VIX Archives - CBOE Blogs

  • VIX | Trader Talk | Education | Mar 6, 2015, 2:00 PM

    Correlation Between Stocks and Sectors Discussion at RMC

    Correlation Between Stocks and Sectors Discussion at RMC

    Jason Goldberg, Portfolio Manager at PIMCO and Marko Kolanovic, Global Head of Quantitative and Derivatives Strategy from JP Morgan teamed up this morning atCBOE's Risk Management Conference (RMC) in Carlsbad, CA for a presentation billed as Correlation Between Stocks and Between Sectors. This presentation was a combination of educational and informative, discussing what traders can learn from trading in correlation and dispersion along with analysis of recent correlations across different markets. Jason[...]

  • VIX | Blogging Options | Trader Talk | Mar 6, 2015, 1:05 PM

    CBOE Mid-Day Update 3.6.15

    CBOE Mid-Day Update 3.6.15

    Volatility as an asset class Apple (AAPL) is recently up $1.30 to $127.72 on the company replacing AT&T (T) in the Dow Jones Industrial Average on March 18.  March weekly call option implied volatility is at 29, March is at 28, April is at 27; compared to its 26-week average of 26. VIX methodology for Apple (VXAPL) up 2.6% to 29.53, compared to 50-day MA of 31.60. Apple (AAPL) replacing AT &T (T) in Dow Jones Industrial Average (DJX). Proshares UltraShort Barc 20 Year Treasury ETF (TBT)[...]

  • Market News | VIX | Blogging Options | Trader Talk | Mar 6, 2015, 8:15 AM

    Blogging Options: CBOE Morning Update 3.6.15

    Blogging Options: CBOE Morning Update 3.6.15

    February Non-Farm Payrolls gain a surprising 295K jobs.  Participation Rate 62.8%.  Unemployment rate falls to 5.5%.  10-year rate rises to 2.2%.  Will the monthly jobs report allow the FED to raise rates sooner rather than later?  US stock futures turn negative.  Apple (up $1.00) replaces T in the DJIA in two weeks.  Last day of CBOE's RMC.  Volatility as an asset class Staples (SPLS) is off $0.21 to $16.29 in the preopen on inline Q4 results and guidance.[...]

  • The Art of Hedging Discussed at RMC

    The Art of Hedging Discussed at RMC

    The last presentation of the day today at CBOE’s Risk Management Conference also turned out to be one of the best. Boris Lerner, Head of US Quantitative and Derivative Strategies at Morgan Stanley and Arie Aboulafia, Senior Portfolio Manager from Capstone Investment Advisors teamed up to discuss “The Art of Hedging”.  Many market participants have forgotten that there is a non-quantitative aspect to investing and trading since the industry has become so quantitative. This session[...]

  • Market News | VIX | Blogging Options | Trader Talk | Mar 5, 2015, 11:14 AM

    2015 Risk Management Conference: CBOE President and COO Edward Provost on New Initiatives

    2015 Risk Management Conference: CBOE President and COO Edward Provost on New Initiatives

    Thursday, March 5, 2015       CBOE President and COO Edward Provost kicked off Day Two of RMC with an update on recent CBOE developments, highlighting the exchange’s efforts to broaden access to its marketplace and to   expand and diversify its product offerings. Provost began with an update on CBOE’s extended trading hours initiative.  Last June, CFE implemented near 24-hour trading in VIX futures.  Approximately 9 percent of all VIX futures trading[...]

  • Technical Analysis & Charts | VIX | Education | Mar 4, 2015, 8:15 PM

    BXY and PUT Indexes - Lower Standard Deviation and Higher Return Over the 26.5 Years

    BXY and PUT Indexes - Lower Standard Deviation and Higher Return Over the 26.5 Years

    On Wednesday at the 31st Annual CBOE Risk Management Conference, a presentation on a new study was delivered by Keith Black, Ph.D., CAIA, CFA, Managing Director, Curriculum and Exams, Chartered Alternative Investment Analyst (CAIA) Association.  (Edward Szado, Assistant Professor of Finance, Providence College was scheduled to appear with Dr. Black but was delayed by bad weather). Early this year Dr. Black and Dr. Szado published their new groundbreaking study - Performance Analysis of Options-Based[...]

  • Market News | VIX | Trader Talk | Education | Mar 4, 2015, 6:45 PM

    CBOE Risk Management Presentation - Arbitraging Volatility Estimates

    CBOE Risk Management Presentation - Arbitraging Volatility Estimates

    The 31st edition of the CBOE Risk Management Conference kicked off today with a very educational session from Bruno Dupire who is the Head of Quantitative Research at Bloomberg. His discussion centered on trading volatility which is a core theme of many presentations that will be given over the next few days here in Carlsbad. The timing of Dupire going first at the conference was perfect as his sessions are always as educational as they are informative.  (The Twitter handle for this conference[...]

