• VIX | Education | Jan 8, 2017, 4:00 PM

    The Weekly Options News Roundup – 1/8/2017

    The Weekly Options News Roundup – 1/8/2017

    The Weekly News Roundup is your weekly recap of CBOE features, options industry news and VIX Index and volatility-related articles from print, broadcast, online and social media outlets. New Year, New Outlook   The beginning of a new year is an ideal time for investors to assess the state of their portfolios. Besides eating better, joining the health club and cleaning out the closet, here are some resolutions options investors may want to add to their list in 2017. “7 New Year’s[...]

  • Market News | Jan 7, 2017, 5:09 PM

    Weekend Review of VIX Futures and Options - 1/3 - 1/6

    Weekend Review of VIX Futures and Options - 1/3 - 1/6

    With the stock market kicking off 2017 on a bullish note VIX tested the 2016 closing low finishing the week 0.05 above last year’s low of 11.27.  The futures followed suit, especially the January contract which goes off the board two days before the 45th man to ascend to the presidency does so on January 20th. I was checking in on the Weekly VIX futures and options activity last week and came across an interesting set of numbers.  The chart below highlights the at-the-money[...]

  • Market News | Jan 7, 2017, 11:27 AM

    Weekend Review of Volatility Indexes and ETPs - 1/3 - 1/6

    Weekend Review of Volatility Indexes and ETPs - 1/3 - 1/6

    S&P 500 implied volatility was lower across all four time periods that are measured by CBOE Volatility Indexes last week.  VXST finished the week at 9.19 which is actually a tad higher than the low for 2016.  VIX also finished near the 2016 low of 11.27 but finished 0.05 above that level.  As a Trump presidency looms over the markets, with all the rhetoric and fear of what this means for the world, it’s a bit amazing market volatility is so low. The table below[...]

  • Market News | Jan 7, 2017, 9:05 AM

    Weekend Review of Russell 2000 Options and Volatility 1/3 - 1/6

    Weekend Review of Russell 2000 Options and Volatility 1/3 - 1/6

    The year started out in a similar fashion to the way it ended in 2016 with the Russell 2000 (RUT) out-performing the Russell 1000 (RUI) after the first two trading days of 2017.  However, the first week of the new year ended with RUI putting up some strong numbers and RUT even losing value on Friday while RUI was higher on the day. I included the last six months of 2016 on the chart below to give some perspective on the relative premium of the CBOE Russell 2000 Volatility Index[...]

  • VIX | 2016 Recap | Dec 23, 2016, 1:56 PM

    History Lesson - VIX at Year's End

    History Lesson - VIX at Year's End

    I have been banned from CBOE until next year due to an abundance of days off.  However, I can still play with numbers and I decided to take a look at what VIX does on average between the last trading day before Christmas and the first trading day of the following year.  This first chart takes the average action from 1990 to 2015.  I found it pretty interesting that on average VIX actually rises (18.46 to 19.87), but upon further reflection the dampening impact of holidays getting out[...]

  • Market News | Dec 18, 2016, 4:00 PM

    The Weekly Options News Roundup – 12/18/2016

    The Weekly Options News Roundup – 12/18/2016

    The Weekly News Roundup is your weekly recap of CBOE features, options industry news and VIX Index and volatility-related articles from print, broadcast, online and social media outlets. VIX FIX: Volatility?  Maybe Next Year As 2016 swiftly comes to an end, many investors are counting more than the days left until the New Year.  With 2017 just a couple weeks away, market participants are also watching in anticipation the Dow Jones Industrial Average’s (DOW) ascent toward the historical[...]

  • Market News | Dec 18, 2016, 9:58 AM

    Weekend Review Volatility Indexes and ETPs 12/12 - 12/16

    Weekend Review Volatility Indexes and ETPs 12/12 - 12/16

    I always lead off this blog with a chart showing the week over week change in the four volatility indexes based on S&P 500 Index (SPX) option pricing.  Just for the heck of it I took a look at what the VXST – VIX – VXV – VXMT curve did this time last year when we also experienced a rate hike.  On the left below is last year’s price change and on the right is what happened last week.  It is like night and day, in fact based on week over week changes in implied[...]

  • VIX | Trader Talk | Futures | Trade Ideas | Election & VIX | 2016 Recap | Dec 17, 2016, 2:53 PM

    Weekend Review VIX Options and Futures 12/12 - 12/16

    Weekend Review VIX Options and Futures 12/12 - 12/16

    VIX was up slightly last week despite the markets having a relatively muted response to the first rate hike from the FOMC in just under a year.  The December VIX futures which expire this coming Wednesday actually dropped a bit as they had been slightly elevated relative to spot VIX.  One would never think the markets digested a rate hike last week by looking at the volatility market price action below. Wednesday last week there was a trader who decided volatility is going[...]

