Cboe Blogs

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 had a good week based on news out of Washington, DC.  This seems to be the only type of event that get VIX moving.  The December contract is still at a bit of a premium which may be taken as traders bracing for a little follow through.  On Friday, we got part three of a trade that was commenced back in July.  If you want some more history on this trade I wrote up the last rolling transaction back in September.  http://www.cboe.com/blogs/options-hub/2017/09/25/block-trade-analysis---vix-roll-trade The[...]

Cboe Global Markets (CBOE) announced today that the Cboe Futures Exchange (CFE) has filed a product certification with the Commodity Futures Trading Commission (CFTC) to offer bitcoin futures trading. The product certification is subject to regulatory review. The impending launch date for Cboe bitcoin futures, which will trade on CFE under the ticker symbol 'XBT', will be announced shortly. Conceptually, forwards or futures contracts have existed since the time of the Babylonian empire. Ancient[...]

Today at FIA Asia 2017 in Singapore Tyler and Cameron Winklevoss, the co-founders of Gemini Trust, participated in a discussion about the cryptocurrency space along with Yvonne Zhang from the Aquifer Institute.  The session, titled Cryptocurrencies 101, was moderated by Nick Solinger from FIA Tech.  One of the first points made was that electronic money transfers between countries often take longer than physically moving cash.  For example, if you wanted to transfer money from[...]

After showing some signs of life VIX fell back to a single digit closing handle three out of four days last week.  The curve shifted in a very parallel fashion as even the longer dated futures gave up some ground.  The trade of the week is a simple yet effective strategy.  ON Monday morning as VIX was trading around 11.20 there was a buyer of the VIX Nov 22nd 13 Puts for 1.70.  Remember VIX options are priced off the corresponding futures contract, but settle in a calculation[...]

The VXST – VIX – VIX3M – VXMT curve shifted lower with even VXST, which was under extra holiday week pressure going into the 11/17 close, losing value last week.  Looking at VIX3M and VXMT one might think traders expect 2018 to be a continuation of what we’ve had in 2017, at least to start the year. The long funds resumed their downward move while the short funds bounced as they do following any short lived strength in volatility (I have a hard time calling a move to[...]

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[...]

Wednesday I conducted a webinar for Interactive Brokers discussing ratio spreads.  During the presentation I was asked about initiating 1 x 2 and what expirations and strike combinations would result in a credit.  Another stipulation was that the trade would buy one at-the-money option and sell two out-of-the-money options.  I wasn’t asked for a call or put spread, so I did both with each expiration.  With so many moving parts to that question I responded that I would investigate[...]

VIX showed signs of life last week with a move to the lower teens.  November settlement Wednesday morning came in at the highest level (13.79) since April.  However, when the week came to an end VIX finished only 0.14 higher.  The VIX futures rose slightly as well, with the farther dated futures uncharacteristically gaining more than the nearer dated contracts.  Monday with VIX around 11.50 and the November 29th VIX future at 11.90 a trader put on a position that looks like[...]

What the heck is going on with VXST on the chart below?  Basically Thanksgiving.  As a nine-day measure of SPX implied volatility this index takes into account options that have their implied volatility under pressure to adjust for extra time decay since we have Thursday off and a half day this coming Friday.  I have a funny feeling this time next week VXST will have fallen back in line (or contango) with the other indexes below.  The long funds were a bit lower last[...]

Small caps ruled the day last week as the Russell 2000 (RUT) rose 1.24% while the Russell 1000 (RUI) was down 0.11%.  For the year RUI is up over 15% while RUT still lags at up 10%.  The relationship between the Cboe Russell 2000 Volatility Index (RVX) and VIX remained at low levels as small caps were in favor.  I know hindsight is easy, but we can learn from it and the dramatic drop in the RVX / VIX ratio a couple of weeks ago may have been a precursor to the solid relative[...]

One of the most discussed topics in the financial world recently has been bitcoin and the technology behind bitcoin.  A few weeks ago Cboe Global Markets announced plans to launch futures contracts based on bitcoin prices and that process is undergoing regulatory review.  However, we do have the potential contract specifications available.  For those who want to get prepared for the launch of Cboe Bitcoin Futures here are some highlights. The underlying ticker will be XBT and[...]

Recently, Cboe announced plans to list futures contracts on bitcoin which is still in the works pending regulatory review.  Since that announcement I’ve been paying much more attention to the crypto currency space and even spent time with an 8th grader in my neighborhood who is mining ethereum.  In watercooler discussions at Cboe (which take place in our coffee shop), we were discussing the volatility of bitcoin and one smart guy said it was probably similar to VIX.  That[...]

S&P 500 volatility rose across the four volatility indexes based on SPX option pricing this past week.  The short side of the equation was up strong and the longer dated indexes (VIX3M and VXMT) had good weeks as well.  It may just be some concern is finally returning to the equity markets.   The long funds had solid weeks with the unleveraged ETPs gaining 3% to 7%, with the big winner being EVIX which is based on VSTOXX futures trading.  The short funds gave up almost the[...]

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[...]