Trader Talk Archives - Cboe Blogs

  • Market News | VIX | Trader Talk | Education | Futures | Oct 10, 2015, 10:22 AM

    The Week in Volatility Indexes and ETPs - 10/5 - 10/9

    The Week in Volatility Indexes and ETPs - 10/5 - 10/9

    In Chicago we are already getting use to the Bears getting pummeled each week.  This past week bears everywhere took it on the chin as the S&P 500 put up the best weekly performance in 2015.  What I find interesting on the chart below relates to VIX, which was down 18.4% for the week, which is actually the fourth worst week for VIX this year, despite VIX beginning the week over 20.00. VXX dropped about 11% and SVXY was up closer to 12% last week.  However, the choppy[...]

  • Market News | Trader Talk | Trade Ideas | Oct 8, 2015, 11:00 AM

    Earnings Next Week - 10/12 - 10/16

    Earnings Next Week - 10/12 - 10/16

    Alcoa reported this week which is the unofficial beginning of earnings season.  Next week several financials release numbers which should be interesting considering the continued inaction by the Fed.  As always the numbers below represent stock price reaction to earnings for the last 3 years.

  • VIX over 20.00 Streak Ends at 30 Days - So Now What?

    VIX over 20.00 Streak Ends at 30 Days - So Now What?

    Even the VIX tourists were paying attention to the long running streak where VIX closed over 20.00.  The run ended at 30 today with VIX finishing at 19.54.   This was not nearly as fun as watching Pete Rose in the summer of 1978, but for some of us, it was quite a ride.  When Pete didn't get a hit on August 1st he was asked what he would do tomorrow, his response, "I guess start another streak".  Unfortunately we can't stick a microphone in front of VIX and ask what[...]

  • Market News | Trader Talk | Education | Trade Ideas | Oct 4, 2015, 7:30 AM

    The Week in Russell 2000 Trading - 9/28 - 10/2

    The Week in Russell 2000 Trading - 9/28 - 10/2

    For the second week in a row large cap stocks outperformed small cap stocks by about 1.5%.  The big difference this week was that the Russell 1000 (RUI) was higher while the Russell 2000 (RUT) lost value.  The previous week RUI lost less than RUT, but both had pretty lousy weeks.  For the year RUI is now down a little more than 5% while RUT has lost just over 7.5%. The CBOE Russell 2000 Volatility (RVX) index finished the week at a little over a 10% premium to VIX.  This lack[...]

  • Market News | VIX | Trader Talk | Futures | Oct 3, 2015, 12:00 PM

    The Week in VIX - 9/28 - 10/2

    The Week in VIX - 9/28 - 10/2

    Despite the S&P 500 rising over 1% last week VIX remained over 20.00 for the 30th straight day although it did drop by over 11%.  This run goes back to the beginning of the heightened levels of volatility that began back on August 21st.  The curve below shows that the curve based on standard monthly VIX futures went from backwardation to kind of crooked (that’s not a technical term).  I say crooked because depending on your definition of backwardation or contango the closing[...]

  • Market News | Trader Talk | Trade Ideas | Oct 2, 2015, 12:34 PM

    Earnings Next Week - 10/5 - 10/9

    Earnings Next Week - 10/5 - 10/9

    Of the companies reporting next week my favorite to watch is YUM! Brands (YUM).  About half their sales come from China and in my mind this is one of the best ways to get an idea what is going on in that part of the world.  As always the numbers represent the last 12 earnings announcements.

  • VIX | Trader Talk | Trade Ideas | Oct 2, 2015, 12:29 PM

    I'm Way Out on the Ice

    I'm Way Out on the Ice

    Let me get right down to numbers, since there will be a lot of numbers amongst the words. In the last post I detailed a bunch of long calls, and an update on those is overdue.  In review:  I had allocated a large (to me) (when it is a risky proposition) amount of money toward seven of the December SVXY calls at the 40 strike, paying about $12.30 each for them (translated to real cost:  $1,230.00 each or $8,610 in total - I'm rounding and ignoring commissions here) when SVXY was about[...]

  • VIX | Trader Talk | Education | Futures | Trade Ideas | Sep 27, 2015, 2:20 PM

    New White Paper Discusses Volatility as a Small Cap Portfolio Hedge

    New White Paper Discusses Volatility as a Small Cap Portfolio Hedge

    A new white paper from our partners over at Russell Indexes Research discusses the merits of using futures on the CBOE Russell 2000 Volatility Index (RVX) to hedge small cap risk.  In the paper “RVX futures as a hedge for small cap-specific risk” Barry Feldman covers volatility products that are currently available to hedge downside risk in equity portfolios and then goes on to compare using VIX futures and RVX futures to hedge a small cap focused portfolio. Feldman uses the market[...]

