VIX Archives - Cboe Blogs

  • 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[...]

  • Market News | VIX | Trader Talk | Futures | May 30, 2015, 4:14 PM

    The Week in VIX - 5/26 - 5/29

    The Week in VIX - 5/26 - 5/29

    The S&P 500 drop, which can be mostly attributed to market action on Friday, resulted in VIX putting up a pretty bullish week. Everyone is aware that we had a short week last week and VIX traders know this can cause a little disorientation when looking at VIX relative to the futures pricing. The curve below shows that VIX was up over 14% last week while the respective futures were pretty quiet. VIX futures traders are aware that VIX is a bit depressed before long weekends and tends to rebound[...]

  • Market News | VIX | Trader Talk | Strategy | Trade Ideas | May 30, 2015, 11:51 AM

    The Week in Volatility Indexes and ETPs - 5/26 - 5/29

    The Week in Volatility Indexes and ETPs - 5/26 - 5/29

    Short term volatility rose last week based on stock market action and some impact from the holiday weekend. VXST’s 42% rise is partially attributed to the three day weekend being behind us and we can probably give a little credit to the day off Monday for the 14% rise in VIX. The issue that has nothing to do with the four day work week is the shape of the curve below which shows VXST is basically in line with VIX as of Friday's close. This is an indication that[...]

  • Market News | VIX | Blogging Options | May 29, 2015, 3:00 PM

    The Weekly Options News Roundup – 5/29/2015

    The Weekly Options News Roundup – 5/29/2015

    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. Applause, Applause At the GlobalCapital Americas Derivatives Award ceremony in New York City Thursday evening, CBOE was named ‘Derivatives Exchange of the Year – Americas.’ Global Capital cited CBOE’s  “commitment to client service through its extended trading hours initiative, its[...]

  • Market News | Technical Analysis & Charts | VIX | May 29, 2015, 1:15 PM

    Weekly Market Commentary 5.29.15

    Weekly Market Commentary 5.29.15

    $SPX remains stalled just below the all-time highs, which are at 2135. The support at 2070 (the lows of March and April) remains in place. Equity-only put-call ratios are technically still on sell signals. But have been drifting sideways for a couple of weeks. Market breadth oscillators gave sell signals prior to Tuesday's market decline. They remain on those sell signals, despite the broad market's attempt to recover. Volatility indices and derivatives are still quite bullish. Yes, they spiked[...]

  • VIX | Blogging Options | Trader Talk | May 29, 2015, 12:51 PM

    CBOE Mid-Day Update 5.29.15

    CBOE Mid-Day Update 5.29.15

    Volatility as an asset class Altera (ALTR) is recently up $2.18 to $49.15 after The New York Post, CNBC's David Faber and the FT indicated the chip making giant Intel (INTC) has resumed talks about potentially acquiring the company. June weekly call option implied volatility is at 77, June is at 57, September is at 34; compared to 52-week range of 18 to 89. Splunk (SPLK) is recently down $4.69 to $66.36 on week Q1 earnings and outlook. June weekly call option implied volatility is at 35, June and[...]

  • VIX | Blogging Options | Trader Talk | May 28, 2015, 12:07 PM

    CBOE Mid-Day Update 5.28.15

    CBOE Mid-Day Update 5.28.15

    Volatility as an asset class Popeyes (PLKI) is recently down 56c to $57.48 after reporting better than expected Q1 EPS on less than expected revenue. June call option implied volatility is at 29, July is at 28, August is at 30; compared to its 52-week range of 23-47. Abercrombie & Fitch (ANF) is recently up to $2.25 to $21.90 after reporting less than expected Q1 revenue and outlook and says SSS trend has continued to improve in May. June call option implied volatility is at 38, July is at 34,[...]

  • VIX | Blogging Options | Trader Talk | May 26, 2015, 12:45 PM

    CBOE Mid-Day Update 5.26.15

    CBOE Mid-Day Update 5.26.15

    Volatility as an asset class Time Warner Cable (TWC) and Charter (CHTR) volatility decreases on Charter purchasing Time Warner Cable for $55B Time Warner Cable (TWC) is recently up $7.78 to $178.96 on Charter (CHTR) agreeing to purchase for $195.71 a share, with $100 in cash and the remainder in its own stock. June volatility is at 17, compared to level of 30 from last week and its 52-week range of 12–44. Charter (CHTR) is recently down 30c to $175.04. June volatility is at 23, compared[...]

  • Technical Analysis & Charts | VIX | Trader Talk | Futures | May 26, 2015, 9:45 AM

    Bullish Levels Getting Entrenched - Weekly Market Outlook

    Bullish Levels Getting Entrenched - Weekly Market Outlook

    It wasn't a pretty or a convincing bullish move, but stocks did make forward progress last week, putting some distance between them and a huge hurdle that had otherwise been holding it back since February. Still, no later than it cleared that ceiling another possible one developed. We'll take a closer look at this new market situation, right after we review last week's and this week's economic numbers. Economic Data It may not have been a terribly busy week last week on the economic front, but it[...]

  • Market News | VIX | Trader Talk | Strategy | May 25, 2015, 3:43 PM

    The Week in Russell 2000 Option Trading - 5/18 - 5/22

    The Week in Russell 2000 Option Trading - 5/18 - 5/22

    Small cap stocks took the lead from large cap stocks for 2015 last week as the Russell 2000 (RUT) was up 0.66% while the Russell 1000 (RUI) rose only 0.20%. That places RUT slightly in the lead up 3.94% for 2015 versus RUI up 3.73% for the year. I came across an article from Friday that was discussing how low volatility is for the Russell 2000. I always like to think of volatility in relative terms and for the CBOE Russell 2000 Volatility Index (RVX) this means comparing it to VIX. Using[...]

  • Market News | VIX | Trader Talk | Futures | May 25, 2015, 9:32 AM

    The Week in VIX - 5/18 - 5/22

    The Week in VIX - 5/18 - 5/22

    The VIX futures curve was lower last week with June losing more than the index or other futures as it was awarded the official title of “Front Month” with May VIX futures and options settling on the open Wednesday. Below I’ve changed things up a bit and the comparison is a year over year look at VIX and the VIX futures from Friday and a year ago on the Friday before Memorial Day. I was visiting the VIX pit with the attendees of the May version of The Option Institute’s Investing[...]

  • VIX | Trader Talk | Education | Futures | May 24, 2015, 12:32 PM

    The Week in Volatility Indexes and ETPs - 5/18 - 5/22

    The Week in Volatility Indexes and ETPs - 5/18 - 5/22

    The S&P 500 moved up a little last week and the volatility curve moved lower. On the shorter dated end of the volatility term structure chart, there was the three day weekend effect which helped push VXST and VIX a tad bit lower than would be expected in front of a normal two day weekend. Just for the heck of it, I took a look at the curve 52 weeks ago and added it to the diagram below. I expected the 2015 pre-Memorial Day weekend curve to be higher than the 2014 version, but was surprised at[...]

  • Technical Analysis & Charts | VIX | May 23, 2015, 12:22 PM

    Weekly Market Commentary 5.22.15

    Weekly Market Commentary 5.22.15

    Everything is grinding to a halt in this market, and that is probably a sign that an explosive move lies in the not-too-distant future. $SPX has support at the old highs (2120). If that should fail, there should be a good support level at 2070.   Equity-only put-call ratios remain on sell signals, according to the computer programs we use to analyze these charts.  However, it is obvious that these ratios have just been trending sideways for the past few days. Market breadth has been something[...]