SPX Archives - CBOE Blogs

  • Market News | VIX | Trader Talk | Futures | Trade Ideas | Aug 27, 2015, 9:51 AM

    Return of the Big VIX Trade

    Return of the Big VIX Trade

    Beginning back in the spring there was a very large 1 x 2 VIX Call spread that was rolled from month to month for several months.  With the excess volatility it appears the trade was exited earlier this week.  But that is apparently not the end of the story…. Yesterday there was a buyer of about 92,000 VIX Oct 15 Calls for 8.00 who sold about 184,000 VIX Oct 21 Calls at 4.80 which boils down to a credit of 1.60 per spread.  The payoff, if held to October expiration, appears below[...]

  • Trader Talk | Aug 26, 2015, 4:13 PM

    Earnings Next Week - Aug 31 - Sep 4

    Earnings Next Week - Aug 31 - Sep 4

    The second quarter earnings season is pretty much behind us and there are only five companies releasing numbers next week.  All the history below is based on three years of earnings reactions with the exception of AMBA which falls one quarter short of the three year threshold. 

  • Market News | VIX | Trader Talk | Strategy | Aug 25, 2015, 6:21 PM

    Trade in Which I Get a Black Eye, but Escape a Worse Black Eye

    Trade in Which I Get a Black Eye, but Escape a Worse Black Eye

    It was a black eye I gave myself, of course.  If this blog were all sunshine and lollipops - well, that would be great.  I'll work on it.  For now, it's not happening. So last week I got it into my head to sell some UVXY 55 calls, thinking that strike was unlikely to hit.  Under "normal" market conditions, that would be a reasonable belief.  As everyone and their kid's kindergarten teacher knows by now, the market has had a "correction."  I got sent[...]

  • Market News | VIX | Trader Talk | Futures | Aug 24, 2015, 8:20 PM

    VIX and Volatility Markets Today - 8/24/2015

    VIX and Volatility Markets Today - 8/24/2015

    First, a quick discussion of the VIX quotes from early today.  Just as the equity market opened the S&P 500 E-mini futures went limit down.  Market makers in the SPX pit at CBOE use the futures for hedging purposes so it was difficult for the traders in the pit to asses where the equity market was going and this created a pause is quoting.  Following the limit down situation there was spotty quoting in SPX and SPXW options so VIX values were not being disseminated.  The VIX[...]

  • Market News | Technical Analysis & Charts | VIX | Trader Talk | Aug 23, 2015, 11:05 AM

    The Week in Russell 2000 Trading - 8/17 - 8/21

    The Week in Russell 2000 Trading - 8/17 - 8/21

    Small cap stocks held up (generous term here) well versus large cap stocks last week.  The Russell 2000 (RUT) was down 4.61% while the large cap focused Russell 1000 (RUI) lost 5.73%.  The drop for RUI was the biggest one week lost since mid-September 2011.  For the year RUT and RUI are down 3.98% and 3.89% respectively.  I’m going to say that’s a tie with just over four months to go. With RUT holding up relative to RUI small cap risk, as measured by the CBOE Russell[...]

  • Market News | VIX | Trader Talk | Aug 22, 2015, 12:36 PM

    The Week in VIX - 8/17 - 8/21

    The Week in VIX - 8/17 - 8/21

    VIX more than doubled last week in what was the biggest week over week percent change for VIX in history. Specifically VIX rose 118% from Friday to Friday.   This past week was August settlement week for VIX futures and options. In the past this would mean that the next expiring future would have weeks of trading left. However, we now have VIX Weeklys trading at the CBOE Futures Exchange. More on that in a minute. The curve shifted higher and into backwardation last week. The cheapest future[...]

  • Market News | VIX | Trader Talk | Futures | Aug 22, 2015, 11:22 AM

    The Week in Volatility Indexes and ETPs - 8/17 - 8/21

    The Week in Volatility Indexes and ETPs - 8/17 - 8/21

    The S&P 500 was down 5.77% and S&P 500 related volatility indexes did exactly what traders would expect. They shot higher and the curve became as inverted as it has been in the last three to four years. I’m pretty sure the last time the VXST – VIX – VXV – VXMT curve was in this sort of backwardation was in August 2011. For the record VXST was up 231%, VIX rose 118%, VXV gained 51%, and VXMT was higher by about 34% for the week.   Before the week began, XIV[...]

  • Market News | Trader Talk | Trade Ideas | Aug 20, 2015, 10:54 AM

    Earnings Next Week - 8/24 - 8/28

    Earnings Next Week - 8/24 - 8/28

    Things are starting to slow down with respect to the earnings calendar, but there are still plenty of trading opportunities next week.  As always the numbers below summarize reactions to earnings over the last 12 quarters with the exception of WDAY which only has 11 quarters of history to work with.

