Trader Talk Archives - CBOE Blogs

  • Market News | Trader Talk | Apr 24, 2015, 11:03 AM

    Earnings Week of 4/27 - 5/1

    Earnings Week of 4/27 - 5/1

    We have a busy week once again on the earnings front.  The table below shows three years of stock price reaction history relative to earnings releases and anything in italics is less than three years -

  • Technical Analysis & Charts | VIX | Trader Talk | Apr 24, 2015, 10:30 AM

    Weekly Market Commentary 4.24.15

    Weekly Market Commentary 4.24.15

    Both bulls and bears are frustrated by recent action. Most recently, $SPX has made repeated attempts to challenge the all-time highs, but it has not yet been able to break out.  There is resistance in the 2110- 2120 area that has contained all advances. In any case, the $SPX chart is still neutral until it breaks out of the triangle in a convincing way. Equity-only put-call ratios have been bullish since around the first of the month. But this week, they began to curl upwards -- a move which[...]

  • Blogging Options | Trader Talk | Apr 24, 2015, 8:10 AM

    Blogging Options: CBOE Morning Update 4.24.15

    Blogging Options: CBOE Morning Update 4.24.15

    Earnings and the Comcast non-deal seem to be the focus this morning.  Futures mixed.  Durable Goods beat but it's all related to Aircraft orders.  Core Rate -0.2% (+0.3% consensus expectation).  Biogen is off over $20 on disappointing sales of a new drug.  AAL up on earnings beat but gave a warning on upcoming currency translations.  Volatility as an asset class: Amazon.com (AMZN) is up $43.51 to $432.77 in the premarket after reporting better than expected Q1 results[...]

  • Market News | Trader Talk | Apr 23, 2015, 6:58 PM

    Block Trade Analysis - EEM Ratio Spread

    Block Trade Analysis - EEM Ratio Spread

    Late Wednesday a big trader came in who appears to have a pretty specific opinion about the Emerging Market Sector.   With less than an hour to go in the trading day there was a buyer of 25,000 EEM May 43.50 Calls at 0.66 who then also sold 50,000 EEM May 44.50 Calls for 0.26. The net result was a trade that does well if EEM moves higher over the next few weeks but not too high. The payoff diagram below shows how this works with a discussion to follow. If held to expiration, this trade[...]

  • Trader Talk | Education | Strategy | Apr 23, 2015, 4:05 PM

    Weekly Weekly's Option Report 4.23.15

    Weekly Weekly's Option Report 4.23.15

    // The titans of tech dominate this week's Weeklys report. Apple, Twitter, Google, Amazon and Microsoft all have earnings coming up in the next few sessions. I’m Angela Miles covering weekly options expiring this Friday and next Friday May 1st. A big night of earning is ahead with Amazon, Google and Microsoft all reporting after the close... Amazon has been getting plenty of options paper flow going into earnings. The[...]

  • VIX | Blogging Options | Trader Talk | Apr 23, 2015, 12:24 PM

    CBOE Mid-Day Update 4.23.15

    CBOE Mid-Day Update 4.23.15

    Volatility as an asset class PepsiCo (PEP) is recently down 94c to $96.34 on solid Q1 results and sees FY15 organic revenue growth in mid-single digits. May weekly call option implied volatility is at 15, June is at 13, July is at 12; compared to its 26-week average of 18. Caterpillar (CAT) is recently down 45c to $84.40 after raising its profit outlook for the year after reporting better than expected Q1 results. May weekly call option implied volatility is at 21, May is at 18, June is at 18, August[...]

  • Blogging Options | Trader Talk | Apr 23, 2015, 7:16 AM

    Blogging Options: CBOE Morning Update 4.23.15

    Blogging Options: CBOE Morning Update 4.23.15

    Earnings from major players hitting the tape (PG off $1.50, CAT up $3, GM misses on top and bottom line and is off $1) and more after the close. Chinese economic numbers (PMI) weak again but Asian shares slightly higher, Europe weak with DAX off 1.2%).  Housing data 30 minutes into trading day.  Volatility as an asset class Facebook (FB) is down $1.13 to $83.51 in the premarket on higher user growth and engagement driving strong ad growth, somewhat offset by foreign exchange headwinds and[...]

  • VIX | Blogging Options | Trader Talk | Apr 22, 2015, 12:07 PM

    CBOE Mid-Day Update 4.22.15

    CBOE Mid-Day Update 4.22.15

    Volatility as an asset class Boeing (BA) is recently down $3.58 to $149.75 on Q1 profit increasing 38% on growth in its commercial-airlines segment. May weekly call option implied volatility is at 19, May is at 17, June and August is at 18; compared to its 26-week average of 22. Coca-Cola (KO) is recently up 47c to $41.25 on better than expected Q1 profit and revenue. May weekly call option implied volatility is at 15, June is at 14, July is at 13, November is at 14; compared to its 26-week average[...]

