• Market News | VIX | Trader Talk | Futures | Trade Ideas | Nov 15, 2015, 10:40 AM

    The Week in VIX - 11/9 - 11/13

    The Week in VIX - 11/9 - 11/13

    VIX managed a finish over 20 as Friday’s market action raised the level of concern among market participants.  You have to wonder if Friday August 21st and the follow through on the 24th is still fresh in trader’s minds. The short term curve flattened out which seems to be the norm when VIX move higher, since VIX Weeklys are relatively new. Mid-day on Friday while VIX was still under 20.00 (19.60 to be exact), there was a buyer of the VIX Dec 25 Calls who paid 1.10 and[...]

  • Market News | VIX | Trader Talk | Futures | Nov 15, 2015, 9:09 AM

    The Week in Volatility Indexes and ETPs - 11/9 - 11/13

    The Week in Volatility Indexes and ETPs - 11/9 - 11/13

    The S&P 500 took a dive last week in what turned out to be the second worst weekly performance of 2015.  As of Friday the S&P 500 is down 1.7% for the year which would be the first noticeable loss (2011 was down less than 0.01%) since 2008.  The four volatility indexes that use S&P 500 as the underlying all shot higher.  What stands out to me is the high levels for VXV (3-month) and VXMT (6-month) on the chart below.  We are in the midst of high SPX implied volatility[...]

  • Market News | VIX | Trader Talk | Futures | Trade Ideas | Nov 12, 2015, 7:30 AM

    Earnings Next Week - 11/16 - 11/20

    Earnings Next Week - 11/16 - 11/20

    Regular earnings season seems to have come to a close and now the numbers are mostly about retail.  The numbers below represent the last three years of stock price reaction except when the data is in italics (JD for example).

  • Market News | VIX | Trader Talk | Education | Strategy | Nov 8, 2015, 8:13 AM

    The Week in Russell 2000 Trading - 11/2 - 11/6

    The Week in Russell 2000 Trading - 11/2 - 11/6

    The first thing that popped in my mind when I created the first chart in this blog was the story “The Little Engine that Could”.  This was a pre-Thomas the Tank Engine story of a little locomotive that achieves a great feat while telling himself “I think I can” repeatedly.  My mental analogy relates to the Russell 2000 (RUT) line below which pushed higher by over 3% last week closing the 2015 YTD gap with the Russell 1000 and also moved very close to positive territory[...]

  • VIX | Trader Talk | Education | Futures | Nov 7, 2015, 1:58 PM

    The Week in VIX - 11/2 - 11/6

    The Week in VIX - 11/2 - 11/6

    VIX finished the week closer to 14 than 15 based on a muted response to the employment number and a lack of known potential volatility events on the horizon.  The fear index did manage to spend a little time on Monday and Tuesday under 14.00 which is a level that many consider the new ‘floor’ for VIX since we are about to enter a period of increasing interest rates.    The futures all followed the index lower which would be expected with smooth sailing for the stock[...]

  • Market News | VIX | Trader Talk | Futures | Nov 7, 2015, 11:22 AM

    The Week in Volatility Indexes and ETPs - 11/2 - 11/6

    The Week in Volatility Indexes and ETPs - 11/2 - 11/6

    The S&P 500 quietly rose just under 1% last week and VIX worked lower.  Across the board S&P 500 focused volatility indexes dropped with the possibility that any threat of increased volatility in the markets has been pushed out to 2016.  Of course back in August those same indexes dropped as the economic calendar was light and Labor Day was around the corner.  Note what happened on August 21st and August 24th when complacency started setting in. On the table below[...]

  • Market News | VIX | Blogging Options | Nov 6, 2015, 2:32 PM

    The Weekly Options News Roundup – 11/6/2015

    The Weekly Options News Roundup – 11/6/2015

    The Weekly News Roundup is your weekly recap of CBOE features, options industry news and VIX and volatility-related articles from print, broadcast, online and social media outlets. VIX Weeklys: A Better Option for All The newly launched VIX Weeklys options contracts are off to a strong start, trading an average of 25,000 contracts in October.  Matt Moran, CBOE Vice President of Institutional Marketing, explains why VIX Weeklys contracts are a good option for all VIX players. “VIX Weeklys[...]

