, 9:02 AM

    Weekend Review of Russell 2000 Options and Volatility - 9/25/2017 - 9/29/2017

    Weekend Review of Russell 2000 Options and Volatility - 9/25/2017 - 9/29/2017

    Small cap stocks still lag, but the Russell 2000 (RUT) made quite a run over the past couple of weeks and is now up 9.85% on the year compared to 12.5% for the Russell 1000 (RUI).  Friday was the end of the third quarter and with the late quarter move RUT ended up 5.33% higher while RUI gained 3.97%.  The relationship between the CBOE Russell 2000 Volatility Index (RVX) and VIX visited 2017 lows over the past couple of weeks as small cap stocks outperformed large caps.  Despite the[...]

  • VIX | Trader Talk | Sep 27, 2017, 12:38 PM

    Block Trade Analysis - Buyer of 100,000 VIX Oct 17 Calls

    Block Trade Analysis - Buyer of 100,000 VIX Oct 17 Calls

    Another big bullish VIX trade came into the pit today, with VIX just over 10.00 and the October futures at 12.20, a buyer of about 100,000 VIX Oct 17 Calls came into the market paying 0.45 for the whole lot.  The trade got divided up around the pit in several pieces, which shows up in the time and sales from LiveVol below.  There’s just under 3 weeks October 18th when these options settle on the market open so the buyer is either speculating on a volatility spike, or guarding against[...]

  • Market News | VIX | Trader Talk | Trade Ideas | Sep 25, 2017, 4:57 PM

    Block Trade Analysis - VIX Roll Trade

    Block Trade Analysis - VIX Roll Trade

    Back in the day, when I was a lad in Junior High School, the Dead Kennedys remade the theme to the TV show Rawhide.  The song begins, “Rollin’ rollin’ rollin’”, which is the ear worm I get when I see a trade like we had in the VIX pit today.  Specifically, an October spread that got put on in July was rolled out to December.    The first part of the story begins on Friday July 21st when a trader initiated a spread that sold 1 VIX Oct 12 Put for 0.75,[...]

  • Trader Talk | Sep 20, 2017, 12:12 PM

    Block Trade Analysis: Big Emerging Market Index Put Sale

    Block Trade Analysis: Big Emerging Market Index Put Sale

    Everyone knows the equity markets have been putting up a solid 2017.  The S&P 500 is up about 12% and developed markets, excluding North America, as measured by the MSCI EAFE (MXEA) Index is up about 17.5% for 2017.  However, emerging markets, as displayed by the performance of the MSCI Emerging Markets Index (MXEF) has gained almost 29%.  The chart below shows the performance for MXEF in 2017.     A big trade came into the MXEF post at CBOE yesterday that seems[...]