• Trader Talk | Education | Sep 12, 2017, 3:01 PM

    The Evolving Dynamics of VIX Discussion at CBOE RMC

    The Evolving Dynamics of VIX Discussion at CBOE RMC

    The Evolving Dynamics of VIX Futures was one of the most anticipated presentations today at RMC Europe and Alex Orus from Principalium Capital and Erkki Slide from Independent View met all expectations.  Slide noted the current low volatility environment and attributed a combination of the current equity market environment, low individual stock specific volatility, low correlations among S&P 500 constituents, and the trade-off between variance risk premium and tail risk as being factors[...]

  • Trader Talk | Education | Sep 12, 2017, 2:59 PM

    Designer Dispersion Trading Discussed at CBOE RMC

    Designer Dispersion Trading Discussed at CBOE RMC

    In one of the final sessions today at CBOE RMC Europe Riddhi Prasad from Deutsche Bank and Arne Staal of Standard Life Investments delivered a talk titled Designer Dispersion: Identifying Optimized Risk Premium.   The pair discussed dispersion trades for extracting risk adjusted value which is separate from the volatility risk premium.  They also discussed what drives performance in different volatility regimes.  By ‘designer dispersion’ they are referring to using optimized[...]

  • Trader Talk | Education | Sep 12, 2017, 10:48 AM

    How to Hedge Cross-Asset Portfolios with Risk Transfer

    How to Hedge Cross-Asset Portfolios with Risk Transfer

    Kokou Agbo-Bloua from Societe Generale and Natasha Sibley of Henderson Global Investors shared duties in a discussion titled How to Hedge Cross-Asset Portfolios with Risk Transfer this afternoon at CBOE RMC Europe.  They explored how the hedging needs from different investors such as pension funds, asset managers, and insurance companies are drivers of the supply and demand of market correlations.  These hedging needs may result in various trading opportunities.  Natasha showed how[...]

  • VIX | Trader Talk | Education | Sep 12, 2017, 10:45 AM

    RMC Panel on Market Structure

    RMC Panel on Market Structure

    Philip Stafford from the Financial Times moderated a panel on Market Structure for Equity, Equity-Related Options and Volatility Products and FX today at RMC Europe.  The panelists were: Bryan Christian, SVP, Head of US Sales, Bats Global Markets, CBOE Holdings Eric Frait, Vice President, Business Analysis, CBOE/CFE, CBOE Holdings Mark Hemsley, CEO, Bats Europe, CBOE Holdings Paul Millward, Head of FX Product Strategy, CBOE Holdings A topic of interest in Europe is the pending[...]

  • Market News | Trader Talk | Education | Sep 12, 2017, 8:21 AM

    Volatility: Harvest Premia or Hedge Risk?

    Volatility:  Harvest Premia or Hedge Risk?

    Abhinandan Deb from Bank of America Merrill Lynch led a discussion with Roni Israelov from AQR and Neale Jackson from 36 South Capital Advisors to kick off the afternoon session at RMC today.  This was a unique session in that the panelists compared and contrasted either harvesting risk premium or hedging risk with volatility which was appropriately titled Volatility: Harvest Premia or Hedge Risk? An opening statement from Roni was that we are here learning about not losing money or manage risk[...]

  • VIX | Trader Talk | Education | Aug 30, 2017, 12:31 PM

    ETH Liquidity Continues to Improve

    ETH Liquidity Continues to Improve

    CBOE’s Extended Trading Hours (ETH) offers trading in the Exchange’s flagship SPX, SPXW, and VIX® option products beginning at 8:00 a.m. London time.  CBOE made ETH available in March 2015 and has seen significant growth in 2017. Liquidity has continued to improve and has most recently dramatically increased with the entrance of two London-based dealers willing and able to commit capital to trades.  Average daily volume has jumped from 4,400 contracts in 2016 to 7,500[...]

  • Market News | Trader Talk | Trade Ideas | Jul 29, 2017, 11:36 AM

    Weekend Review of Russell 2000 Options and Volatility 7/24/2017 - 7/28/2017

    Weekend Review of Russell 2000 Options and Volatility 7/24/2017 - 7/28/2017

    Large cap stocks held up better than small caps last week and the Russell 1000 (RUI) is now outperforming the Russell 2000 (RUT) by just about 1.00% for the third quarter.  I had high hopes for small cap stocks in the second half of 2017, but those hopes are starting to fade.   The CBOE Russell 2000 (RVX) premium to VIX topped 50% for the first time since early June.  My excuse for the higher RVX to VIX relationship has been blamed on VIX, but with VIX rising a bit next week I have[...]

  • VIX | Trader Talk | Trade Ideas | Jul 29, 2017, 11:32 AM

    Weekend Review of Volatility Indexes and ETPs 7/24/2017 to 7/28/2017

    Weekend Review of Volatility Indexes and ETPs 7/24/2017 to 7/28/2017

    On a week over week basis the S&P 500 was down fractionally.  One would not assume such a small move from SPX when looking at the VXST – VIX – VXV – VXMT curve below.  VXST and VIX made nice moves to the upside while the longer end of the curve moved up a bit less resulting in a slight flattening of the curve.  The long funds that focus on the first and second month futures were up slightly while the short funds were down slightly.  SKEW and VVIX both[...]

