Rhoads-Russell

Russell Rhoads, CFA

Russell Rhoads, CFA, is Director, Product Advancement, Global Derivatives at Cboe Global Markets. His career before joining Cboe included positions at a variety of firms including Highland Capital Management, Caldwell & Orkin Investment Counsel, Balyasny Asset Management, and Millennium Management. He is a financial author and editor having contributed to multiple magazines and edited several books for Wiley publishing. He is the author of six market related books including Trading VIX Derivatives, Option Spread Trading, Trading Weekly Options, and Options Strategies for Advisors and Institutions. He authored material to be included in Level II of the CFA program and material for the CMT designation. In addition to his duties at Cboe, he is an adjunct instructor at Loyola University. He is a double graduate of the University of Memphis with a BBA ('92) and an MS ('94) in Finance and also received a Master's Certificate in Financial Engineering from the Illinois Tech in 2003. Russell is currently pursuing a PhD from Oklahoma State University with an expected graduation date in the Summer of 2018.

  • VIX | Trader Talk | Trade Ideas | Election & VIX | 2016 Recap | Nov 13, 2016, 7:56 AM

    Weekend Review - VIX Options and Futures - 11/7 - 11/11

    Weekend Review - VIX Options and Futures - 11/7 - 11/11

    If a tree falls in the woods and no one is there to hear it did it make a sound?  More appropriately for this space, if market fear increases during non-US market hours was there any increase in fear?  Before this election this could be a philosophical debate among those of use that follow market volatility.  Now we know that the answer is yes.  I’ve already touched on the overnight market action in November VIX futures and the S&P 500 futures contracts so I won’t[...]

  • Market News | Trader Talk | Trade Ideas | Nov 12, 2016, 2:40 PM

    Weekend Review - Russell 2000 Options and Volatility - 11/7 - 11/11

    Weekend Review - Russell 2000 Options and Volatility - 11/7 - 11/11

    Last week the Russell 2000 (RUT) beat the Russell 1000 (RUI) down like a college football team trying to make a statement and qualify for a spot in the playoff.  RUT was up over 10% in reaction to the outcome of the US election while the large cap (and more internationally focused) RUI gained just under 4%.  The race to the end of the year was close, but now RUT has about a 7% lead on RUI. In an interesting twist, the CBOE Russell 2000 Volatility Index (RVX) moved up relative[...]

  • About Last Night

    About Last Night

    So I spent the evening and early part of this morning watching different networks while watching the financial markets at the same time.  The chart below is a 5-minute chart showing the S&P 500 and VIX futures trading during the non-US hours trading session.  Then after 3 hours of sleep I taught my class at Loyola, spending half of that talking my students down from their disappointment at the election results.   There were a couple of things that stand out on the chart from[...]

  • Market News | Election & VIX | 2016 Recap | Nov 7, 2016, 10:22 AM

    Election Update - Volatility Still Abundant Despite S&P 500 Rally

    Election Update - Volatility Still Abundant Despite S&P 500 Rally

    As I write this the S&P 500 is up 40.00 points on the nose and volatility is dropping.  I ran a quick update on different charts I have been using to discuss the markets and the election.  All three appear to be saying despite the stock market rally, there’s still some uneasiness with respect to tomorrow’s election. First, I’ve been watching the at the money implied volatility of SPX options expiring in November.  We have options expiring on the close today, but[...]

  • Market News | Nov 6, 2016, 12:17 PM

    Earnings Week of 11/7 - 11/11

    Earnings Week of 11/7 - 11/11

    Earnings season is starting to wind down, but there are plenty of stocks with Weeklys reporting this week.  As always the data below is based on the last three years of earnings results unless the ticker is in italics.  The columns show the biggest rally, biggest drop, average move, and what the stock did last quarter in reaction to earnings.  Finally, double check the earnings dates as not all were confirmed.

  • VIX | Trader Talk | Trade Ideas | Election & VIX | 2016 Recap | Nov 6, 2016, 8:48 AM

    Weekend Review - VIX Options and Futures - 10/31 - 11/4

    Weekend Review - VIX Options and Futures - 10/31 - 11/4

    Volatility rose as we approach Tuesday’s big decision.  VIX gained almost 40% and the November contract moved up 16% which placed the short end of the curve in backwardation.  One other thing I’d like to point out below is the ‘dip’ that is the December contract.  Due to the Holidays there is a seasonal impact on the curve, however, this is the first weekend this stood out this much. One trader is expecting the dust to clear and VIX to fall rapidly to normal[...]

