Trader Talk Archives - Cboe Blogs

  • Market News | Trader Talk | Mar 12, 2015, 5:57 PM

    Block Trade Analysis - OTM Russell 2000 Bear Call Spread

    Block Trade Analysis - OTM Russell 2000 Bear Call Spread

    The recently blocks I’ve written up in the Russell 2000 tended to be trades in short dated out of the money put options. Despite being on the put side of the equation these big trades were bullish spreads. Typically the Russell 2000 would need to drop several percentage points for those trades to turn sour. Well today it appears someone turned the tables and decided to go with an out of the money bear call spread. Over 64,000 RUT Mar 20th 1280 and 1290 Calls traded today and the best I can[...]

  • VIX | Blogging Options | Trader Talk | Mar 12, 2015, 12:28 PM

    CBOE Mid-Day Update 3.12.15

    CBOE Mid-Day Update 3.12.15

    Volatility as an asset class Volatility has increased for currencies as the euro trades near a 12-year low. Euro Currency Trust (FXE) is recently up 79c to $104.45.  March weekly call option implied volatility is at 21, March is at 16, April is at 12, June is at 10; compared to its 26-week average of 10 according to Track Data, suggesting large near term price movement. PowerShares DB US Dollar Index Up (UUP) is recently down 16c to $26.20. Overall option implied volatility of 10 compares to[...]

  • Market News | Blogging Options | Trader Talk | Mar 12, 2015, 8:00 AM

    Blogging Options: CBOE Morning Update 3.12.15

    Blogging Options: CBOE Morning Update 3.12.15

    Retail Sales for February were down 0.6% (small rise expected, Core off 0.2% as expected).  This following a Jan drop of 0.8% and Dec Sales reporting  -0.9%...   So stock futures are higher.   Weekly Jobless Claims fell, erasing some of last week's spike higher.  Intel (off $1.48) with revenue warning before the open. Traders talking about glut of Crude in US, running out of storage space waiting for higher prices.  FED approved 29/31 major banks capital plans helps[...]

  • VIX | Blogging Options | Trader Talk | Mar 11, 2015, 12:43 PM

    CBOE Mid-Day Update 3.11.15

    CBOE Mid-Day Update 3.11.15

    Volatility as an asset class Express (EXPR) is recently up 36c to $15.31 after the retailer reported better than expected Q4 results and outlook. March call option implied volatility is at 42, April is at 36, July is at 38; compared to its 26-week average of 46. Mastercard (MA) is recently down $1.24 to $87.60 after 12.773M share Spot Secondary priced at $86.85. March call option implied volatility is at 23, April is at 21, May is at 22; compared to its 26-week average of 22. SanDisk (SNDK) is recently[...]

  • Technical Analysis & Charts | Trader Talk | Strategy | Mar 11, 2015, 11:28 AM

    Comparing SPX and MSCI Price Action

    Comparing SPX and MSCI Price Action

    Today CBOE set the date (pending regulatory approval) for the launch of trading of the MSCI EAFE (EAFE) and MSCI Emerging Markets (EEM) index options. Recently I was at a conference where an individual trader told me all he trades is SPX.   He said he loves (his words not mine) the cash settlement feature of SPX options. He went on to say he’d been looking around for another index option market to trade and said he felt EAFE and EEM were going to give him that[...]

  • Market News | Trader Talk | Education | Mar 10, 2015, 12:46 PM

    Will Friday's Selloff Have Legs? - Weekly Market Outlook

    Will Friday's Selloff Have Legs? - Weekly Market Outlook

    (Editors Note:  We meant to put this up yesterday morning, very apropos with today's move lower. Though it wasn't necessarily a bullish week (last week), the market was holding up well enough... until Friday's implosion. That one bad day pulled the market under some key support levels, and as such we now have to entertain the possibility that some selling weakness has been opened. And yet, there's still a beacon of hope for a quick rebound. We'll dissect the broad market's odds[...]

  • VIX | Blogging Options | Trader Talk | Mar 10, 2015, 11:50 AM

    CBOE Mid-Day Update 3.10.15

    CBOE Mid-Day Update 3.10.15

    Volatility as an asset class Barnes & Noble (BKS) is recently down $2.09 to $22.77 on the bookseller sees FY15 retail SSS declining in low-single digits.  March call option implied volatility is at 39, April is at 38, July is at 37; compared to its 26-week average of 42. EMC (EMC) is recently down 60c to $27.26 on the information storage company sees EPS growth accelerating to double digits in 2018. March weekly call option implied volatility is at 30, March is at 24, April is at 23, July[...]

