• Market News | Technical Analysis & Charts | VIX | Futures | Strategy | Feb 8, 2016, 10:15 AM

    BigTrends.com Weekly Market Outlook - Hanging By A Thread?

    BigTrends.com Weekly Market Outlook - Hanging By A Thread?

    Although stocks were never significantly into profitable territory at any point last week, at the very least on Thursday it looked like we might stabilize with just a very minor loss.  The bears had other plans on Friday, however, sending the market 1.85% lower that day to the lowest close in nearly two weeks. And yet, it's worth noting that neither the S&P 500 (SPX) (SPY) nor the NASDAQ Composite (COMP) broke under their most critical floors; we're still not past the point of no return[...]

  • Market News | VIX | Strategy | Feb 8, 2016, 9:21 AM

    Market in Distribution Continues

    Market in Distribution Continues

    We started a new month this past week, but it was like déjà vu all over again.  The Groundhog declared an early Spring on Tuesday, a change in weather.  But regarding markets, you could have fooled me.  It was the same action we have seen for weeks on end, and it doesn't seem to be letting up.  The vicious selling last week was magnified on Friday after a jobs report that seemed indicate the Fed may be trapped.  I'm not so sure about that, but the market speaks[...]

  • Market News | VIX | Trader Talk | Futures | Trade Ideas | Feb 7, 2016, 12:15 PM

    Weekend Review - VIX Options and Futures - 2/1 - 2/5

    Weekend Review - VIX Options and Futures - 2/1 - 2/5

    Friday provided our first glimpse into how the economy was faring in January and the stock market apparently didn’t like what it saw.  VIX finished the day up 7% which was just under half the over 15% rise we got last week.  The February future managed an 11% gain to finish higher than spot VIX.  However, backwardation is still in place with the February contract higher than the March contract.  More on this after the chart and table below. I’ve been obsessively[...]

  • Market News | VIX | Trader Talk | Strategy | Trade Ideas | Feb 6, 2016, 3:50 PM

    Weekly Review - Volatility Indexes and ETPs - 2/1 - 2/5

    Weekly Review - Volatility Indexes and ETPs - 2/1 - 2/5

    VIX rose last week as did the rest of the volatility indexes that based their levels on S&P 500 Index (SPX) option pricing.  Usually in times of panic VXST (9-day volatility) rises above VIX (30-day volatility), but that was not the case this past week.  You can read this two ways – traders think stocks will rebound or traders are mentally prepared for more downside in the market.  I’m leaning toward the latter. I decided to leave the year to date numbers[...]

  • Market News | VIX | Trader Talk | Strategy | Feb 6, 2016, 9:38 AM

    Weekly Review - Russell 2000 Index and Options - 2/1 - 2/5

    Weekly Review - Russell 2000 Index and Options - 2/1 - 2/5

    Small cap stocks continue to take it on the chin as the Russell 2000 (RUT) dropped almost 5% (4.81% for the quants) last week while the Russell 1000 (RUI) was down 3.16%.  I love how I am conditioned to a 3% drop in a broad based index feeling kind of normal.  My how times have changed. In times of panic the implied volatility of S&P 500 (SPX) options often elevates compared to the implied volatility of RUT index options.  That has not been the case in 2016 and in fact VIX closed[...]

  • Market News | VIX | Education | Feb 5, 2016, 5:00 PM

    The Weekly Options News Roundup – 2/5/2016

    The Weekly Options News Roundup – 2/5/2016

    The Weekly News Roundup is your weekly recap of CBOE features, options industry news and VIX and volatility-related articles from print, broadcast, online and social media outlets. VIX: Overnight Access Granted CBOE announced this week that it will begin overnight dissemination of the CBOE Volatility Index next month, enabling market participants to “view volatility during that period through the same lens used in regular U.S. trading hours.” “CBOE Extends VIX Index Overnight for[...]

  • Market News | VIX | Futures | Feb 5, 2016, 1:52 PM

    VIX Measures of Volatility Boosted by Muddled Economic Outlook

    VIX Measures of Volatility Boosted by Muddled Economic Outlook

    Figure 1. TYVIX, VIX and Foreign Exchange Volatility Indicators VIX volatility indicators for Treasury, equity and foreign exchange markets edged up this week as central bankers and investors appeared equally bemused by the crosscurrents in global economic news. Adding to ongoing concerns about China, low commodity prices, lack of inflation and lackluster growth, yields on sovereign bonds in Europe and Japan turned negative. Negative yields are sometimes viewed as a possible precursor to recession.[...]

  • VIX | Trader Talk | Futures | Trade Ideas | Jan 31, 2016, 4:48 AM

    Weekly Review - VIX Futures and Options - 1/25 - 1/29

    Weekly Review - VIX Futures and Options - 1/25 - 1/29

    The VIX term structure is approaching contango which many VIX watchers will consider a green light for the equity markets, but the February contract stubbornly remains elevated relative to the March contract.  Although on Friday this premium was down to 0.30.  My feeling is February may stay up a bit until we get the employment number behind us this coming Friday.  At that point I guess VIX will be just like the Fed (data dependent). The shorter term curve flattened out[...]