  • Market News | VIX | Trader Talk | Futures | Trade Ideas | Sep 27, 2015, 7:01 AM

    The Week in Russell 2000 Trading - 9/21 - 9/25

    The Week in Russell 2000 Trading - 9/21 - 9/25

    For the previous couple of weeks small cap stocks were the place to be.  That fad came to an abrupt end last week as the Russell 2000 (RUT) dropped almost 3.5%.  Over the same period of time the large cap focused Russell 1000 (RUI) was lower by 1.57%.  In addition to trailing RUI for the week, RUT is now 6.8% lower for 2015 while the RUI is down 5.92%. For a while it appeared the CBOE Russell 2000 Volatility Index (RVX) was going to return to ‘normal’ levels when compared[...]

  • Market News | VIX | Trader Talk | Futures | Trade Ideas | Sep 26, 2015, 2:05 PM

    The Week in VIX - 9/21 - 9/25

    The Week in VIX - 9/21 - 9/25

    The S&P 500 lost just over 1% and VIX rose 6% and the standard near dated futures were higher as well, but lagged a bit.  This resulted in the curve a bit more backward than it was a week ago. On the short dated futures front the contract expiring this coming Wednesday finished the week at a small discount to VIX while a week ago the contract that settled this past Wednesday was at a slight premium to VIX.  I’m still getting familiar with the short dated curve which move from[...]

  • Market News | VIX | Trader Talk | Education | Futures | Sep 26, 2015, 10:44 AM

    The Week in Volatility Indexes and ETPs - 9/21 - 9/25

    The Week in Volatility Indexes and ETPs - 9/21 - 9/25

    With the drop in the S&P 500 last week the market continues to be on edge.  This is reflected in the uniform move higher in the VXST – VIX – VXV – VXMT curve from last week.  Note the ‘bump’ remains on the VXV data point which represents 3 month implied volatility.  This time frame is the first on the chart below to come after the last two Fed meetings in 2015.  It will be interesting to see if a change in the shape curve coincides with the approach[...]

  • Market News | VIX | Trader Talk | Education | Sep 24, 2015, 1:51 AM

    RMC Europe Day 2 Preview

    RMC Europe Day 2 Preview

    The second day is always the most jam packed day at Risk Management and this year’s European stop in Geneva is full of thought provoking presentations. The day begins with a welcome address from Ed Provost, President and COO of CBOE Holdings.  The welcome address normally touches on new product initiatives and I look forward to finding out what CBOE has in store.  Paul Donovan, the Global Economist from UBS follows the welcoming address delivering a presentation titled, “It[...]

  • Market News | Trader Talk | Trade Ideas | Sep 21, 2015, 12:40 AM

    Earnings Next Week - 9/21 - 9/24

    Earnings Next Week - 9/21 - 9/24

    We are still in a pretty light period as far as earnings announcements go.  Things don't kick off until Thursday with ACN in the morning and NKE and BBBY in the afternoon.  As always the numbers below depict the last three year's worth of stock price reactions to earnings announcements.

  • Market News | VIX | Trader Talk | Futures | Trade Ideas | Sep 19, 2015, 12:00 PM

    The Week in VIX - 9/14 - 9/18

    The Week in VIX - 9/14 - 9/18

    VIX was slightly lower despite the S&P 500 dropping a little last week.  I would not read anything into this slight market anomaly(both SPX and VIX dropping last week).  VIX actually showed the type of behavior we are accustomed to with equity implied volatility leading up to and after an earnings report.  Just think of the FOMC announcement as a kind of earnings announcement for the equity markets. The September contract settled Wednesday last week and now October is the front[...]

  • Market News | VIX | Trader Talk | Education | Sep 19, 2015, 5:42 AM

    The Week in Volatility Indexes and ETPs - 9/14 - 9/18

    The Week in Volatility Indexes and ETPs - 9/14 - 9/18

    All four of the S&P 500 oriented volatility indexes dropped last week as we finally got the September FOMC meeting behind us.  At this point there are two more meetings in 2015.  What I find interesting is VXV, which is a measure of 3 month expected volatility held up more than the other three indexes.  It just so happens that 3 months from this week is also the final FOMC meeting of the year. In the ETN space, VXX, UVXY, and TVIX gave up more of the recent gains despite the VIX[...]