• VIX | Trader Talk | Dec 26, 2017, 12:28 PM

    Prudent and Rational

    Prudent and Rational

    Going back to December 4th, I left off in the middle of the day and promised to be back soon and detail the trading for the remainder of the day.  Though time has passed, has SVXY been doing anything different?  Have stocks been doing anything other than more of the same (new all-time highs) and has VIX been doing anything other than pedal like a bicycle between 11 and 9 and back again like the rising and setting of the sun, reliable and repetitive?  VIX nearly reaching 12 (a big spike,[...]

  • VIX | Trader Talk | Trade Ideas | Dec 23, 2017, 1:43 PM

    Weekend Review of VIX Futures and Options - 12/18/2017 - 12/22/2017

    Weekend Review of VIX Futures and Options - 12/18/2017 - 12/22/2017

    December VIX went off the board and January became the front month this past week.   VIX moved higher for the week, however, all the standard futures moved down a bit.  The contango is still steep as traders start to brace for 2018.  Late Friday someone executed the VIX version of a covered call focusing on the standard March expiration.  About 1200 of the VIX Mar 13 Puts were sold at 1.92 and March 13 Calls purchased for 2.03.  For those who don’t remember[...]

  • VIX | Trader Talk | Trade Ideas | Dec 23, 2017, 1:40 PM

    Weekend Review of Volatility Indexes and ETPs - 12/18/2017 - 12/22/2017

    Weekend Review of Volatility Indexes and ETPs - 12/18/2017 - 12/22/2017

    The volatility index price action relative to the equity market price action was pretty interesting last week.  The S&P 500 was higher, as were three of the four volatility indexes calculated using S&P 500 option pricing.  VXST was lower, but that is very common before three day weekends due to the calculation methodology (calendar days) when we have the market closed for three days.  VVIX stays over 90 and moved up a bit last week and TYVIX moved nicely off closing at an[...]

  • 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 17, 2017, 8:49 AM

    Weekend Review of Volatility Indexes and ETPs - 12/11/2017 - 12/15/2017

    Weekend Review of Volatility Indexes and ETPs - 12/11/2017 - 12/15/2017

    Friday was a huge day for US stocks with broad based indexes rallying nicely.  The result was pressure on the SPX related volatility indexes which pushed them from up on the week to having a losing week.  Friday’s price action put pressure on the long ETPs and pushed the short ETPs (XIV and SVXY) to even higher levels.  Both have now more than doubled in 2017.  VVIX remains elevated which indicates the VIX call buyers haven’t completely gone away.  TYVIX managed[...]

  • VIX | Trader Talk | Trade Ideas | Dec 16, 2017, 5:03 PM

    Weekend Review of VIX Futures and Options - 12/11/2017 - 12/15/2017

    Weekend Review of VIX Futures and Options - 12/11/2017 - 12/15/2017

    VIX worked its way lower Friday as the stock market rallied.  We have grown accustomed to VIX below 10.00 and settlements below 10.00 as well.  However, for the first time I can recall, we had a VIX futures contract close below 10.00 with the December future that expires next week settling at 9.925. Thursday, with VIX around 10.05 and the Dec 27th future at 10.65 someone came in and put on a bearish VIX trade using the Dec 27th Weekly options.  They sold 300 of the VIX Dec 27th 12[...]

  • 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 | Cboe Benchmark Indexes | Cboe RMC | Dec 15, 2017, 8:27 AM

    Volatility Based Indicator Discussion at RMC Asia

    Volatility Based Indicator Discussion at RMC Asia

    The second presentation on day one at Cboe RMC Asia paired John Hiatt, Director, Research/Quantitative Market Support at Cboe Global Markets with Tim Edwards, Senior Director of Index Investment Strategy at S&P Dow Jones Indices.  Their discussion focused on Interpreting and Navigating Volatility Based Benchmarks and Indicators.  John Hiatt started things off discussing the performance difference between at the money buy write and at the money put write indexes.  I’ve included[...]

  • VIX | Cboe Benchmark Indexes | Cboe RMC | Dec 12, 2017, 7:04 AM

    Cboe Benchmark Index Discussion at RMC Asia

    Cboe Benchmark Index Discussion at RMC Asia

    The opening presentation at the 3rd Annual Cboe RMC Asia matched Matt Moran up with Russell Rhoads (me) for a discussion covering Option Strategies and Option Strategy Benchmarks.  Matt and I both work in the Product Advancement area with Matt holding the title of Vice President and my title being Director.  I began things with a discussion of how different strategies are implemented.  This included an example of a cash secured put that replicated the transaction that would be dictated[...]

  • Bitcoin | Dec 11, 2017, 4:37 AM

    Hedging bitcoin with XBT Bitcoin Futures

    Hedging bitcoin with XBT Bitcoin Futures

    Last night, Cboe XBTSM Bitcoin Futures commenced trading on the Cboe Futures Exchange.  The launch was smooth, although our website experienced some issues due to an overwhelming number of hits looking for the trading data.  Now that the futures are up and running, it may be time for a brief explanation of how an owner of bitcoins may use futures to hedge their position.  The initial futures contracts that traded in Chicago were on crops such as corn or wheat.  Farmers could[...]

  • VIX | Trader Talk | Trade Ideas | Dec 10, 2017, 12:57 PM

    Weekend Review of Volatility Indexes and ETPs - 12/4/2017 - 12/8/2017

    Weekend Review of Volatility Indexes and ETPs - 12/4/2017 - 12/8/2017

    Stocks ended the week on a strong note and the result was S&P 500 related volatility indexes doing what they do in 2017 after even a slight move to the upside and lost value.  The curve shifted lower and back into contango. Again, VVIX remains a bit elevated, something that was pointed out a couple of times last week in Hong Kong at our Risk Management Conference.  Steve Sears also discusses the use of VIX options this weekend in his column noting the most common use is hedging. [...]

  • 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 9, 2017, 1:35 PM

    Weekend Review of VIX Futures and Options - 12/4/2017 - 12/8/2017

    Weekend Review of VIX Futures and Options - 12/4/2017 - 12/8/2017

    VIX and the curve has been in a sort of zig zag pattern over the past few weeks with there being a couple of head fakes to the upside followed by a drop back down to the 2017 norm.  The 2017 norm has been all time lows and at last check it will take an average VIX close over 32.00 between now and the end of the year for 2017 to not go down as the lowest average VIX close on record.  At least one trader would be very happy if something occurred to push VIX higher, but maybe not to the[...]

  • Dec 6, 2017, 12:00 PM

    Clicking on Cryptocurrencies

    Clicking on Cryptocurrencies

    I'm not normally a multitasker, but let me tell you, when procrastinating, I can really do it.  Last night, while doing some boring but necessary tasks on the right screen of my desktop and wanting some mental stimulation on the left screen to liven up my evening, I logged into my gemini.com account and starting clicking around.  First of all, anyone wanting to know how easy it is to trade bitcoin or ether may be assured that it could not be more streamlined.  I believe my cat could[...]

  • Dec 6, 2017, 9:11 AM

    Don't Trip Over the Dip

    Don't Trip Over the Dip

    Not sure what everyone else was thinking/doing/cursing about during Friday, December first's Big Dipper, but it just so happened that I had set up something I expected to be far less exciting than it turned out to be.  On what I thought was just another regular, normal, tired-bull-run morning where every day is approximately exactly like the one before, I had paid for expensive insurance so that I could play a little game and take my chances on picking up some goods.  I paid admission so[...]