  • Market News | VIX | Trader Talk | Trade Ideas | Dec 17, 2016, 1:54 PM

    Weekend Review Russell 2000 Options and Volatility 12/12 - 12/16

    Weekend Review Russell 2000 Options and Volatility 12/12 - 12/16

    Small caps finally came under pressure last week with the Russell 2000 (RUT) down about 2% while the large cap focused Russell 1000 (RUI) finished basically flat on the week.  For the year RUT is still dominating up just over 20% while RUI is up a respectable 10.6% for 2016. The relative levels between the CBOE Russell 2000 Volatility Index (RVX) and VIX narrowed as RVX dropped last week and VIX rose.  Relative to most of 2016 the premium is still a bit high. Friday this past[...]

  • Market News | VIX | Trader Talk | Trade Ideas | Dec 16, 2016, 4:04 PM

    Panel on The Growing Role of Predictive Analytics in Investing

    Panel on The Growing Role of Predictive Analytics in Investing

    I had the pleasure of moderating a one-hour panel discussion for more than 60 attendees at CBOE on December 16 featuring these three experts: •        Joe Gits, CFA, CEO and Co-Founder - Social Market Analytics (SMA) •        Professor Koleman Strumpf, Professor of Business Economics - University of Kansas School of Business •        Dr. Wachi Bandara, Chief Research Officer – Pluribus Labs The panel[...]

  • VIX | Trader Talk | Trade Ideas | Dec 11, 2016, 2:18 PM

    The Weekly Options News Roundup – 12/11/2016

    The Weekly Options News Roundup – 12/11/2016

    The Weekly News Roundup is your weekly recap of CBOE features, options industry news and VIX Index and volatility-related articles from print, broadcast, online and social media outlets. VIX FIX: The Volatility If Game    Over the past weeks, there has been myriad of “if” scenarios cited that could potentially trigger long-term volatility to re-emerge.  To-date, macro events including the Brexit vote, a surprise Trump victory in the U.S. presidential election and a consensus[...]

  • Market News | VIX | Trader Talk | Trade Ideas | Dec 11, 2016, 9:03 AM

    Weekend Review - Volatility Indexes and ETPs - 12/5 - 12/9

    Weekend Review - Volatility Indexes and ETPs - 12/5 - 12/9

    With the continuation of the election related equity market rally comes even lower SPX option implied volatility.  The curve shifted lower across the board, but do note the angle steepens a bit between VIX and VXV with VXV representing IV into 2017. The performance table lives up to expectations after a week where the S&P 500 rose 3%.  A couple of things that are worth note.  VVIX remains at relatively high levels despite VIX being under pressure.  SKEW finished the week[...]

  • Market News | VIX | Trader Talk | Trade Ideas | Election & VIX | 2016 Recap | Dec 10, 2016, 1:56 PM

    Weekend Review - VIX Options and Futures - 12/5 - 12/9

    Weekend Review - VIX Options and Futures - 12/5 - 12/9

    VIX is experiencing some seasonal pressure despite the looming FOMC meeting (and expected rate hike) this Wednesday.  VIX finished the week with an 11 handle at 11.75.  Without the final known unknown market event of 2016 coming up next week one can only wonder where VIX would be.  The curve is steep, but that rise doesn’t really kick in until next year when the uncertainty of political change in Washington DC is probably hovering over the equity markets. Things[...]

  • Market News | VIX | Trader Talk | Trade Ideas | Dec 10, 2016, 9:36 AM

    Weekend Review - Russell 2000 Options and Volatility - 12/5 - 12/9

    Weekend Review - Russell 2000 Options and Volatility - 12/5 - 12/9

    The out performance of small cap stocks in the form of the Russell 2000 (RUT) relative to large cap stocks which is best represented with the Russell 1000 (RUI) has been nothing short of astonishing.  Last week RUT was up over 6% while RUI gained just over 3%.  For the year, RUT is up over 22% and RUI is up almost 11%. Breaking down the performance difference a little more starts with a look at relative performance since election day.  RUT is up 16.1% and RUI is up 5.9%. [...]

  • VIX | Trader Talk | Trade Ideas | Dec 5, 2016, 3:42 PM

    Block Trade Analysis - Long Dec VIX Put

    Block Trade Analysis - Long Dec VIX Put

    Buying a single option is not the most exotic trade, but it can be interesting, especially when it involves buying a VIX option.  This morning, with VIX at 12.75 and the December VIX futures trading at 13.95 there was a buyer of 12,000 VIX Dec 21st 14.00 Puts for 1.10.  A payout at expiration on the morning of the 21st appears below.  Note the VIX futures and spot VIX levels when the trade was executed are highlighted on the diagram. Both the futures and spot index finished the day[...]