  • Market News | VIX | Blogging Options | Trader Talk | Mar 10, 2015, 8:00 AM

    Blogging Options: CBOE Morning Update 3.10.15

    Blogging Options: CBOE Morning Update 3.10.15

    After yesterday's nice rally, we give it all back.  US Dollar hitting 12-year high (1.076 vs EUR) push Asian shares lower, with European stocks off over 1%. Brent Crude off 1.3%, Gold flat, Grains lower.  + 16 K VIX Futures trade in early hours session. JOLTS Surver after the opening.  Volatility as an asset class: Qualcomm (QCOM) is up $1.43 to $74.10 in the premarket following its increase in capital return programs, including a $15B stock buyback authorization and dividend raise.[...]

  • VIX | Blogging Options | Trader Talk | Mar 9, 2015, 12:03 PM

    CBOE Mid-Day Update 3.9.15

    CBOE Mid-Day Update 3.9.15

    Volatility as an asset class General Motors (GM) is recently up 94c to $37.47 after the company settled a potential proxy battle with an investment group led by Harry Wilson by agreeing to return more cash to shareholders. March weekly call option implied volatility is at 27, March is at 26, April is at 25; compared to its 26-week average of 25. McDonald’s (MCD) is recently up 62c to $97.76 after posting a worse than expected drop in February sales. Same-store sales decreased 1.7% worldwide,[...]

  • VIX | Blogging Options | Trader Talk | Education | Mar 9, 2015, 8:00 AM

    Blogging Options: CBOE Morning Update 3.9.15

    Blogging Options: CBOE Morning Update 3.9.15

    Macerich up $5 on takeover bid.  GM announces a $5 Billion buyback. MCD February Sales disappoint.  Overseas stocks mixed to lower.  Volatility as an asset class: RTI International (RTI) is up $12.72 to $40 in the premarket, the supplier of titanium and specialty metal products and services for the commercial aerospace, defense, energy and medical device markets will be purchased by Alcoa (AA) in a stock-for-stock transaction with an enterprise value of $1.5B.  Overall option[...]

  • Market News | VIX | Trader Talk | Mar 8, 2015, 1:09 PM

    The Week in Small Cap Stocks and Volatility - 3/2 - 3/6

    The Week in Small Cap Stocks and Volatility - 3/2 - 3/6

    With the sell off on Friday, the Russell 2000 was down 1.29% while the Russell 1000 lost 1.51% last week. Small cap stocks underperformed large caps in 2014 and many have expected this to carry over into 2015. However, so far the Russell 2000 has held its own and is up 1.06% for the year which is basically in line with the performance of the Russell 1000. In the volatility space the CBOE Russell 2000 Volatility Index was higher gaining just over 7%. RVX is often considered a measure of small cap[...]

  • Market News | VIX | Trader Talk | Futures | Mar 8, 2015, 10:02 AM

    The Week in VIX - 3/2 - 3/6

    The Week in VIX - 3/2 - 3/6

    VIX moved up to a much greater extent than the front month futures this past week. This is a direct function of the extra risk premium that was priced into near dated VIX futures going into the always treacherous week with the Wednesday ADP number and official unemployment reading that comes out before the equity market opened on Friday. This is not the first time I have pointed this out, but it is definitely worth noting. Check the curve and specifically take a look at April which appears to be[...]

  • Market News | VIX | Trader Talk | Futures | Mar 7, 2015, 12:12 PM

    The Week in VIX Indexes and ETPs - 3/2 - 3/6

    The Week in VIX Indexes and ETPs - 3/2 - 3/6

    On Friday I was a bit distracted by trying to keep up with what was going on in Carlsbad at the CBOE Risk Management Conference while simultaneously attending the monthly residency in Oklahoma for an academic program I’m immersed in.   This morning (Saturday) I just got around to looking at the market action on Friday. I was already aware that the VIX term structure did not go into backwardation on Friday as I could see that at www.cfe.cboe.com. What surprised me is the shape of the[...]

  • Market News | VIX | Trader Talk | Mar 6, 2015, 3:30 PM

    The Weekly Options News Roundup – 3/6/2015

    The Weekly Options News Roundup – 3/6/2015

    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. RMC Highlights The 31st annual CBOE Risk Management Conference (RMC) will be wrapping up later today in Carlsbad, California.  Nearly 350 financial professionals have gathered at RMC to discuss the latest products and strategies for managing risk exposure, enhancing yields and lowering portfolio volatility. Watch[...]

  • VIX | Trader Talk | Education | Mar 6, 2015, 2:00 PM

    Correlation Between Stocks and Sectors Discussion at RMC

    Correlation Between Stocks and Sectors Discussion at RMC

    Jason Goldberg, Portfolio Manager at PIMCO and Marko Kolanovic, Global Head of Quantitative and Derivatives Strategy from JP Morgan teamed up this morning atCBOE's Risk Management Conference (RMC) in Carlsbad, CA for a presentation billed as Correlation Between Stocks and Between Sectors. This presentation was a combination of educational and informative, discussing what traders can learn from trading in correlation and dispersion along with analysis of recent correlations across different markets. Jason[...]