  • Trader Talk | Education | Aug 19, 2015, 2:44 PM

    Unusual Option Pricing in SHAK Explained

    Unusual Option Pricing in SHAK Explained

    After what seemed like a long wait for some anxious traders, options on Shake Shack (SHAK) commenced trading last week. The chart below is a depiction of weekly price action in SHAK since the company went public early this year.   I can see why traders were clamoring for the listing of SHAK options. Something in the SHAK option arena that has gotten a lot of attention is what appears to be a breakdown in put-call parity. Using options, a trader can create a synthetic long position in SHAK[...]

  • Trader Talk | Aug 19, 2015, 10:00 AM

    Long August VIX Puts Into Expiration

    Long August VIX Puts Into Expiration

    Author's note - over the weekend I discussed the price behavior of VIX futures and options into monthly settlement.  I start this blog off restating the idea behind this sort of trade and then follow up with the outcome based on Tuesday closing prices and today's August VIX Settlement of 14.78.  The Backstory Something I have been watching for some time is the futures pricing relative to spot VIX the Friday before settlement. The spread, when very little is going on, is usually about a[...]

  • Trader Talk | Education | Trade Ideas | Aug 18, 2015, 4:33 AM

    Gilead Sciences Inc. (GILD) Risk, Did Option Market Price It Correctly?

    Gilead Sciences Inc. (GILD) Risk, Did Option Market Price It Correctly?

    Editor’s note:  Park Research LLC @ParkResearch is a relative newcomer to the CBOE Options Hub family.  “Gilead Sciences Inc. (GILD) has 12 products in the Phase II trials and 7 products in the Phase III trials. Everything about the company’s fundamentals can change in a single day when the FDA makes a definitive decision on a late stage drug trial.” (http://www.cmlviz.com/cmld3b/lite.php?app=rc&ticker=GILD) As option traders, we constantly look for[...]

  • VIX | Trader Talk | Trade Ideas | Aug 17, 2015, 7:29 PM

    The Bull Market Lives! Long Live the Bull Market...

    The Bull Market Lives!  Long Live the Bull Market...

    ...or at least through the end of this week.  After that I'll be ready for anything else, but please - whatever is keeping volatility low - stay stable for a few more days. My escapades this month started on August 3rd, when I thought I'd draw a line in the sand for UVXY.  See chart below. UVXY was in the $25 range that day and its fraternal twin VIX was in the low 12s. I calculated that UVXY was unlikely to sink as low as $24 during the next two weeks, and wrote puts at that strike for[...]

  • Market News | VIX | Trader Talk | Futures | Trade Ideas | Aug 16, 2015, 5:45 AM

    Last Week in Russell 2000 Trading - 8/10 - 8/14

    Last Week in Russell 2000 Trading - 8/10 - 8/14

    Large cap stocks eked out a win last week with the Russell 1000 (RUI) rising 0.69% versus a 0.48% gain for the Russell 2000 (RUT). The chart below indexes the performance for RUI and RUT to 100 at the beginning of 2015 for an apples to apples comparison. Despite RUT and RUI basically performing in line with each other, large cap risk, as indicated by index option pricing, dropped a bit relative to small cap risk. The chart below displays the percent premium of the CBOE Russell 2000 Volatility[...]

  • Market News | VIX | Trader Talk | Futures | Aug 15, 2015, 8:37 AM

    The Week in Volatility Indexes and ETPs - 8/10 - 8/14

    The Week in Volatility Indexes and ETPs - 8/10 - 8/14

    Three out of four volatility indexes calculated using S&P 500 Index options to determine a consistent measure of implied volatility were lower last week. For all of 2015 the father dated volatility indexes have been elevated relative to VXST and VIX. We are now approaching a time where the potential for a rate hike is closing in. That may be the reason VXV held up last week while the other three indexes dropped. The stock market had a rocky ride, but finished the week higher. Everyone’s[...]

  • Market News | VIX | Blogging Options | Trader Talk | Aug 14, 2015, 4:00 PM

    The Weekly Options News Roundup – 8/14/2015

    The Weekly Options News Roundup – 8/14/2015

    The Weekly News Roundup is your weekly recap of CBOE features, options industry news and VIX and volatility-related articles from print, broadcast and online and social media outlets. VIX Weeklys All The Buzz After the launch of VIX weekly futures contracts in July, investors won’t have long to wait until VIX Weeklys options are launched on October 8.  These contracts offer market participants a more precise hedging tool around event-driven trading. “CBOE to Launch Weekly VIX Options[...]