• VIX | Trader Talk | Education | Futures | Trade Ideas | Oct 17, 2015, 12:05 PM

    The Week in VIX - 10/12 - 10/16

    The Week in VIX - 10/12 - 10/16

    It has been a while since I’ve started out saying we had a parallel shift in the VIX curve.  That’s what we got last week as the market calmed down a bit and the S&P 500 advanced.  The October contract settles on the open this coming Wednesday and went out at about a point premium to spot VIX which has been the norm over the past few years when VIX has been in the mid to low teens. The short dated curve shifted a little more into contango last week.  It[...]

  • VIX | Trader Talk | Education | Futures | Trade Ideas | Oct 17, 2015, 6:57 AM

    The Week in Volatility Indexes and ETPs - 10/12 - 10/16

    The Week in Volatility Indexes and ETPs - 10/12 - 10/16

    VIX closed under 16.00 for the first time since all the hubbub that occurred in late August as the S&P 500 continued to recover last week gaining 0.90%.  Among the four S&P 500 focused volatility Indexes VIX was the biggest loser shedding almost 12%.  I had been keeping a close eye on VXV as the 3 month time frame that VXV measures comes after the December FOMC announcement.  VXV fell a bit relative to VXMT (6 month volatility) which may be a FOMC indicator and may also be[...]

  • Market News | VIX | Blogging Options | Oct 16, 2015, 2:30 PM

    The Weekly Options News Roundup – 10/16/2015

    The Weekly Options News Roundup – 10/16/2015

    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. Interest Rate Futures thrown a Curve Ball with CurveGlobal CBOE announced today that it has taken a minority stake in CurveGlobal, a new interest rate trading venue.  CurveGlobal is a joint venture between the London Stock Exchange Group, CBOE and major dealer banks.  CurveGlobal will aim to provide customers[...]

  • Market News | VIX | Trader Talk | Futures | Oct 11, 2015, 8:30 AM

    The Week in Russell 2000 - 10/5 - 10/9

    The Week in Russell 2000 - 10/5 - 10/9

    The 4.6% gain for the Russell 2000 (RUT) was the biggest one week gain since late October 2014 when (I think) the market was rebounding from an ebola scare.  Large cap stocks participated in the rally with the Russell 1000 (RUI) rising 3.26%, but this lagged the rebound in small cap stocks.  Despite the ‘win’ for RUT, the Russell 2000 still lags the Russell 1000 by over 1% for 2015 (-3.27 vs. -2.00%). If this past week were homecoming at Volatility High School the[...]

  • Market News | VIX | Trader Talk | Education | Futures | Oct 10, 2015, 10:22 AM

    The Week in Volatility Indexes and ETPs - 10/5 - 10/9

    The Week in Volatility Indexes and ETPs - 10/5 - 10/9

    In Chicago we are already getting use to the Bears getting pummeled each week.  This past week bears everywhere took it on the chin as the S&P 500 put up the best weekly performance in 2015.  What I find interesting on the chart below relates to VIX, which was down 18.4% for the week, which is actually the fourth worst week for VIX this year, despite VIX beginning the week over 20.00. VXX dropped about 11% and SVXY was up closer to 12% last week.  However, the choppy[...]

  • Market News | VIX | Blogging Options | Oct 9, 2015, 3:00 PM

    The Weekly Options News Roundup – 10/9/2015

    The Weekly Options News Roundup – 10/9/2015

    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 Options Are Here - This Week CBOE added VIX options to its suite of Weeklys contract offerings yesterday.  Volume on the first day was more than 4,300 contracts, while volume through mid-day today was already approaching an estimated 40,000 contracts.  VIX Weeklys options contracts will allow investors[...]

  • Market News | VIX | Futures | Oct 9, 2015, 10:44 AM

    VIX Weeklys Options Launched – In VIX Options Chain; More Precision and Responsiveness

    VIX Weeklys Options Launched – In VIX Options Chain; More Precision and Responsiveness

    Yesterday (October 8) was the first day of trading for the VIX Weeklys options, with reported trading volume topping 1,000 contracts. VIX OPTIONS CHAIN A key feature of the new VIX Weeklys options is that they are in the same options chain as the standard-expiration VIX options.  This screenshot below from Bloomberg on the morning of October 9 shows that there now are VIX options expirations on Oct 21, Oct. 28, Nov. 4, Nov. 18, and Dec. 16 (in addition, there are VIX options with longer dated[...]

  • Market News | VIX | Trader Talk | Futures | Oct 3, 2015, 12:00 PM

    The Week in VIX - 9/28 - 10/2

    The Week in VIX - 9/28 - 10/2

    Despite the S&P 500 rising over 1% last week VIX remained over 20.00 for the 30th straight day although it did drop by over 11%.  This run goes back to the beginning of the heightened levels of volatility that began back on August 21st.  The curve below shows that the curve based on standard monthly VIX futures went from backwardation to kind of crooked (that’s not a technical term).  I say crooked because depending on your definition of backwardation or contango the closing[...]