  • VIX | Trader Talk | Trade Ideas | Jul 29, 2017, 9:11 AM

    Weekend Review of VIX Futures and Options 7/24/2017 - 7/28/2017

    Weekend Review of VIX Futures and Options 7/24/2017 - 7/28/2017

    This past week is one of those weeks where those new to VIX futures get a lesson in price behavior and the lack of fair value that exists between the futures and the spot index.  VIX rose almost 10% on the week, the August contract was unchanged and the rest of the curve actually moved lower.  The curve had been steep and the result was futures not budging too much when VIX got moving to the upside.  As we enter the last five months of the year I would like to highlight where we[...]

  • VIX | Trader Talk | Trade Ideas | Jul 22, 2017, 3:10 PM

    Weekend Review of Volatility Indexes and ETPs - 07/17/2017 - 7/21/2017

    Weekend Review of Volatility Indexes and ETPs - 07/17/2017 - 7/21/2017

    VIX finished the week just off all-time lows and the VXST - VIX - VXV - VXMT curve shifted lower.  This is a result of realized volatility for S&P 500 price action remaining low and there not appearing to be any speed bumps on the horizon for the financial markets.  VVIX dipped below 80.00 to finish the week and TYVIX is near all-time lows despite there being an FOMC meeting this Wednesday.  The long funds continue to suffer (discussed a little more shortly) and the short funds[...]

  • Market News | Trader Talk | Trade Ideas | Jul 22, 2017, 3:01 PM

    Weekend Review of Russell 2000 Options and Volatility - 7/17/2017 - 7/21/2017

    Weekend Review of Russell 2000 Options and Volatility - 7/17/2017 - 7/21/2017

    Small and large cap index finished the week in what I will call a statistical tie up about 0.5%.  For the year the Russell 1000 (RUI) is now up over 10% while the Russell 2000 has gained a respectable 5.8% in 2017.  We are early in the 3rd quarter of the year, but so far RUI is up 1.98% versus RUT 1.45%.  With VIX so low the CBOE Russell 2000 Volatility (RVX) premium to VIX has popped up a bit.  I’m attributing more to low VIX than high small cap volatility.  It[...]

  • VIX | Trader Talk | Trade Ideas | Jul 21, 2017, 6:54 PM

    Weekend Review of VIX Futures and Options - 7/17/2017 - 7/21/2017

    Weekend Review of VIX Futures and Options - 7/17/2017 - 7/21/2017

    VIX closed Friday a tad shy of an all-time low while the S&P 500 continues to push higher having gained just over ½ a percent last week.  The curve below does appear steep, but the context of VIX being so low should be taken into account. One trader came into the VIX pit mid-day on Friday with what could be considered a massive trade.  With VIX at 9.76 and the standard October contract at 13.70 someone came in with a three-leg bullish trade on VIX.  They sold 262,441 VIX[...]

  • Trader Talk | Trade Ideas | Jul 20, 2017, 3:31 PM

    What's Trading Now? EBAY Bull Put Spread Into Earnings

    What's Trading Now?  EBAY Bull Put Spread Into Earnings

    Other trades of note: Health Care Select Sector SPDR ETF (XLV) at 80.94, a Bear Put Spread traded 1,430 times. The trader bought the Sept 15th 80/74 spread paying .85. iShares MSCI EAFE ETF (EFA) at 66.77, a Bull Put Spread traded 4,684 times. The trader sold the Sept 15th 64/61 spread for a credit of .16. Energy Transfer Equity, L.P. (ETE) at 18.20, a Risk Reversal traded 2,000 times. The trader sold the Oct 20th 18 Puts and bought the Oct 20th 19 Calls collecting .46. Russell 2000 Index[...]

  • Market News | VIX | Trader Talk | Trade Ideas | Jul 16, 2017, 10:27 AM

    Weekend Review of Russell 2000 Options and Volatility - 7/10/2017 - 7/14/2017

    Weekend Review of Russell 2000 Options and Volatility - 7/10/2017 - 7/14/2017

    Stocks had a nice week with many indexes achieving all-time highs.  Small cap stocks in the form of the Russell 2000 (RUT) gained 0.92%, but this rise was outpaced by the Russell 1000 (RUI) which was up 1.4% for the week.  Lately I’ve been fixated on the relationship between the CBOE Russell 2000 Volatility Index (RVX) and VIX.  The RVX premium had been shrinking which led me to think a resurgence in relative performance for small caps was on the horizon.  This trend reversed[...]

  • VIX | Trader Talk | Trade Ideas | Jul 16, 2017, 10:24 AM

    Weekend Review of VIX Options and Futures - 7/10/2017 - 7/14/2017

    Weekend Review of VIX Options and Futures - 7/10/2017 - 7/14/2017

    VIX finished the week at the lowest close since 1993, but the two lower closes came during a holiday week so I’m considering consulting with other VIX watchers with respect to if this is basically an all-time low.  Note the dramatic move in the July contract that goes off the board on the open Monday. The most exciting activity we got from VIX came around lunchtime on Tuesday.  Many traders may have miss VIX running to the mid-11’s and the July contract trading around 12.50. [...]