• Mar 17, 2018, 1:29 PM

    Weekend Review of Russell 2000 Options and Volatility - March 16th 2018

    Weekend Review of Russell 2000 Options and Volatility - March 16th 2018

    The Russell 2000 (RUT) experienced a small shining moment to celebrate the first week of March Madness.  For the first time in recent memory RUT has the year to date performance lead over the large cap focused Russell 1000 (RUI).  This lead was created by small caps holding up better than large cap stocks last week as RUT dropped 0.69% and RUI was down over 1%.  The Russell 2000 Volatility Index (RVX) versus VIX relationship spent some time in uncharted territory for a while this[...]

  • VIX | Trader Talk | Trade Ideas | Mar 11, 2018, 10:33 AM

    Weekend Review Russell 2000 Options and Volatility March 9th 2018

    Weekend Review Russell 2000 Options and Volatility March 9th 2018

    Stocks had a great week last week with the Russell 2000 (RUT) gaining over 4% and Russell 1000 (RUI) rising about 3.5%.  For the year RUT is up 4.01% while RUI is up 4.16%.  As you can see below small caps took the 2018 performance lead for a day last week.  The magnitude of the gain of over 4% for RUT this week is becoming commonplace.  Four of the nine weekly moves for RUT in 2018 have been outside of +/- 3% while there were no moves greater than +/-3% in 2017.  Welcome[...]

  • VIX | Trader Talk | Trade Ideas | Mar 3, 2018, 2:52 PM

    Weekend Review of Russell 2000 Options and Volatility - March 3, 2018

    Weekend Review of Russell 2000 Options and Volatility - March 3, 2018

    Small cap stocks are playing catch up by not losing as much as large caps.  Last week the Russell 2000 (RUT) was down about 1% while the large cap focused Russell 1000 (RUI) lost just under 2%.  RUI’s lead has narrowed to 0.75%.  Since RUT stocks are more domestic in nature, I’m going to go out on a limb and say the trade war rumblings put more pressure on RUI that RUT last week. We have experienced an unprecedented run in the relationship between the Cboe Russell 2000[...]

  • VIX | Trader Talk | Trade Ideas | Feb 10, 2018, 1:26 PM

    Weekend Review of Russell 2000 Options and Volatility Feb 10 2018

    Weekend Review of Russell 2000 Options and Volatility Feb 10 2018

    Stocks were under pressure last week, which was actually the second week of the biggest two week drop in broad based indexes since August 2011.  Small cap stocks did hold up a bit better than large cap with the Russell 2000 (RUT) giving up 4.49% while the large cap focused Russell 1000 (RUI) lost 5.14%.  Both are in the red for 2018 with RUT down 3.76% and RUI down 2.17%.  The relationship between the Cboe Russell 2000 Volatility Index (RVX) and VIX hit previously uncharted territory[...]

  • VIX | Trader Talk | Trade Ideas | Feb 3, 2018, 11:33 AM

    Weekend Review of Russell 2000 Options and Volatility Feb 3 2018

    Weekend Review of Russell 2000 Options and Volatility Feb 3 2018

    The Russell 2000 (RUT) lost 3.78% last week while the Russell 1000 (RUI) was down 3.82%.  I have a hard time recalling a big weekly drop in the stock market where small caps and large caps lost about the same amount of ground.  For the year RUI maintains a nice lead based on outperformance in January. The RVX premium to VIX took a dive on Friday based mostly on gains in VIX.  The ratio finished the week at just over a 16% premium which is slightly lower than the 2017 low. [...]

  • VIX | Trader Talk | Trade Ideas | Jan 27, 2018, 7:40 AM

    Russell 2000 Options and Volatility Review for January 27 2018

    Russell 2000 Options and Volatility Review for January 27 2018

    Large cap stocks turned on the afterburners Friday with the Russell 1000 (RUI) rallying over 2% last week while the Russell 2000 (RUT) was up only 0.65%.  2017 was a year of consistent large cap outperformance and so far this year the theme has continued.  On the volatility front small cap volatility rose with the Russell 2000 underperformance as RVX gained over 8%.  VIX actually dropped a little last week, with the result being a rise in the RVX to VIX relationship. About[...]

  • VIX | Trader Talk | Trade Ideas | Jan 20, 2018, 1:25 PM

    Russell 2000 Options and Volatility Weekend Review for January 20 2018

    Russell 2000 Options and Volatility Weekend Review for January 20 2018

    Both large and small cap stocks had another good week last week with the Russell 1000 (RUI) gaining 0.85% while the Russell 2000 (RUT) was up by 0.36%.  For the year RUI is up almost 5% while RUT is up just a little over 4%. We are starting to see the Cboe Russell 2000 Volatility Index (RVX) premium relative to VIX move to lower levels.  This ratio was pretty high relative to history for most of 2017 which was understandable since small caps consistently underperformed last year. Late[...]

  • VIX | Trader Talk | Trade Ideas | Jan 6, 2018, 1:51 PM

    Weekend Review of Russell 2000 Options and Volatility - 1/6/2018

    Weekend Review of Russell 2000 Options and Volatility - 1/6/2018

    US stocks began the year showing strength and the patter of large cap outperformance that was 2017 continued this past week.  The Russell 2000 (RUT) was up 1.6% while the large cap focused Russell 1000 (RUI) put up a 2.51% performance last week. In the volatility space, the 2017 pattern held up with the Cboe Russell 2000 Volatility Index (RVX) closing each day at a premium to VIX in the mid 40% range.  The average premium in 2017 was around 43% so like the large cap outperformance last[...]