  • Market News | VIX | Blogging Options | Oct 2, 2015, 3:00 PM

    The Weekly Options News Roundup – 10/03/2015

    The Weekly Options News Roundup – 10/03/2015

    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. CBOE RMC Europe Recap CBOE hosted its 4th annual CBOE RMC Europe from Monday through Wednesday this week.  Over 175 industry professionals gathered in Geneva, Switzerland to discuss the latest products and strategies for managing risk, enhancing yields and lowering portfolio volatility.  EQ Derivatives was[...]

  • VIX | Trader Talk | Trade Ideas | Oct 2, 2015, 12:29 PM

    I'm Way Out on the Ice

    I'm Way Out on the Ice

    Let me get right down to numbers, since there will be a lot of numbers amongst the words. In the last post I detailed a bunch of long calls, and an update on those is overdue.  In review:  I had allocated a large (to me) (when it is a risky proposition) amount of money toward seven of the December SVXY calls at the 40 strike, paying about $12.30 each for them (translated to real cost:  $1,230.00 each or $8,610 in total - I'm rounding and ignoring commissions here) when SVXY was about[...]

  • Market News | VIX | Blogging Options | Sep 29, 2015, 7:45 AM

    From RMC Europe: CBOE President and COO Edward Provost on CBOE’s New Initiatives      

    From RMC Europe: CBOE President and COO Edward Provost on CBOE’s New Initiatives      

    CBOE President and COO Edward Provost began Day Two of CBOE RMC Europe in Switzerland with a global perspective, highlighting CBOE updates that will create new opportunities for international traders. Provost called it “gratifying” to open with a VIX product update, noting that some of the earliest adopters in VIX futures and options trading were in Geneva and Zurich. By working with customers, including RMC Europe attendees, CBOE has been able to create a volatility product that more[...]

  • VIX | Trader Talk | Education | Futures | Trade Ideas | Sep 27, 2015, 2:20 PM

    New White Paper Discusses Volatility as a Small Cap Portfolio Hedge

    New White Paper Discusses Volatility as a Small Cap Portfolio Hedge

    A new white paper from our partners over at Russell Indexes Research discusses the merits of using futures on the CBOE Russell 2000 Volatility Index (RVX) to hedge small cap risk.  In the paper “RVX futures as a hedge for small cap-specific risk” Barry Feldman covers volatility products that are currently available to hedge downside risk in equity portfolios and then goes on to compare using VIX futures and RVX futures to hedge a small cap focused portfolio. Feldman uses the market[...]

  • Market News | VIX | Trader Talk | Futures | Trade Ideas | Sep 27, 2015, 7:01 AM

    The Week in Russell 2000 Trading - 9/21 - 9/25

    The Week in Russell 2000 Trading - 9/21 - 9/25

    For the previous couple of weeks small cap stocks were the place to be.  That fad came to an abrupt end last week as the Russell 2000 (RUT) dropped almost 3.5%.  Over the same period of time the large cap focused Russell 1000 (RUI) was lower by 1.57%.  In addition to trailing RUI for the week, RUT is now 6.8% lower for 2015 while the RUI is down 5.92%. For a while it appeared the CBOE Russell 2000 Volatility Index (RVX) was going to return to ‘normal’ levels when compared[...]

  • Market News | VIX | Trader Talk | Futures | Trade Ideas | Sep 26, 2015, 2:05 PM

    The Week in VIX - 9/21 - 9/25

    The Week in VIX - 9/21 - 9/25

    The S&P 500 lost just over 1% and VIX rose 6% and the standard near dated futures were higher as well, but lagged a bit.  This resulted in the curve a bit more backward than it was a week ago. On the short dated futures front the contract expiring this coming Wednesday finished the week at a small discount to VIX while a week ago the contract that settled this past Wednesday was at a slight premium to VIX.  I’m still getting familiar with the short dated curve which move from[...]

  • Market News | VIX | Trader Talk | Education | Futures | Sep 26, 2015, 10:44 AM

    The Week in Volatility Indexes and ETPs - 9/21 - 9/25

    The Week in Volatility Indexes and ETPs - 9/21 - 9/25

    With the drop in the S&P 500 last week the market continues to be on edge.  This is reflected in the uniform move higher in the VXST – VIX – VXV – VXMT curve from last week.  Note the ‘bump’ remains on the VXV data point which represents 3 month implied volatility.  This time frame is the first on the chart below to come after the last two Fed meetings in 2015.  It will be interesting to see if a change in the shape curve coincides with the approach[...]

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