  • Blogging Options | Trader Talk | Apr 22, 2015, 7:55 AM

    Blogging Options: CBOE Morning Update 4.22.15

    Blogging Options: CBOE Morning Update 4.22.15

    KO and BA Q1 earnings beat estimates but BA revenues with a small miss.  Busy week for earnings, McDonalds expected later this morning with revenues, earnings and same-store-sales looking to be down.  European shares mostly lower on continued Greek uncertainty. 10-year yield falls below 1.91%. Traders in Chicago bleary-eyed as BlackHawks won a Stanley Cup Playoff game in triple-overtime - 1:30amish.  Oh, and it snowed on the way in this morning, Happy Spring.  Volatility as an[...]

  • VIX | Blogging Options | Trader Talk | Apr 21, 2015, 11:51 AM

    CBOE Mid-Day Update 4.21.15

    CBOE Mid-Day Update 4.21.15

    Volatility as an asset class Teva (TEVA) is recently up $1.23 to $64.52 after proposing to acquire all of the outstanding shares of Mylan (MYL) in a transaction valued at $82.00 per Mylan share, with the consideration to be comprised of approximately 50% cash and 50% stock. April weekly call option implied volatility is at 49, May is at 39, June is at 29; compares to its 26-week average of 25. Mylan (MYL) is recently up $6.40 to $74.43.  April weekly all option implied volatility of 47, May[...]

  • Blogging Options | Trader Talk | Apr 21, 2015, 7:54 AM

    Blogging Options: CBOE Morning Update 4.21.15

    Blogging Options: CBOE Morning Update 4.21.15

    Markets look to add to yesterdays gains and Q1 earnings reports continue to flood in.  Overseas markets mostly higher, traders watching events overseas as a Chinese-owned company defaulted overnight and EU and Greece rhetoric getting louder.  May Crude futures expire today.  TEVA, Mylan merger being heard again this morning, Mylan had made a bid for Perrigo last week  MSCI EEM, EAFE Index options launch at CBOE this morning.  Volatility as an asset class IBM (IBM) is up $0.64[...]

  • Technical Analysis & Charts | Trader Talk | Education | Apr 20, 2015, 1:15 PM

    Market Breadth Indicators: An Important Measure of Sentiment

    Market Breadth Indicators:  An Important Measure of Sentiment

    Market breadth is simply how many stocks are being bought vs being sold and how much volume is behind it.  Breadth is an ideal temperature gauge of the market's health at any point in time, and like most indicators is a current read of where price action is likely headed.  Basically, this is not where the money is flowing but what direction (in or out).  Coupled with other sentiment tools such as put/call ratio, volatility index, rydex ratio and polls we can get a very accurate idea[...]

  • Blogging Options | Trader Talk | Apr 20, 2015, 7:45 AM

    Blogging Options: CBOE Morning Options 4.20.15

    Blogging Options: CBOE Morning Options 4.20.15

    US and European stock futures with a nice bounce (DAX up 1.4%) after last weeks pounding, Asian shares lower.  China cuts reserves a larger than expected 100 basis points.  Oil and Gold lower, bonds flat. Lots of earnings reports this week.  PG and COST raised dividends this morning. Option volume on Expiration Friday very good, as over 21.8  million contracts change hands, 1.15mm in SPX.   MSCI EEM, EAFE Index options launch tomorrow.  Volatility as an asset class: Morgan[...]

  • Market News | VIX | Trader Talk | Futures | Apr 19, 2015, 2:16 PM

    The Week in Small Cap Stocks - 4/13 - 4/17

    The Week in Small Cap Stocks - 4/13 - 4/17

    Last week the Russell 2000 moved lower in line with the large cap focused S&P 500, as the RUT was down 1.02% compared to a 0.99% drop in the S&P 500. One method analysts use to gauge small cap risk relative to large cap risk is by comparing the relative levels of VIX and RVX (CBOE Russell 2000 Volatility Index). The chart below shows the daily close for RVX divided by VIX from the beginning of 2014 through Friday along with the average ratio of 1.34 highlighted on the chart. As[...]

  • Market News | VIX | Trader Talk | Futures | Apr 19, 2015, 7:45 AM

    VIX - Week of 4/13 - 4/17

    VIX - Week of 4/13 - 4/17

    We closed a chapter in VIX history with the April 2015 contract going off the board last week and May stepping in to be the new front month. May finished the week over a point closer to the spot VIX index as VIX rose over 10% and the May future only gained about 1.6%. About 45 minutes into the trading day there was a volatility trader looking out to June and expecting VIX to remain below 18.00 or at least be under 18 at June settlement. The trader sold 9,200 VIX Jun 18 Calls at 1.63 and then[...]