• 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 | Mar 3, 2018, 12:34 PM

    Weekend Review of VIX Futures and Options - March 3, 2018

    Weekend Review of VIX Futures and Options - March 3, 2018

    The S&P 500 was down just over 2% last week and VIX does what it does (rose) when the S&P 500 is under pressure.  VIX was up over 18% and to a lesser extend the futures markets followed higher.  Worth noting above is the settlement price for March futures on Friday at 19.025.  This contract does not expire until the 21st, so there’s plenty of time for VIX to come back down a bit.  Usually when VIX moves up like it did and there’s this much time left to expiration[...]

  • Feb 28, 2018, 9:56 AM

    Average Daily Volume during Cboe’s Global Trading Hours (GTH) Tops 90,000

    Average Daily Volume during Cboe’s Global Trading Hours (GTH) Tops 90,000

    Over the years we have heard great interest from many investors in the ability to use SPX and VIX products around-the-clock to help manage their portfolios. The interest has been particularly strong from investors from outside the U.S. time zones. The trading hours for some key Cboe products (SPX options, VIX options, VIX futures, and XBT futures) now include both Regular Trading Hours (from 8:30 a.m. to 3:15 p.m. CT), and Global Trading Hours (GTH) as shown in the table below the three volume charts.[...]

  • Feb 26, 2018, 11:19 AM

    A Rational Perspective on The Fed and Interest Rates

    A Rational Perspective on The Fed and Interest Rates

    The equity markets continue to respond to higher rates on the long end of the curve, but thankfully the Fed sees the entire curve is shifting upward.  This would be considered a positive, as opposed to an inverted curve.  So, with rates at levels not seen in a couple of years, but for a good reason (a bit of inflation finally coming into the system) why is everyone freaking out?  The obsession with higher rates is just mind-boggling, but perhaps we can answer some questions about it[...]

  • Feb 20, 2018, 8:48 AM

    Stock Market Speed is Like Never Before

    Stock Market Speed is Like Never Before

    A major rally this week off the lows of a 10% stock market correction were in order this past week.  It certainly had many dizzy from the rollercoaster ride that we have all been on, something very different than what we saw previously.  The enormous move in volatility came at such a breakneck speed that if you blinked, you may have missed it. But let's understand the move on volatility from a latent 10-12% to about 30-50% in days is just not normal.  We talked last week about the[...]

  • Cboe Benchmark Indexes | Feb 16, 2018, 2:18 PM

    Cboe’s PUT Index Generated Lower Volatility, Less Severe Drawdowns, More Income and Better Risk-Adjusted Returns

    Cboe’s PUT Index Generated Lower Volatility, Less Severe Drawdowns, More Income and Better Risk-Adjusted Returns

    The Cboe S&P 500 Putwrite Index (PUT) is designed to reflect a cash-secured put-writing strategy. The PUT strategy is designed to sell a sequence of one-month, at-the-money, S&P 500 (SPX) Index puts and invest cash at one- and three-month Treasury bill rates. The number of puts sold is limited so that the amount held in Treasury Bills can finance the loss from final settlement of the SPX puts. In recent years the PUT Index and the cash-secured put-write strategy have gained more interest[...]

  • VIX | Trader Talk | Feb 14, 2018, 5:02 PM

    VIX Today - February 14, 2018

    VIX Today - February 14, 2018

    The S&P 500 finished the day higher for the fourth day in a row and VIX dipped below 20.00 for the first time since February 5th.  The chart below shows that as the S&P 500 moved up over the day as VIX worked lower.  What is referred to commonly as the ‘fear index’ is starting to indicate there is less fear in the market than we experienced last week.    Today marked expiration day for standard February VIX and Options with both settling at 21.87[...]

  • VIX | Trader Talk | Trade Ideas | Feb 12, 2018, 8:23 AM

    Weekend Review of VIX Options and Futures Feb 10 2018

    Weekend Review of VIX Options and Futures Feb 10 2018

    For the past few months writing this weekend review has been a difficult task.  How many different ways can I say VIX is low and reflecting low realized volatility in the S&P 500?  The past couple of weeks it has suddenly gotten much easier to talk about VIX.  Last week was the first one week drop of greater than 5% since early January 2016.  The weakness actually began two weeks ago and the S&P 500 has given up 8.8% in the past two weeks is the biggest two week drop[...]

  • VIX | Trader Talk | Trade Ideas | Feb 12, 2018, 8:08 AM

    Weekend Review of Volatility Indexes and ETPs Feb 10 2018

    Weekend Review of Volatility Indexes and ETPs Feb 10 2018

    We experienced the biggest one week drop in two years last week for the S&P 500.  The result was the type of moves we haven’t seen in S&P 500 related volatility indexes since August 2015.  We got a 67% gain for VIX last week, with VIX3M gaining 46% and VXMT was 32% higher.  The result was steep backwardation that is normally associated with near term concerns about the direction of the stock market.  There’s lots to talk about on the table below. [...]

  • 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 | Feb 3, 2018, 10:14 AM

    Weekend Review of Volatility Indexes and ETPs Feb 3 2018

    Weekend Review of Volatility Indexes and ETPs Feb 3 2018

    Of the four volatility indexes on the term structure chart below two have been around the longest.  Of course VIX with the other being VIX3M (formerly known as VXV).  The relationship between the 1-month volatility index and 3-month version usually has VIX at a discount to VIX3M.  Friday this relationship flipped for the first time since April of last year.  It is considered a sign of fear being ‘overdone’ when VIX is higher than VIX3M.  We shall see next week[...]

  • VIX | Trader Talk | Trade Ideas | Feb 3, 2018, 7:33 AM

    Weekend Review of VIX Futures and Options Feb 3 2018

    Weekend Review of VIX Futures and Options Feb 3 2018

    Last week VIX gained over 50% for the first time since August last year.  We all know most of this came Friday with the S&P 500 losing just over 2% on the day.  The obituaries being written about VIX after a historically tame year last year may have been a bit premature.  Friday was a huge day for VIX option trading as volume records were smashed.  At the end of the day over 4.3 million contracts had changed hands in the VIX pit.  Of course a good portion of Friday’s[...]

  • Feb 2, 2018, 8:16 AM

    Many Investors Request Steady Returns, and BXM Index Rises a Record 24 Months in a Row

    Many Investors Request Steady Returns, and BXM Index Rises a Record 24 Months in a Row

    Over the years I have spoken to many investors and advisors who have expressed a strong desire for consistent and steady returns in their investment portfolios. I am pleased to highlight the fact that the Cboe S&P 500 BuyWrite Index (BXM) has risen in each of the last 24 months, the longest streak of “up” months ever for the BXM Index. The 24-month “up” streak for the BXM is longer than the longest streaks of up months for several other indexes. For example, the longest[...]

  • VIX | Trader Talk | Trade Ideas | Jan 31, 2018, 8:51 AM

    Vol 411 Follow Up More on the VIX3M / VIX Ratio

    Vol 411 Follow Up More on the VIX3M / VIX Ratio

    Yesterday on Volatility 411 I spoke about the VIX3M / VIX ratio.  For old school volatility traders VIX3M is the relatively new ticker for VXV and this is a 3-month volatility index based on S&P 500 Index Option pricing.    VIX3M tends to close at a premium relative to VIX, but that spread narrows when there’s a bit more short-term panic in the markets.  Full blown market concern is attributed to a condition where VIX3M is at a discount to VIX.  Over the[...]

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