• Market News | VIX | Trader Talk | Futures | Mar 14, 2015, 12:28 PM

    The Week in Volatility Indexes and ETPs - 3/9 - 3/13

    The Week in Volatility Indexes and ETPs - 3/9 - 3/13

    The S&P 500 dropped for the third consecutive week with the reaction from the S&P 500 volatility term structure chart being a slight shift to the upside. I altered the term structure graphic that appears below to show where we are right now compared to recently history. My definition of recent history is the average VXST – VIX – VXV – VXMT curve is the average in 2014. What I’ve highlighted here is the spread between the closing levels on Friday and the[...]

  • Market News | Trader Talk | Mar 13, 2015, 9:16 PM

    Block Trade Analysis - Long Dated USO Put Spread

    Block Trade Analysis - Long Dated USO Put Spread

    When I arrived in NY Thursday late Thursday night I ended up with a cab driver who sounded just like Joe Pesci. In fact when he started talking to me I thought it was coming from the video screen in the back seat so I leaned forward to mute the noise. However, the noise never ended… He asked what I do for a living and when options came up his very excited response was, “I want to buy oil options, it’s going to move and I want to know how to make some money when it starts to go back[...]

  • Market News | VIX | Trader Talk | Mar 13, 2015, 3:00 PM

    The Weekly Options News Roundup – 3/13/2015

    The Weekly Options News Roundup – 3/13/2015

    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. A Whole New World Earlier this week, CBOE announced that its first two MSCI Index options -- the MSCI Emerging Markets Index (option ticker: MXEF) and the MSCI EAFE Index (option ticker: MXEA) -- will launch on April 21, pending regulatory approval.  Customers will have the opportunity to efficiently gain exposure[...]

  • Market News | VIX | Blogging Options | Trader Talk | Mar 13, 2015, 12:30 PM

    CBOE Mid-Day Update 3.13.15

    CBOE Mid-Day Update 3.13.15

    WTI & Brent continue lower, pressuring stocks.  U of M Confidence for March drops to 91.2% from 95.4% in February.  117K VIX Futures and 10 million option contracts trade by mid-day.  SPX with 550K and VIX options show 215K change hands.  Euro below 105, Rig count drops for 14th week in a row.  Volatility as an asset class: Energy Select Sector SPDR (XLE) is recently down 0.81 to $74.10 as WTI trades below $47. March call option implied volatility is at 25, April and[...]

  • 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[...]