  • VIX | Blogging Options | Trader Talk | Mar 4, 2015, 12:03 PM

    CBOE Mid-Day Update 3.4.15

    CBOE Mid-Day Update 3.4.15

    Volatility as an asset class McDonald's (MCD) is recently up 7c to $99.81 after McDonald's USA announced new menu sourcing initiatives including only sourcing chicken raised without antibiotics that are important to human medicine. In addition, McDonald's U.S. restaurants will also offer customers milk jugs of low-fat white milk and fat-free chocolate milk from cows that are not treated with rbST, an artificial growth hormone.  March weekly call option implied volatility is at 34, March is at[...]

  • Watching Closely Here - Weekly Market Outlook

    Watching Closely Here - Weekly Market Outlook

    Believe it or not, the S&P 500 (SPX) (SPY) lost ground last week. It was a "just barely" situation, and the Russell 2000 (RUT) (IWM) as well as the NASDAQ Composite (COMP) (QQQ) both ended the week higher even with Friday's pullbacks. The across-the-board weakness to close out the week, however, is something to think about even if it's not yet something to worry about. The odds are weighed below. Let's first dissect last week's economic numbers and preview what's coming up this week. Economic[...]

  • VIX | Blogging Options | Trader Talk | Mar 2, 2015, 1:10 PM

    CBOE Mid-Day Update 3.2.15

    CBOE Mid-Day Update 3.2.15

    Volatility as an asset class Lumber Liquidators (LL) is recently down $10.57 to $41.22 after '60 Minutes' alleges floor may violate health and safety violations.  March put option implied volatility is at 107, April is at 89, May is at 76; compared to its 26-week average of 52. Aruba Networks (ARUN) is recent down 36c to $24.45 after HP (HPQ) announced its acquiring the network company for $3B. March call option implied volatility is at 16, April is at 17; compared to its 26-week average of[...]

  • Market News | VIX | Trader Talk | Futures | Mar 1, 2015, 10:07 AM

    The Week in VIX - 2/23 - 2/27

    The Week in VIX - 2/23 - 2/27

    The S&P 500 hardly budged on a week over week basis and VIX drifted lower. The March future drifted lower basically in sync with the index, but is still at a health premium relative to the index. I’m attributing that to the pending employment numbers coming out next week. I need to do a study and see what happens with that spread on the weeks that we get the employment report. I wouldn’t be surprised to see the gap narrow post-employment as there is often no pending market moving[...]

  • VIX | Trader Talk | Education | Futures | Feb 28, 2015, 7:47 AM

    The Week in Volatility Indexes and ETPs - 2/23 - 2/27

    The Week in Volatility Indexes and ETPs - 2/23 - 2/27

    Last week was fairly quiet despite the second revision of GDP coming in a little light. We may see a little more volatility action in the coming week as on Wednesday the ADP Employment Change report is released Wednesday before the open and then the government version of the employment report coming on Friday. Both of these reports are significant as they are a first look at economic activity for February. Despite the S&P 500 losing a little value last week, with Friday to blame, the VXST –[...]

  • Market News | VIX | Trader Talk | Feb 27, 2015, 3:19 PM

    The Weekly Options News Roundup – 2/26/2015

    The Weekly Options News Roundup – 2/26/2015

    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 Expanding Its Index Options Complex On Thursday, CBOE signed a licensing agreement with the London Stock Exchange Group to develop and list options on more than two dozen FTSE and Russell Indices.  Under the agreement, CBOE will become the exclusive U.S. home for options on the FTSE and Russell indices. [...]

  • Market News | VIX | Trader Talk | Education | Feb 27, 2015, 2:00 PM

    Extended Trading Hours in VIX Options Begin Monday 3.2

    Extended Trading Hours in VIX Options Begin Monday 3.2

    The question we have heard over the last several years was "CBOE VIX Futures have extended trading, when will VIX Options have Extended Trading Hours"? On Monday, March 2nd,  Extended Trading Hours (ETH) for VIX options will launch.  Trading hours will be from 2:00 a.m. to 8:15 a.m. Central Time (“CT”).  Regular VIX trading will resume at 8:30 a.m. and continue until 3:15 p.m. CT. Since June 2014, the trading hours for futures on the CBOE Volatility Index®[...]

  • Market News | Technical Analysis & Charts | VIX | Education | Futures | Feb 27, 2015, 1:10 PM

    Weekly Market Commentary 2.27.15

    Weekly Market Commentary 2.27.15

    (Editors Note:  For those attending Traders Expo New York at the Marriott Marquis this weekend, please stop by and say hello to Larry McMillan and his group.  Russell Rhoads from the Options Institute at CBOE will be at Traders Expo as well). The stock market continues to move higher, albeit at a very slow pace. That makes the $SPX chart bullish, of course, and it will remain bullish as long as $SPX holds above support.  The highest support level is the 2090-2100 range that $SPX traded[...]