• 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[...]

  • Market News | VIX | Trader Talk | Futures | Apr 18, 2015, 1:00 PM

    Volatility Indexes and ETPs - Week of 4/13 - 4/17

    Volatility Indexes and ETPs - Week of 4/13 - 4/17

    Despite an ugly Friday both VXST and VIX remains pretty low relative to recent levels. I again included the 2014 average closing levels to the chart below. This inclusion isn’t so much about noting VIX is lower, but that VXV (3 month volatility) moved above the 2014 average and VXMT (6 month volatility) remains higher than what was the average for last year. Do note that VXV got some love this past week in a discussion by Adam Warner which then led to a story on CNBC.   The links[...]

  • Market News | Trader Talk | Trade Ideas | Apr 18, 2015, 10:55 AM

    Earnings Next Week - 4/20 - 4/24

    Earnings Next Week - 4/20 - 4/24

    The calendar is heavy next week and I do apologize for not posting this a little earlier.  Luckily the majority of companies reporting next week release their numbers on Wednesday or Thursday so there are plenty of opportunities to place a short term option trade based on your outlook for an earnings reaction. As always this list represents three years of earnings reaction history, except when italicized, which indicates there is less than three years of data to work with.  Max is the biggest[...]

  • Market News | VIX | Trader Talk | Apr 17, 2015, 3:06 PM

    The Weekly Options News Roundup – 4/17/2015

    The Weekly Options News Roundup – 4/17/2015

    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. MSCI Options Countdown Options on the MSCI Emerging Markets Index (EM) and the MSCI EAFE Index (EAFE) will make their trading debut at CBOE next week – Tuesday, April 21st.  These new products will give money managers an efficient method for managing risk exposure to equity markets outside the U.S. [...]

  • VIX | Blogging Options | Trader Talk | Apr 17, 2015, 11:53 AM

    CBOE Mid-Day Update 4.17.15

    CBOE Mid-Day Update 4.17.15

    Volatility as an asset class General Electric (GE) is recently up 9c to $27.37 after reporting Q1 operating EPS 31c, consensus 30c. April weekly call option implied volatility is at 21, May is at 16, June is at 17; compared to its 26-week average of 18. Honeywell (HON) is recently down $2.48 to $101.51 after maintaining lower its revenue outlook on a cautious view of the global economy. May call option implied volatility is at 16, June is at 15, September is at 17; compared to its 26-week average[...]

  • Blogging Options | Trader Talk | Apr 17, 2015, 8:25 AM

    Blogging Options: CBOE Morning Update 4.17.15

    Blogging Options: CBOE Morning Update 4.17.15

    Expiration Friday.  March CPI up 0.2%, Core Rate also up 0.2%, mostly in line.  Several factors pushing US Futures lower this morning.  Problems with Greece and EU persist (European shares off 1.3%), China adjusting margins and allowed short selling in the majority of stocks and as some traders are aware, there have been problems with Bloomberg terminals around the world.  A bond auction in England delayed due to this.   More economic data in first hour of trading. [...]

  • VIX | Blogging Options | Trader Talk | Apr 16, 2015, 11:40 AM

    CBOE Mid-Day Update 4.16.15

    CBOE Mid-Day Update 4.16.15

    Volatility as an asset class Philip Morris (PM)) is recently up $5.91 to $84.05 on better than expected Q1 results and outlook. April call option implied volatility is at 23, May is at 84, June is at 13, September is at 14; compared to its 26-week average of 17. Blackstone (BX) is recently up 81c to $41.84 on the asset manager reporting Q1 profit more than doubling. May and June call option implied volatility is at 18; compared to its 26-week average of 24. BlackRock (BLK) is recently down $6.95[...]

  • VIX | Blogging Options | Trader Talk | Apr 16, 2015, 7:58 AM

    Blogging Options: CBOE Morning Update 4.16.15

    Blogging Options: CBOE Morning Update 4.16.15

    Financial stocks doing well this morning on very good earnings, but markets watching European markets for direction.  DAX off ~1.6%, Oil nearing a 2% drop.  Housing Starts in March with a big miss, Weekly Claims rise. Blackhawks with double-overtime, come-from-behind win (game ended 11:25pm last night) has traders looking a little groggy this morning. VIX Futures with 13,500 contracts traded in extended overnight session.  Watch Europe.  Volatility as an asset class Netflix (NFLX)[...]

  • VIX | Blogging Options | Trader Talk | Apr 15, 2015, 12:00 PM

    CBOE Mid-Day Update 4.15.15

    CBOE Mid-Day Update 4.15.15

    Volatility as an asset class Bank of America (BAC) is recently down 19c to $15.64 after reporting Q1 EPS with items 27c, compared to consensus 29c.  April call option implied volatility is at 26, May and June is at 19; compared to its 26-week average of 24. PNC Financial (PNC) is recently down 96c to $92.66 after reporting Q1 revenue fell 1.2%. April call option implied volatility is at 21, May is at 18, August is at 16; compared to its 26-week average of 19. U.S. Bancorp (USB) is recently up[...]

  • Market News | Blogging Options | Trader Talk | Apr 15, 2015, 7:48 AM

    Blogging Options: CBOE Morning Update 4.15.15

    Blogging Options: CBOE Morning Update 4.15.15

    BAC off fractionally as earnings swing to positive ($5.6B less in legal fees helps) but revenue misses.  DAL up $0.50 but even as earnings met, DAL sees turbulance with dollar ahead. GOOG with EU problems this morning. Several Chinese economic numbers missed overnight.  Oil up ~1%.  Empire State Manufacturing off ~1.2% for April (+6.9% March, +7% expected), New Orders at 2-year low. VIX settlement numbers will be released as they are available this morning.  Beige Book data after[...]

  • Market News | Trader Talk | Education | Apr 14, 2015, 2:30 PM

    New Index Option Trading Opportunities at CBOE

    New Index Option Trading Opportunities at CBOE

    Next week, specifically Tuesday April 21st, CBOE will roll out option trading on two indexes calculated by MSCI. The MSCI EAFE (Europe, Australasia, and Far East) and MSCI Emerging Markets (EEM) Index will be the first two of several index option markets based on the MSCI family of indexes that will have listed options available for trading at CBOE. These two new markets will give money managers an efficient method for managing risk exposure to equity markets outside the United States. There will[...]

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