Trader Talk Archives - CBOE Blogs

  • VIX | Trader Talk | Trade Ideas | Jun 3, 2017, 7:40 PM

    Weekend Review of VIX Options and Futures - 5/30/2017 - 6/2/2017

    Weekend Review of VIX Options and Futures - 5/30/2017 - 6/2/2017

    VIX dropped slightly as the S&P 500 powered to more all-time highs last week.  The slight drop in VIX can be attributed to the already extremely low level that it closed last week.  The futures all dropped a little as well, which may be more about moving along in time than lower volatility expectations.  VIX closed under 10.00 more times this year than any other year in history.  The average for VIX is historically low as well in 2017.  So, why is the short VIX trade[...]

  • VIX | Trader Talk | Trade Ideas | May 28, 2017, 9:36 AM

    Weekend Review of Volatility Indexes and ETPs - 5/22/2017 - 5/26/2017

    Weekend Review of Volatility Indexes and ETPs - 5/22/2017 - 5/26/2017

    VXST closed Friday at an all-time low of 7.60 which sounds impressive until you hear that for VXST the history we have to work with only goes back to 2011.  I am going to make a bold prediction and say that VXST will move higher when the market reopens on Tuesday.  Read that as sarcasm as VXST has never followed a three-day weekend without moving higher.  After having a short period of upward movement, the VIX related funds gave back performance and then some last week.  The[...]

  • VIX | Trader Talk | Trade Ideas | May 28, 2017, 8:40 AM

    Weekend Review of VIX Options and Futures - 5/22/2017 - 5/26/2017

    Weekend Review of VIX Options and Futures - 5/22/2017 - 5/26/2017

    VIX finished the week at 9.81, just a tad above the post 2008 lows put in earlier this month.  The June 2017 VIX cycle is five weeks long so there’s still plenty of time until June 21st expiration.  The result is one of the steepest curves a can recall in the six years of posting these weekend blogs.  Friday, about an hour into the trading day, there was an interesting bull put spread executed in the VIX pit.  With VIX at 9.80 and the June 7th VIX Future at 10.80 someone[...]

  • VIX | Trader Talk | Trade Ideas | May 27, 2017, 12:56 PM

    Weekend Review of Russell 2000 Options and Volatility - 5/22/2017 - 5/26/2017

    Weekend Review of Russell 2000 Options and Volatility - 5/22/2017 - 5/26/2017

    Large cap dominance continued last week as the Russell 1000 (RUI) gained 1.41% last week outdoing the Russell 2000 (RUT) performance of 1.09%.  For the year RUI is just a little under 6% ahead of RUT. With VIX finishing the week below 10.00 the CBOE Russell 2000 Volatility Index (RVX) level relative to VIX is at high levels.  That is really more of a function of low volatility across the board, but continued underperformance of small caps is probably a contributing factor as well. [...]

  • VIX | Trader Talk | Trade Ideas | May 21, 2017, 5:55 AM

    Weekend Review of Volatility Indexes and ETPs - 5/15/2017 - 5/19/2017

    Weekend Review of Volatility Indexes and ETPs - 5/15/2017 - 5/19/2017

    The week over week VXST – VIX – VXV – VXMT curve moved higher and appears to have done so in a very parallel fashion.  Since the week over week change doesn’t do the actual activity justice so I added the Wednesday closing curve to the graphic below.  I was honestly a little surprised at how little the S&P 500 dropped on a week over week basis and double checked the number.  I made a joking prediction Thursday morning that we would retrace the Trump Dump[...]

  • Market News | VIX | Trader Talk | Strategy | Trade Ideas | May 20, 2017, 5:23 PM

    Weekend Review of Russell 2000 Options and Volatility - 5/15/2017 to 5/19/2017

    Weekend Review of Russell 2000 Options and Volatility - 5/15/2017 to 5/19/2017

    Small caps did not have a good week, despite the rebound in the equity markets after Wednesday’s swoon.  The Russell 2000 (RUT) was down over 1% last week actually dipping into negative territory for 2017 before recovering at the end of the week.  Large cap stocks as represented by the Russell 1000 (RUI) held up better than small caps with RUI down only 0.40% for the week. When volatility spikes the relative move is usually greater for VIX that the CBOE Russell 2000 Volatility Index[...]

  • VIX | Trader Talk | Trade Ideas | May 20, 2017, 5:14 PM

    Weekend Review of VIX Futures and Options - 5/15/2017 to 5/19/2017

    Weekend Review of VIX Futures and Options - 5/15/2017 to 5/19/2017

    The term structure and payoff below does not do any justice to what those of us that focus on VIX and related markets this past week.  In fact, when the dust settled, all the standard futures were hardly changed on the week. Just to record what did happen last week I made a second term structure chart that includes the close on Wednesday in addition to the Friday closing curves.  As Wednesday was one of the biggest moves for VIX to the upside in several months, there were a few brave[...]

  • VIX | Trader Talk | Trade Ideas | May 13, 2017, 9:24 AM

    Weekend Review of Volatility Indexes and ETPs - 5/8/2017 - 5/12/2017

    Weekend Review of Volatility Indexes and ETPs - 5/8/2017 - 5/12/2017

    This time last week we were all pretty certain that the final round of the French election was a done deal.  Short term SPX implied volatility wasn’t taking any chances with VXST closing last Friday at 11.40.  With the election outcome going as expected VXST got a little crushed and the shape of the VXST – VIX – VXV – VXMT curve moved back to contango.  Both the S&P 500 and VIX dropped last week, as the number of potential stock market land mines over[...]

