VIX Archives - CBOE Blogs

  • Market News | VIX | Trader Talk | Futures | Jun 7, 2015, 10:35 AM

    Listed Volatility Trading Expanding to Amsterdam and Paris

    Listed Volatility Trading Expanding to Amsterdam and Paris

    The volatility trading world will expand to two new markets this summer as Euronext plans to offer derivatives based two volatility indexes. Plans call for futures trading to commence based on the AEX Volatility Index (VAEX) and the CAC 40 Volatility Index (VCAC) in the next few weeks with options to follow sometime during the third quarter of this year. It has been a while since I checked in on either the Amsterdam based VAEX or Paris based VCAC so I got to running some numbers and creating[...]

  • Market News | VIX | Trader Talk | Futures | Jun 6, 2015, 4:31 PM

    The Week in VIX - 6/1 - 6/5

    The Week in VIX - 6/1 - 6/5

    Summer is here, it’s sunny and 70 degrees outside as I write this so I'm writing fast in order to get out there before the weather turns again. Another indication that summer is here can be seen in the relatively quiet price action in the equity markets. It was a pretty non-volatile day for the markets. About an hour before the markets closed, a trader in the VIX pit actually rang the ceremonial bell (at the urging of the rest of the pit) as a humorous attempt at giving traders the rest of[...]

  • Market News | VIX | Trader Talk | Futures | Jun 6, 2015, 11:04 AM

    The Week in Volatility Indexes and ETPs - 6/1 - 6/5

    The Week in Volatility Indexes and ETPs - 6/1 - 6/5

    The market digested the May Non-Farm Payroll number on Friday with both (weak) bullish and bearish cases being made for equities. I was asked about the number and my very non-quantitative response was to point to a tweet from Benzinga which depicted a guy just shrugging and looking bored. The week was pretty similar with the S&P 500 dropping 0.69% and all four of the volatility indexes in the term structure chart below moving higher, but by less than 4% across the board. The bond market was[...]

  • Market News | VIX | Jun 5, 2015, 3:00 PM

    The Weekly Options News Roundup – 6/05/2015

    The Weekly Options News Roundup – 6/05/2015

    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 and LiveVol: Technological Leaders Unite Earlier this week, CBOE announced the acquisition of Livevol, a technological leader in market data services and the trading analytics space.   The synergies between the two entities will provide customers with greater access to data analytics supporting products[...]

  • VIX | Blogging Options | Trader Talk | Jun 5, 2015, 12:20 PM

    CBOE Mid-Day Update 6.5.15

    CBOE Mid-Day Update 6.5.15

    Volatility as an asset class Proshares UltraShort Barc 20 Year Treasury ETF (TBT) is recently up 93c to $49.69 on May nonfarm payrolls rise 280K and May Unemployment at 5.5%. 6/12/15 call option implied volatility is at 30, June is at 32, September is at 33; compared to its 52-week range of 18 to 35. IShares Barclay 20+ YR Treasury ETF (TLT) is recently down $1.25 to $117.80. 6/12/15 call option implied volatility is at 15, June and July is at 16; compared to its 52-week range of 9 to 18. Wal-Mart[...]

  • Market News | VIX | Blogging Options | Trader Talk | Jun 5, 2015, 8:06 AM

    Blogging Options: CBOE Morning Update 6.5.15

    Blogging Options: CBOE Morning Update 6.5.15

    (Editors Note: Marty Kearney, Editor of CBOE OptionHub and Senior Instructor at Options Institute retires today after long (he says 100 year) option career. He hopes to contribute periodically to our blog).  May NFP reported as a gain of 280K, higher than the 240K expected (but a wide range of expectations this month).  March revised higher, April reduced fractionally. Headline Unemployment rises to 5.5%, caused by Participation Rate rising.  Average Hourly Wage up 0.3%, higher than[...]

  • Market News | VIX | Trader Talk | Strategy | Jun 4, 2015, 7:30 PM

    Earnings Next Week is all About LULU

    Earnings Next Week is all About LULU

    Next week is the biggest lull we will get this summer in the earnings calendar as only the always fun Lululemon Athletica (LULU) is scheduled to report earnings before the open on Tuesday next week. Since we have only one company reporting with short dated options available for trading I thought I would dig into this one a little more. First, here are the historical numbers for LULU based on the last three years or twelve quarters. Based on history, an average LULU move higher or lower off earnings[...]

  • Market News | VIX | Trader Talk | Futures | Jun 4, 2015, 1:30 PM

    Call Stupid Buyer in VIX Options Today

    Call Stupid Buyer in VIX Options Today

    I came across a trade from Wednesday and headed down to the VIX pit to ask some questions before putting up a block trade blog. The response I got was, “Do you want to hear about something more interesting than that?” Usually when a question is answered with a question it is an indication that you should go elsewhere for answers. This is not one of those cases. In trader terms a “stupid” option trade is when a trades comes in a purchases two different options in a spread trade.[...]

