• Jan 29, 2018, 10:19 AM

    Will A Correction Be in Our Future? Of course it will, But...

    Will A Correction Be in Our Future?  Of course it will, But...

    Could a market correction be underway soon?  Perhaps, but I'm not going to predict when it will occur.  During the World Economic Forum in Davos I heard a normally cautious hedge fund manager Ray Dalio (Bridgewater Associates) tell viewers, investors will feel really stupid being in cash.    After hearing this, I thought for sure the markets would crumble (my contrarian nature).  Yet, the opposite occurred, and buyers went on a binge. The amazing returns during the month[...]

  • VIX | Trader Talk | Trade Ideas | Jan 29, 2018, 7:48 AM

    VIX Options and Futures Weekend Review for January 27 2018

    VIX Options and Futures Weekend Review for January 27 2018

    VIX was lower last week, but that’s the only thing that lost value on the table / term structure chart below.  All the futures moved higher despite VIX moving lower, but also shaking off a very bullish week for the S&P 500.  We live in unusual times and there is much being written about the VIX behavior which seems to be ignoring record S&P 500 moves.  Usually this disconnect rights itself with either stock prices dropping or VIX finally giving into the reality of a higher[...]

  • VIX | Trader Talk | Trade Ideas | Jan 29, 2018, 7:11 AM

    Volatility Indexes and ETPs Weekend Review for January 27 2018

    Volatility Indexes and ETPs Weekend Review for January 27 2018

    Three out of four volatility indexes that based their levels on SPX option trading were higher last week.  VIX was the lone loser with 9-day, 3-month, and 6-month volatility indexes all moving higher.  The long volatility linked ETPs, based on US volatility, were all higher last week.  Note things were different in Europe as EVIX was lower and EXIV gained.  Also, I continue to keep an eye on TYVIX which is showing signs of life as the talk of the end of the bull market in bonds[...]

  • 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[...]

  • Jan 26, 2018, 1:33 PM

    Mini-SPX Index (XSP) Wednesday-Expiring Weekly Options Are Launching on Jan. 30

    Mini-SPX Index (XSP) Wednesday-Expiring Weekly Options Are Launching on Jan. 30

    A recent Cboe Notice stated that Cboe Exchange plans to list Wednesday-expiring weekly options on the Cboe Mini-SPX Index (XSP), beginning January 30, 2018. Cboe’s new XSP Wednesday-expiring Weeklys offer the features of S&P 500® Index (SPX) Weeklys options, but at 1/10th the contract size. The initial expirations for the new XSP Wednesday-expiring Weeklys are planned for February 7, 2018, February 14, 2018, and February 21, 2018. Going forward, new expirations will typically be listed[...]

  • VIX | Trader Talk | Trade Ideas | Jan 20, 2018, 4:21 PM

    VIX Options and Futures Weekend Review for January 20 2018

    VIX Options and Futures Weekend Review for January 20 2018

    Although still at a historically low level, VIX showed some signs of life this past week trading above 12.00 for the first time since December 1st last year.  Standard January futures and options went off the board Wednesday morning settling well above 12.00.  The futures moved up a bit, but not nearly to the extent of spot VIX.  This may be taken as the market expecting VIX to return to historically low levels.  Of course when this has been the case for so long, why wouldn’t[...]

  • 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 20, 2018, 10:20 AM

    Volatility Indexes and ETPs Weekend Review for January 20 2018

    Volatility Indexes and ETPs Weekend Review for January 20 2018

    All four volatility indexes based on S&P 500 Index option pricing moved higher last week.  I know all the talk was about the government shutdown being responsible for the rise.  However, if that were totally the case I don’t think we would be seeing VIX3M and VXMT moving up as much as they did.  I believe there’s more going on here, but I also spend most Friday evenings watching Ancient Aliens.  In the ETP space the long funds benefitted from the bump in VIX[...]

  • VIX | Trader Talk | Jan 16, 2018, 3:16 PM

    Vol 411 Follow Up Historical Look at SPX and VIX Moving Together

    Vol 411 Follow Up Historical Look at SPX and VIX Moving Together

    When I hosted Vol 411 this morning both the S&P 500 and VIX were higher on the day.  The SPX took a turn and finished the day lower so we didn't have a three day streak where both rose.  The results of running some numbers is below the video. As a follow up to today’s Vol 411 show I updated my numbers on the following two tables.  First, I took a look at the number of times since January 1990 through last Friday that both the S&P 500 and VIX have moved in[...]