  • VIX | Trader Talk | Trade Ideas | May 13, 2017, 9:17 AM

    Weekend Review of VIX Futures and Options - 5/8/2017 - 5/12/2017

    Weekend Review of VIX Futures and Options - 5/8/2017 - 5/12/2017

    VIX was slightly lower on the week despite the S&P 500 dropping as well.  The near dated futures worked lower with May finishing Friday at premium of just over 0.80 as that contract goes off the board this coming week.  From August and beyond the futures were actually higher which creates a pretty steep curve below. On Tuesday, we got what I am going to refer to as a MOAVCS (Mother of all VIX Call Spreads).  Near the end of the day a trader came in and purchased at least 195,000[...]

  • VIX | Trader Talk | Trade Ideas | May 7, 2017, 7:24 PM

    Weekend Review of Russell 2000 Options and Volatility - 5/1/2017 - 5/5/2017

    Weekend Review of Russell 2000 Options and Volatility - 5/1/2017 - 5/5/2017

    Large cap stocks widened the performance spread with small cap stocks with the Russell 1000 (RUI) gaining and the Russell 2000 (RUT) dropping a bit last week.  For the year, RUI is up 7.13% while RUT is up 2.94%. VIX dropped last week, but the CBOE Russell 2000 Volatility Index (RVX) was higher.  Admittedly, RVX was up only 0.02 but when combined with the VIX drop of 0.25 the result is a slight widening of the spread between RVX and VIX.  One trader put on a position late Friday[...]

  • VIX | Trader Talk | Trade Ideas | May 7, 2017, 7:21 PM

    Weekend Review of Volatility Indexes and ETPs - 5/1/2017 - 5/5/2017

    Weekend Review of Volatility Indexes and ETPs - 5/1/2017 - 5/5/2017

    The chart below may be one of the final references to the French Election which came to an end this weekend.  Note VXST, which reflects the IV of very short term SPX options was elevated going into the weekend.  I don’t think it is too much of a stretch to say that a quick drop in VXST may be in the cards come Monday morning.  SKEW dropping dramatically last week may be the last bastion of higher volatility dropping.  This happened despite VIX dropping which makes the[...]

  • VIX | Trader Talk | Trade Ideas | May 6, 2017, 9:57 AM

    Weekend Review of VIX Futures and Options - 5/1/2017 - 5/5/2017

    Weekend Review of VIX Futures and Options - 5/1/2017 - 5/5/2017

    VIX managed to (briefly) put in a post Great Financial Crisis low hitting 9.90 on Monday and sneaking in a 9.99 low on Friday as well.  Full disclosure, I didn’t even see the 9.99 print on Friday, but then again, we are getting conditioned against getting too excited when VIX dips below 10.  Worth noting below is the bigger drop in the May future when compared to spot VIX.  Typically, we see this closer to expiration, but when there’s very little on the horizon that the[...]

  • Market News | VIX | Trader Talk | Trade Ideas | Apr 30, 2017, 9:10 AM

    Weekend Review of Volatility Indexes and ETPs - 4/24/2017 - 4/28/2017

    Weekend Review of Volatility Indexes and ETPs - 4/24/2017 - 4/28/2017

    S&P 500 implied volatility was dramatically lower last week.  Of significance is VXV which hit 2017 lows.  I’m teamed up with an academic putting the final touches on a study showing that VXV leads VIX so this may be a signal that the low for VIX in 2017 hasn’t be established and a close below 10.00 is a distinct possibility.  Beyond the long ETPs on the table, which had a pretty tough week, are some other markets worth noting.  First, TYVIX, which was over[...]

  • Market News | VIX | Trader Talk | Trade Ideas | Apr 29, 2017, 1:43 PM

    Weekend Review of Russell 2000 Options and Volatility - 4/24/2017 - 4/28/2017

    Weekend Review of Russell 2000 Options and Volatility - 4/24/2017 - 4/28/2017

    This past week was basically a tie between small and large cap stocks as the Russell 2000 (RUT) and Russell 1000 (RUI) were both up about 1.5%.  Four months into 2017 and RUI continues to maintain a lead of about 3.3% over RUT.  Last week VIX got smashed as did the CBOE Russell 2000 Volatility Index (RVX).  A return to the low end of the range resulted in the VIX / RVX relationship returning to higher levels.   With Weeklys available for trading all kinds of alternatives that[...]

  • VIX | Trader Talk | Trade Ideas | Apr 29, 2017, 9:27 AM

    Outcome: Net Fun

    Outcome:  Net Fun

    Shorting UVXY is sort of like making pancakes and flipping them in the air and catching them with the pan.  You can entertain yourself and others like that for a while, and you just may accumulate a large stack of perfectly browned piping-hot pancakes, but sooner or later some raw batter is going to hit the kitchen floor, and that is not much fun.  And what if everyone eats up all your pancakes in the meantime, and you're stuck with nothing but a kitchen-floor disaster? Well, on Thursday,[...]