  • VIX | Trader Talk | Strategy | Nov 4, 2015, 7:18 PM

    Reality Check - VIX, SPX, and Non-Farm Payrolls

    Reality Check - VIX, SPX, and Non-Farm Payrolls

    The first Friday of the month means different things to different people.  For instance, at the Rhoads household that’s taco night!  However, in the world that is the financial markets the first Friday of the month is (typically) the day that the market digests the Non-Farm Payrolls number.  This is often the first number to give us insight into the economy from the previous month.  For example this coming Friday’s Non-Farm Payroll report discusses changes in employment[...]

  • Put the Short Premium in the Bag

    Put the Short Premium in the Bag

    The tale of October happens to be the tale of my friend, "Mr. G," and what he did to turn $39,727.47 on September 30th into $56,239.25 on October 31st.  How's that for some trick-or-treat plunder? Here is the breakdown, separated by types of trades, of which there were only a few.  I'll number the types and show the dates and entry and exit points. 1. The greatest number of trades were made by selling short shares of TVIX on different dates between September 22nd and October 23rd,[...]

  • Market News | VIX | Trader Talk | Trade Ideas | Nov 1, 2015, 3:30 PM

    The Week in Russell 2000 Trading - 10/26 - 10/30

    The Week in Russell 2000 Trading - 10/26 - 10/30

    I’m still playing some catch up from school work and travel which caused me to take my eye off the ball with respect to the markets.  It happens and when it does I’m always surprised by something that occurred while my mind and body were elsewhere.   The big surprise for me this time around was the disconnection between small and large cap stocks that happened over the past couple of weeks. Over the last two weeks of October the Russell 2000 (RUT) was basically unchanged[...]

  • VIX | Trader Talk | Futures | Nov 1, 2015, 12:39 PM

    The Week in VIX - 10/26 - 10/30

    The Week in VIX - 10/26 - 10/30

    VIX, VIX futures and the S&P 500 all moved higher last week.  It happens, but with a couple of major economic events/numbers behind us (FOMC / 3Q GDP) and stocks moving up (although slightly) it was a bit surprising to see all that green when compiling data for this blog. The curve below is a comparison of generic VIX futures based on the number of days to expiration.  For example, Week 1 for the 10/23 curve was the October 28th contract while on the 10/30 curve it represents the November[...]

  • Market News | VIX | Trader Talk | Education | Oct 29, 2015, 10:52 AM

    2015 CBOE RMC Asia Schedule

    2015 CBOE RMC Asia Schedule

    Everyone at CBOE is looking forward to the first Asian version of the popular Risk Management Conference to be held November 30 to December 1 in Hong Kong.  Just today the preliminary schedule was just posted at www.cboermcasia.com which also works for registering to attend. Topics to be covered at the conference include volatility oriented trading strategies, option based portfolio management approaches, how to handle risk management in different volatility environments, and volatility oriented[...]

  • Market News | VIX | Blogging Options | Oct 23, 2015, 2:30 PM

    The Weekly Options News Roundup – 10/23/2015

    The Weekly Options News Roundup – 10/23/2015

    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. Making Waves Across the Pond Last week, CBOE announced it has taken a minority stake in CurveGlobal, a new interest rate trading venue, backed by the London Stock Exchange Group, CBOE and major dealer banks. CurveGlobal will aim to provide customers in that space with a compelling trading alternative that offers new and[...]

  • VIX | Trader Talk | Trade Ideas | Oct 19, 2015, 3:40 PM

    Closing a Volatility Short + Selling an Inverse Volatility Strangle

    Closing a Volatility Short + Selling an Inverse Volatility Strangle

    Let's check back on the progress of a trade last mentioned two posts ago.  This could be described as one of my favorite games ever, formally called "shorting the ultra-long volatility."  I've dabbled in both TVIX and UVXY recently, and the October 6th post illustrated some meat carved off the bone from the eleven-ish level on TVIX down to $9.48, when I just could not resist taking a bite.  To the tune of $651. Never one to be happy with a clean plate, I loaded the plate[...]

  • Market News | VIX | Trader Talk | Futures | Trade Ideas | Oct 18, 2015, 12:36 PM

    The Week in Russell 2000 Trading - 10/12 - 10/16

    The Week in Russell 2000 Trading - 10/12 - 10/16

    Large cap stocks gained and small cap stocks were lower last week with the Russell 1000 (RUI) moving up by 0.77% while the Russell 2000 (RUT) dropped 0.26%.  For the year RUI is down 1.25% and RUT has given up 3.52%. The implied volatility differential finished the week with the CBOE Russell 2000 Volatility Index (RVX) at about a 20% premium to VIX which is pretty close to the average level for this year.  For the moment the risk perception for small cap stocks is at levels[...]

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