• Market News | Blogging Options | Trader Talk | Apr 27, 2015, 7:48 AM

    Blogging Options: CBOE Morning Update 4.27.15

    Blogging Options: CBOE Morning Update 4.27.15

    Traders watching events overseas this morning.  China is hinting at QE, while Japan is lowered one notch by a ratings agency.  Apple earnings after the close, Q1 GDP before the opening Wednesday and FOM Minutes Wed PM.  GDP forecast has been retreating as weather and California dock strike blamed, consensus down to ~1.1%. AMAT ( -$1.50 ) merger off, AXP & TWTR downgraded before the bell, both off fractionally, DB off 4% on restructuring.  40 degrees this morning in Chicago,[...]

  • Market News | VIX | Trader Talk | Futures | Apr 25, 2015, 2:55 PM

    The Week in VIX - 4/20 - 4/24

    The Week in VIX - 4/20 - 4/24

    VIX finished the week at 12.29 which is the lowest close since early December. Despite the S&P 500 making a new all-time high to finish the week, the May VIX futures settled at 14.625, a decent premium relative to VIX. We saw this last month until the Non-Farm Payrolls release. After the number the premium came in pretty quickly. We have to wait to see if the pattern repeats as the number does not come out until Friday May 8th. One of the most dynamic VIX spread trades is a risk reversal in[...]

  • Market News | VIX | Trader Talk | Futures | Apr 25, 2015, 10:26 AM

    The Week in Volatility Indexes and ETPs - 4/20 - 4/24

    The Week in Volatility Indexes and ETPs - 4/20 - 4/24

    The S&P 500 managed to reach a record high for the sixth time this year, but all the applause from bulls last week was for the Nasdaq-100 which made an all-time high for the first time in 15 years. All hail tech! All four volatility indexes that are based off S&P 500 option pricing moved lower last week and three of the four are below the 2014 average. Only VXMT, the 6 month version of VIX, remains elevated relative to the 2014 average. I guess bears may be throwing in the towel for the summer[...]

  • Market News | VIX | Trader Talk | Apr 24, 2015, 3:19 PM

    The Weekly Options News Roundup – 4/24/2015

    The Weekly Options News Roundup – 4/24/2015

    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. New Products at CBOE Options on the MSCI Emerging Markets Index (EM) and the MSCI EAFE Index (EAFE) made their trading debut on CBOE this week.  Andy Lowenthal, Vice President of Business Development at CBOE, discusses these products, and other initiatives, with CT Financial News. “Interview: CBOE Exec Talks[...]

  • VIX | Blogging Options | Trader Talk | Apr 24, 2015, 12:21 PM

    CBOE Mid-Day Update 4.24.15

    CBOE Mid-Day Update 4.24.15

    Volatility as an asset class Altera (ALTR) is recently down 46c to $41.63 after the semiconductor company reported Q1 results that missed expectations. May call option implied volatility is at 72, June is at 67, September is at 41; compared to its 26-week average of 28. American Airlines (AAL) is recently up $1.55 to $53 on Q1 earnings nearly doubling. May weekly call option implied volatility is at 34, May is at 37, June is at 34, August is at 36; compared to its 26-week average of 42. Comcast (CMCSA)[...]

  • 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[...]

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