  • VIX | Blogging Options | Trader Talk | Jun 4, 2015, 11:48 AM

    CBOE Mid-Day Update 6.4.15

    CBOE Mid-Day Update 6.4.15

    Volatility as an asset class Five Below (FEYE) is recently down after the discount retailer reported on better than expected Q1 results and raising 2015 outlook.  June call option implied volatility is at 33, July and August is at 32; compared to its 52-week range of 33 to 73. Ciena (CIEN) is recently up 46c to $24.90 after reporting better than expected Q2 results and a 2015 outlook. June weekly call option implied volatility is at 42, June is at 30, October is at 35; compared to its 52-week[...]

  • VIX | Blogging Options | Trader Talk | Jun 3, 2015, 12:43 PM

    CBOE Mid-Day Update 6.3.15

    CBOE Mid-Day Update 6.3.15

    Volatility as an asset class Proshares UltraShort Barc 20 Year Treasury ETF (TBT) is recently up $1.35 to $50.08 as traders react to expectations of the FOMC raising rates. June weekly call option implied volatility is at 42, June is at 34, September is at 33; compared to its 52-week range of 18 to 35. IShares Barclay 20+ YR Treasury ETF volatility elevated (TLT) is recently down $1.94 to $117.48.  June weekly call option implied volatility is at 21, June is at 17, July is at 16; compared to[...]

  • So Far VIX in 2015 Tells a Different Story Than 2014

    So Far VIX in 2015 Tells a Different Story Than 2014

    Over the weekend I was asked to take a look at the first five months of 2015 with respect to the volatility markets. Since volatility indexes need to be looked at in relation to recent history I decided to compare VIX in the first five months of 2015 to VIX last year. Before getting to that comparison, keep in mind the stock market action in early 2014 was very similar to that during the first five months of this year.   In 2014 the S&P 500 was up 4.07% while this year the S&P 500[...]

  • Technical Analysis & Charts | VIX | Trader Talk | Education | Jun 1, 2015, 1:55 PM

    Halfway To A Textbook Recession - Weekly Market Outlook

    Halfway To A Textbook Recession - Weekly Market Outlook

    After three straight weeks of bullish progress, the weight of those gains finally proved to be too much. The prod was a surprisingly weak revised reading on Q1's GDP growth. Rather than growing at a 0.2% clip as first thought, the second (of three) updates on the nation's overall economic activity rolled in at -0.7%. That was enough to send the S&P 500 (SPX) (SPY) down 0.63% on Friday, bringing the weekly loss to 0.87%. And yet, the market has yet to move past the point of no return and start[...]

  • VIX | Blogging Options | Jun 1, 2015, 12:00 PM

    CBOE Mid-Day Update 6.1.15

    CBOE Mid-Day Update 6.1.15

    Volatility as an asset class Oncothyreon Inc. (ONTY) is recently up 60c to $4.03 after announcing positive data from the company's ongoing trials of ONT-380, an orally active, reversible and selective small-molecule HER2 inhibitor for the treatment of breast cancer, at the American Society of Clinical Oncology (ASCO) 2015 Annual Meeting.  June call option implied volatility is at 105, July is at 108, November is at 103; compared to its 52-week range of 63 to 288. ImmunoGen, Inc. (IMGN) is recently[...]

  • VIX | Blogging Options | Trader Talk | Jun 1, 2015, 7:52 AM

    Blogging Options: CBOE Morning Update 6.1.15

    Blogging Options: CBOE Morning Update 6.1.15

    Greece and China in the news as we roll into June trading.  Deal/no deal in Greece and mixed economic news reported in China have US futures up fractionally.  MSFT up $0.25 on Windows 10 launch date announcement.  Chicago traders happy about Hawks moving on to Stanley Cup finals. Volatility as an asset class The 'Majors' option implied volatilities is flat into OPEC meeting as WTI Crude Oil futures trade near $59 Exxon Mobil (XOM) June weekly option implied volatility of is at 17,[...]

  • Market News | VIX | Trader Talk | Futures | May 31, 2015, 10:10 AM

    The Week in Russell 2000 Trading - 5/26 - 5/29

    The Week in Russell 2000 Trading - 5/26 - 5/29

    Stocks were lower last week, but the small cap sector seemed to hold up a little better than large caps. The Russell 2000 (RUT) was down 0.45% while the Russell 1000 (RUI) was under a bit more pressure dropping 0.88%. RUT had lost the 2015 performance lead to the large cap focused RUI a few weeks ago, but took the lead back in late May. This performance margin widened last week and RUT is now up 3.47% for the year with the RUI up 2.82%. It is a lead, but definitely a slim margin which can change[...]