• VIX | Trader Talk | Trade Ideas | Nov 12, 2017, 3:42 PM

    Weekend Review of Russell 2000 Options and Volatility - 11/6/2017 - 11/10/2017

    Weekend Review of Russell 2000 Options and Volatility - 11/6/2017 - 11/10/2017

    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[...]

  • VIX | Trader Talk | Trade Ideas | Nov 12, 2017, 12:20 PM

    Weekend Review of VIX Futures and Options - 11/6/2017 - 11/10/2017

    Weekend Review of VIX Futures and Options - 11/6/2017 - 11/10/2017

    VIX rose over 20% last week and the futures curve followed, but not nearly to the extent as the spot index.  The November contract goes off the board on the open Wednesday finishing the week at only a 0.31 premium to the spot index.  Usually the December contract is conspicuously low relative to spot VIX at this time of year as no one is concerned about the holidays and there are a few extra non-trading days associated with VIX around December expiration.  However, the over 2 point[...]

  • Cboe Benchmark Indexes | Nov 8, 2017, 11:41 AM

    Tech Sector Index is Top Performer in 2017, as Cboe Plans Launch of Options on Ten Select Sector Indexes

    Tech Sector Index is Top Performer in 2017, as Cboe Plans Launch of Options on Ten Select Sector Indexes

    One of the most frequent types of questions I receive from investors involves the topic of year-to-date performance.  Many investors are very interested in tracking how indexes have performed in the current year. As shown in the two charts below, of the ten S&P Select Sector indexes, the top and bottom performers in terms of price index returns in 2017 (through November 7) were the S&P Technology Select Sector Index (IXT), which was up 32%, and the S&P Energy Select Sector Index[...]

  • Nov 7, 2017, 8:42 AM

    Was Apple's Rise Painfully Obvious? For Some Yes, Other No

    Was Apple's Rise Painfully Obvious?  For Some Yes, Other No

    With Apple's stunningly strong earnings report, higher guidance and off the charts opening sales for the new X phone in place, the company rose smartly last week, peaking at a valuation never seen or heard before - 900 billion dollars!  Just under 10% more and this will be the first company ever valued at over 1 trillion dollars.  It has been a great ride for Apple, its shareholders and employees.  For 2017 the stock is up a whopping 50%.  To put that into perspective, at the[...]

  • VIX | Trader Talk | Nov 5, 2017, 1:18 PM

    Agenda Set for 3rd Annual Cboe RMC Asia - Dec 5 - 6

    Agenda Set for 3rd Annual Cboe RMC Asia - Dec 5 - 6

    Every job has the things you ‘have to do’ and those that you ‘get to do’.  I know I have worn this line out, but I cannot think of a better way to describe what the Cboe Risk Management Conferences mean to me.  The schedule for this year’s Asian version of RMC was posted on Friday and as always the lineup is very strong with respect to both the quality of speakers as well as the topics that will be covered in Hong Kong on December 5th and 6th.  Day[...]

  • VIX | Trader Talk | Trade Ideas | Nov 4, 2017, 11:23 AM

    Weekend Review of Volatility Indexes and ETPs - 10/30/2017 - 11/3/2017

    Weekend Review of Volatility Indexes and ETPs - 10/30/2017 - 11/3/2017

    VIX closed on an all-time low Friday and VXST was lower on the week as well, but note the right side of the VXST – VIX – VIX3M – VXMT curve where we had a slight rise in both the longer dated S&P 500 related volatility indexes.  The long ETPs were looking good on Monday, but they managed to give it back and more by the end of the week.  Even SKEW and VVIX, which have been holding up relative to VIX most of 2017 are starting to work lower.  Across the spectrum[...]

  • VIX | Trader Talk | Trade Ideas | Nov 4, 2017, 11:16 AM

    Weekend Review of Russell 2000 Options and Volatility - 10/30/2017 - 11/3/2017

    Weekend Review of Russell 2000 Options and Volatility - 10/30/2017 - 11/3/2017

    The Russell 2000 (RUT) had a tough week, losing almost 1% while the large cap focused Russell 1000 (RUI) managed to rise by 0.26%.  The outperformance of large versus small caps was threatened toward the end of the third quarter, but RUI is up 2.65% versus only a 0.27% rise for RUT in the fourth quarter. Due to very low VIX and a rise in the CBOE Russell 2000 Volatility Index (RVX) last week, the RVX / VIX relationship finished the week with RVX at over a 60% premium to VIX.  This happened[...]

  • VIX | Trader Talk | Trade Ideas | Nov 4, 2017, 11:10 AM

    Weekend Review of VIX Futures and Options - 10/30/2017 - 11/3/2017

    Weekend Review of VIX Futures and Options - 10/30/2017 - 11/3/2017

    VIX finished the week on an all-time closing low level.  However, despite the dramatic drop last week, only the November VIX future was lower while the rest of the contracts were higher for the week.  It may be that traders are expecting the low volatility environment to be coming to an end.    On Wednesday, a trader took a stance that VIX is going to remain at low levels, but higher than the recently very low readings.  With VIX around 9.90 and the November future trading[...]