  • Market News | VIX | Trader Talk | Futures | Trade Ideas | Jan 30, 2016, 4:20 PM

    Weekly Review - Volatility Indexes and ETPs - 1/25 - 1/29

    Weekly Review - Volatility Indexes and ETPs - 1/25 - 1/29

    The equity market came to life last week and avoided what could have been the worst January in most of our lifetimes for stocks.  In response the four volatility indexes that are based on SPX option pricing were lower, but all four are also well above where they were to end 2015. I included a year-to-date performance column in this week’s table.  A big part of the motivation was to show the stellar performance of VXX and UVXY (along with the comparable funds) for 2016. [...]

  • Market News | VIX | Trader Talk | Jan 30, 2016, 11:00 AM

    Weekly Review - Russell 2000 Options and Volatility - 1/25 - 1/29

    Weekly Review - Russell 2000 Options and Volatility - 1/25 - 1/29

    The Russell 1000 (RUI) and Russell 2000 (RUT) both put up a respectable week.  However despite the positive week, RUT finished January down 8.85% while RUI was down 5.49%. In an interesting twist, RVX climbed to what is considered a normal premium to VIX last week.  As VIX moved lower, RVX did as well, but not as rapidly.  The result is an RVX to VIX premium of around 20% which is close to the average for the past few years. At least one trader is bullish on small caps[...]

  • Market News | VIX | Futures | Jan 29, 2016, 1:51 PM

    January 29, 2016 Weekly Report on CBOE VIX Indexes

    January 29, 2016 Weekly Report on CBOE VIX Indexes

    Negative Japanese Interest Rates Revive JYVIX Index The JYVIX Index rose to 11.77 at the close on Thursday, ahead of the Bank of Japan’s move to press the Japanese short rate of interest into negative territory early Friday. It was the first time the Japanese central bank adopted a negative interest rate, and this unusual decision propped up global equities as well as the volatility index. The JYVIX Index measures the volatility of the Yen/Dollar rate of exchange. The action was the high note[...]

  • Market News | Technical Analysis & Charts | VIX | Trader Talk | Jan 29, 2016, 1:37 PM

    Weekly Stock Market Commentary 1/29/16

    Weekly Stock Market Commentary 1/29/16

    The market has finally stabilized to some extent.  Even though $SPX had wide swings in the past week, there was a net gain over the past five trading days. There is strong support at 1820 (see Figure 1), because that is where this January's decline halted, and where the declines of April and October 2014 also halted.   A breach of that area would be quite negative. Equity-only put-call ratios remain on sell signals.  There have been some attempts by the computer analysis programs[...]

  • Market News | VIX | Trader Talk | Futures | Trade Ideas | Jan 28, 2016, 7:29 PM

    Block Trade Analysis - Two VIX Trades from Today

    Block Trade Analysis - Two VIX Trades from Today

    We had two big trades come through the VIX pit today and about the only thing they have in common is that they both used March VIX options. First, there was an out of the money bull call spread.  With spot VIX around 22.60 there was a buyer of 80,000 VIX Mar 27 Calls at 1.95 who then sold 80,000 VIX Mar 35 Calls at 0.91 for a net cost of 1.04.  A spike to just over 28.00 gets this trade to the point of profitability.  This requires a closing high for 2016 in VIX since that current[...]

  • Market News | VIX | Trader Talk | Futures | Jan 25, 2016, 12:39 PM

    Block Trade Analysis - Russell 1000 Long Dated Out of The Money Put

    Block Trade Analysis - Russell 1000 Long Dated Out of The Money Put

    We all know that 2016 has not started out too well for either small or large cap stocks.  This morning a large trade was executed in the Russell 1000 Index (RUI) option pit that appears to be based on fear (or hope) that bearishness in the large cap equity segment continues. Just before 11:00 am Chicago time, with RUI at 1041.59 a buyer of just under 3000 (2980 for the quants) RUI Dec 850 Puts paid 33.00.  We have no idea what the motivation is here, it could be a bearish call on the market[...]

  • Market News | Technical Analysis & Charts | VIX | Strategy | Jan 25, 2016, 9:57 AM

    Weekly Market Outlook - Reasons To Be Optimistic Here

    Weekly Market Outlook - Reasons To Be Optimistic Here

    After a scary start to the shortened trading week, Wednesday's intraday turnaround followed-through quite nicely all the way to the end of Friday's trading. By the time the closing bell rang that day, the S&P 500 (SPX) (SPY) had gained 1.4% after being down as much as 3.6% at one point on Wednesday. Better still, there's room for the market to keep rising. It's still too soon to say this is the beginning of what will be a prolonged rally; there remains an entanglement of resistance lines[...]

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