  • VIX | Trader Talk | Trade Ideas | Dec 30, 2017, 10:10 AM

    Weekend Review of Russell 2000 Options and Volatility - 12/26/2017 - 12/29/2017

    Weekend Review of Russell 2000 Options and Volatility - 12/26/2017 - 12/29/2017

    The year ended appropriately with the Russell 2000 (RUT) dropping a little more than the Russell 1000 (RUI).  RUT was down 0.48% while the large cap focused RUI lost 0.33%.  For the year large cap stocks dominated small cap stocks with RUI up over 19% and RUT lagging by over 6% rising just a bit more than 13%.  On the volatility front the Cboe Russell 2000 Volatility Index (RVX) premium to VIX dropped to finish the year very close to the long term average of around 35%.  I’ve[...]

  • VIX | Trader Talk | Trade Ideas | Dec 23, 2017, 1:32 PM

    Weekend Review of Russell 2000 Options and Volatility - 12/18/2017 - 12/22/2017

    Weekend Review of Russell 2000 Options and Volatility - 12/18/2017 - 12/22/2017

    Stocks moved slowly higher last week with small caps edging out large caps.  The Russell 2000 (RUT) gained 0.82% while the Russell 1000 (RUI) moved up 0.35%.  For the year RUI has over a 6% lead so I’m ready to award the performance win to large caps for 2017.  Most of this year the Cboe Russell 2000 Volatility Index has remained at a historically high premium relative to VIX.  This relationship dropped last week, but it still much higher than the long term average in[...]

  • VIX | Trader Talk | Trade Ideas | Dec 16, 2017, 2:44 PM

    Weekend Review of Russell 2000 Options and Volatility - 12/11/2017 - 12/15/2017

    Weekend Review of Russell 2000 Options and Volatility - 12/11/2017 - 12/15/2017

    Large and small cap stocks had a good week, thanks to a big rally on Friday.  The Russell 2000 (RUT) was up by 0.61% while the Russell 1000 (RUI) gained 0.89%.  The RUI performance for 2017 is approaching 17% while RUT is now lagging by just over 6.5%.  Both VIX and the Cboe Russell 2000 Volatility Index (RVX) were under pressure with equity market strength last week.  The RVX to VIX premium dropped some, but still remains at pretty high levels which has been the norm in 2017[...]

  • VIX | Trader Talk | Trade Ideas | Dec 9, 2017, 2:56 PM

    Weekend Review of Russell 2000 Options and Volatility - 12/4/2017 - 12/8/2017

    Weekend Review of Russell 2000 Options and Volatility - 12/4/2017 - 12/8/2017

    Large cap stocks had a solid week with the Russell 1000 (RUI) gaining 0.34% while small cap stocks were down by just over 1% as measured by the Russell 2000 (RUT).  RUT is now up just over 12% while RUI has had quite a year gaining over 18% for 2017. The Cboe Russell 2000 Volatility Index (RVX) remained as very elevated levels when compared to VIX as the market is pricing in a little more risk for small cap stocks relative to large cap stocks.  One trader decided the Russell 2000 will[...]

  • VIX | Trader Talk | Trade Ideas | Dec 2, 2017, 7:38 PM

    Weekend Review of Russell 2000 Options and Volatility - 11/27/2017 - 12/1/2017

    Weekend Review of Russell 2000 Options and Volatility - 11/27/2017 - 12/1/2017

    Despite a rough patch for about 45 minutes on Friday broad based indexes had a good week.  Large caps were up 1.53% for the week when being measured by the Russell 1000 (RUI) while the small cap benchmark Russell 2000 (RUT) was higher by 1.24%. In the volatility space the relationship between the Cboe Russell 2000 Volatility Index (RVX) and VIX remained at pretty elevated levels, despite the rise in VIX last week.    On Friday we got a dip in broad based indexes as news came out[...]

  • VIX | Trader Talk | Trade Ideas | Nov 25, 2017, 10:42 AM

    Weekend Review of Russell 2000 Options and Volatility - 11/20/2017 - 11/24/2017

    Weekend Review of Russell 2000 Options and Volatility - 11/20/2017 - 11/24/2017

    Small cap stocks finished the week up about 1.8% when measured by the Russell 2000 (RUT) while large caps had a good week as well with the Russell 1000 (RUI) moving up by about 1%.  For the year RUI is still ahead of RUT, but small caps are trying to close the gap. We got quite a move higher in the relationship between the Cboe Russell 2000 Volatility Index (RVX) and VIX.  Sometimes this is attributed to a rise in RVX, but more often it is due to a drop in VIX and that was the case last[...]

  • VIX | Trader Talk | Trade Ideas | Nov 12, 2017, 3:42 PM

    Weekend Review of Russell 2000 Options and Volatility - 11/6/2017 - 11/10/2017

    Weekend Review of Russell 2000 Options and Volatility - 11/6/2017 - 11/10/2017

    Small caps fell farther behind last week as the Russell 2000 (RUT) was down 1.37% while the Russell 1000 (RUI) was down only 0.24%.  For the year RUT is now up 8.71% while RUI has gained a very respectable 15.21%.  This time last week the CBOE Russell 2000 Volatility Index (RVX) premium relative to VIX was at 2017 highs.  Despite the fall off in RUT compared to RUI, the ratio experienced a pretty dramatic drop.  We are going to attribute that to the rise in VIX more than an[...]