  • VIX | Trader Talk | Nov 4, 2017, 7:14 AM

    VIX Index Hits 9.14, its All-Time Daily Closing Low Value

    VIX Index Hits 9.14, its All-Time Daily Closing Low Value

    On November 3 the Cboe Volatility Index® (VIX®) closed at 9.14, an all-time record low for both a daily and weekly closing value for the index. While the news media often focuses on the spot VIX Index, volatility traders analyze the price movements of VIX futures. The prices for VIX futures at the close on November 3 ranged from 10.1 to 16.4. Investors can learn more about use of VIX futures and options at www.cboe.com/VIX and at upcoming Cboe Risk Management Conferences – [...]

  • VIX | Trader Talk | Strategy | Trade Ideas | Cboe Benchmark Indexes | Nov 2, 2017, 4:14 PM

    Historic Volatility Recently Dropped Below 1.7 for Eight Cboe Benchmark Indexes

    Historic Volatility Recently Dropped Below 1.7 for Eight Cboe Benchmark Indexes

    In times of geopolitical uncertainties, many investors are searching for investments with low volatility and higher yields. Several news stories have noted that stock indexes recently had low volatility. On October 18 the 20-trading-day historic volatility for the S&P 500 (SPX) Index dropped to 3.4, its lowest level since 1969 (source: Bloomberg). There now is concern that with higher price-earnings ratios, the volatility of stock indexes could spike in coming months. EVEN LOWER HISTORIC VOLATILITY[...]

  • VIX | Trader Talk | Trade Ideas | Oct 29, 2017, 1:32 PM

    Weekend Review of Volatility Indexes and ETPs - 10/23/2017 - 10/27/2017

    Weekend Review of Volatility Indexes and ETPs - 10/23/2017 - 10/27/2017

    Of the four volatility indexes based on SPX option pricing, only VIX was lower last week.  This is the second week where the longer dated indexes (VIX3M and VXMT) rose while VIX was lower. Despite VIX dropping the long ETPs gained ground last week.  This is a great lesson in what these products give you, exposure to VIX futures and both the November and December contracts rose slightly despite the drop in VIX.  Of note on the table below is the majority of green lines versus reddish[...]

  • VIX | Trader Talk | Trade Ideas | Oct 29, 2017, 1:29 PM

    Weekend Review of VIX Futures and Options - 10/23/2017 - 10/27/2017

    Weekend Review of VIX Futures and Options - 10/23/2017 - 10/27/2017

    VIX finished the week lower, but notice the change for the standard first, second, and third month futures which was green for the week.  VIX may have dropped at the end of the week, but the VIX futures are acting like the volatility players are not expecting the move lower to hold. One trader took advantage of the volatility strength on Wednesday to get short volatility using Weeklys futures.  With VIX around 12.90 and the Nov 8th Future at 13.00 there was a small buyer of the VIX Nov[...]

  • VIX | Trader Talk | Trade Ideas | Oct 29, 2017, 1:27 PM

    Weekend Review of Russell 2000 Options and Volatility - 10/23/2017 - 10/27/2017

    Weekend Review of Russell 2000 Options and Volatility - 10/23/2017 - 10/27/2017

    Large cap stocks continue to dominate small caps this past week as the Russell 1000 gained 0.20% while the Russell 2000 was down 0.06%.  I guess dominate is a pretty strong word when referring to last week, but for the year RUI is up 15.20% while RUT is up 11.14%, the term works better when comparing 2017 year to date performance. VIX gave up some ground on a week over week basis while the Russell 2000 Volatility Index (RVX) was higher.  The result is the RVX / VIX relationship up to[...]

  • VIX | Oct 25, 2017, 11:34 AM

    Chicago Panel Discusses Current Dynamics of the VIX® Market

    Chicago Panel Discusses Current Dynamics of the VIX® Market

    I recently participated in VIX roadshow panel discussions in Boston, New York, and Chicago. Last week at Cboe I moderated a discussion of the Current Dynamics of the VIX® Market that featured these four expert panelists: Anand Omprakash, Director, Equity Derivatives Strategy and Structuring, BNP Paribas Dominic Salvino, VIX Option Specialist, Group One LLC Rich Ledee, CFA, Head of Capital Markets, ProShares Joanne M. Hill, PhD, Chief Advisor for Research and Strategy, CBOE[...]

  • Oct 23, 2017, 2:19 PM

    Record Volume for Mini-SPX XSP Options at Cboe

    Record Volume for Mini-SPX XSP Options at Cboe

    In recent years many investors have expressed interest in more flexibility for index options in terms of both contract size and and more expirations. So far this month (through October 20) Cboe’s options on the Mini-SPX Index (ticker XSP) have had average daily volume of more than 30,800 contracts. XSP options are on track to set an all-time record for average daily volume in a month (the previous high for average daily volume in a month was around 23,760 contracts) XSP VOLATILITY SKEW CHART The[...]

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