  • Jan 14, 2018, 9:21 AM

    Russell 2000 Options and Volatility Weekend Review for January 13 2018

    Russell 2000 Options and Volatility Weekend Review for January 13 2018

    Small caps played a little catch up with large cap stocks last week with the Russell 2000 (RUT) gaining over 2% while the Russell 1000 (RUI) was up about 1.5%.  For the year RUI has a lead of just under 0.5%. The Cboe Russell 2000 Volatility Index (RVX) to VIX premium was at historically high levels for most of 2017 averaging around 44%.  As small caps outperformed last week this premium started to come under a bit of pressure, but it still remains at pretty elevated levels. [...]

  • VIX | Trader Talk | Trade Ideas | Jan 14, 2018, 9:15 AM

    Volatility Indexes and ETPs Weekend Review for January 13 2018

    Volatility Indexes and ETPs Weekend Review for January 13 2018

    We got an interesting move in the VXST – VIX – VIX3M – VXMT curve last week.  The short end moved higher despite a nice bullish move out of stocks.  The volatility market has been a bit jumpy like we are bracing for an unforeseen spike.  We’ll see if the nervousness is justified.  I’ve been keeping a close eye on TYVIX since the bond market has been discussed pretty frequently in the financial press lately.  Until it starts to move I’m[...]

  • VIX | Trader Talk | Trade Ideas | Jan 13, 2018, 10:50 AM

    VIX Weekend Review for January 13 2018

    VIX Weekend Review for January 13 2018

    VIX gained and the futures curve dropped a bit last week. This is not totally out of the norm, but before a holiday weekend is something I cannot recall occurring in my years of watching VIX price action. Wednesday last week was the second busiest day on record in the VIX option arena.  A good portion of this can be attributed to one very large position being rolled from January to February VIX contracts.  It turns out this has been an ongoing saga starting back in the summer. [...]

  • Jan 11, 2018, 12:23 PM

    Record Volume for SPXW Weekly Options, Products That Facilitate Targeted Strategies

    Record Volume for SPXW Weekly Options, Products That Facilitate Targeted Strategies

    In 2017 the average daily volume for the S&P 500® Weekly options (SPXW) rose to a record 523,170 contracts (35% above the 2016 figure). The year 2017 was the tenth year in a row that the SPXW Weekly options set a new volume record. MORE OPPORTUNITIES SPXW Weekly options provide many expiration opportunities, affording investors the ability to implement more targeted buying, selling and spreading strategies. SPXW options may help investors to more efficiently take advantage of major market[...]

  • Bitcoin | Jan 10, 2018, 9:32 AM

    Bitcoin and the Commitment of Traders Report

    Bitcoin and the Commitment of Traders Report

    Those of us in the financial markets have been learning new phrases such as “hash rate”, “block height”, and “hard fork” since the launch of Cboe Bitcoin Futures last month.  Crypto traders that have embraced bitcoin futures are having to get up to speed on the listed markets.  Something that is new to the crypto space is the Commitment of Traders Report (COT Report) that is released by the CFTC each Friday.  The following is directly from www.cftc.gov[...]

  • VIX | Trader Talk | Trade Ideas | Jan 7, 2018, 9:35 AM

    Weekend Review of VIX Futures and Options - Jan 6 2018

    Weekend Review of VIX Futures and Options - Jan 6 2018

    The S&P 500 gained 2.6% to begin 2018.  VIX and the VIX futures curve reacted as one would expect with a dramatic drop in spot VIX and the futures following suit to a lesser extent.  Four seconds into the new year and the first sizable VIX trade was executed in the VIX pit.  With spot VIX at 10.90 and the January standard (1/17) future at 11.35 there was a buyer of 500 VIX Jan 17th 19.00 Puts for 7.86 who then sold 500 VIX Jan 17th 9.50 Puts for 0.07. The net cost is 7.79 and[...]