  • Market News | Nov 5, 2016, 7:57 PM

    Weekend Review - Volatility Indexes and ETPs - 10/31 - 11/4

    Weekend Review - Volatility Indexes and ETPs - 10/31 - 11/4

    Short dated volatility in the form of VXST was up over 70% last week.  The uncertainty around this election has reached a frenzied point.  That combined with the S&P 500 dropping about 2% resulted in the whole curve shifting higher.  I discussed the 2012 before and after curves in an earlier blog which can be read here.  I do expect short dated volatility to fall back in line, but where the rest of the indexes will be is anyone’s guess and depends heavily on the reaction[...]

  • VIX | Trader Talk | Trade Ideas | Election & VIX | 2016 Recap | Nov 5, 2016, 7:09 PM

    Volatility History Lesson - The 2012 Election

    Volatility History Lesson - The 2012 Election

    I’ve been getting lots of questions with respect to how volatility acts around US elections.  We don’t have a lot of history to work with, but we do have data on how the four volatility indexes based on SPX option trading did four years ago.  I did a little digging and reconstructed the VXST – VIX – VXV – VXMT curves from the Friday before and Friday after the 2012 election. The pre-election curve was slightly inverted with VXST at a premium to spot VIX.  [...]

  • Market News | VIX | Trader Talk | Trade Ideas | Nov 5, 2016, 8:00 AM

    Weekend Review - Russell 2000 Options and Volatility - 10/31 - 11/4

    Weekend Review - Russell 2000 Options and Volatility - 10/31 - 11/4

    It’s a stretch, but the race to the end of 2017 is shaping up like the most recent World Series that captivated my home town.  Early this year the Russell 1000 (RUI) dominated performance, then it looked like the Russell 2000 was going to run away with the out performance crown.  Suddenly, a couple of weeks ago, RUI got a second wind and is making a run at RUT.  Last week RUI closed the gap a tad losing 1.92% while RUT was down 2.08%.  For the year RUT is up 2.43% and RUI[...]

  • VIX | Trader Talk | Trade Ideas | Election & VIX | 2016 Recap | Nov 4, 2016, 8:47 AM

    Now Even Long Term Volatility is Reacting to the Election

    Now Even Long Term Volatility is Reacting to the Election

    A bonus with respect to the Cubs pulling off what we all thought was impossible has been a distraction from the political process we have all been enduring.  Before bringing everyone back to reality I want to throw an interesting thought out there.  If three years ago someone had said the Cubs will win the World Series and less than a week later Donald Trump would be elected President of the United States, you would think they were referring to a subplot in Back to the Future IV. We know[...]

  • Market News | VIX | Trader Talk | Trade Ideas | Election & VIX | 2016 Recap | Nov 1, 2016, 4:16 PM

    Volatility and the Election Update

    Volatility and the Election Update

    Usually by this time in the election season we have a pretty good idea of who is going to win the election.  However, like everything associated with this election, it is different this time.  Things changed on a dime late last week and I'm having a hard time figuring out what to highlight with respect to the volatility markets.  So forgive me if I miss a thing or two here... Last Monday I showed the chart below and highlighted that implied volatility for SPX options expiring just[...]

  • VIX | Trader Talk | Trade Ideas | Election & VIX | 2016 Recap | Nov 1, 2016, 9:01 AM

    The Election and Market Sector Volatility Part 2

    The Election and Market Sector Volatility Part 2

    Update - I expanded on the information below in this video after writing this blog earlier today. LimelightPlayerUtil.initEmbed('limelight_player_532992'); So, last week I looked at the implied volatility of various option markets that expired just before and just after next week’s election.  You can read all about that here.  Of course, as we all know, things changed a bit last Friday.  When things change, I start running numbers.  First I updated the table from last week[...]

  • VIX | Trader Talk | Trade Ideas | Election & VIX | Oct 30, 2016, 12:36 PM

    Weekend Review - Volatility Indexes and ETPs - 10/24 - 10/28

    Weekend Review - Volatility Indexes and ETPs - 10/24 - 10/28

    As a good number, but not all (some of us are White Sox fans) of the traders on the floor at CBOE were starting to think about where they were going to be that evening to watch Game 3 of the World Series, some news broke that shook the equity markets.  I don’t need to regurgitate all that here.  In fact, regurgitate is a good word to describe the election process this year. The curve below is partially a result of the uncertainty around the election, but also reflects a relationship[...]

  • Market News | VIX | Oct 30, 2016, 8:59 AM

    Weekend Review - VIX Futures and Options - 10/24 - 10/28

    Weekend Review - VIX Futures and Options - 10/24 - 10/28

    VIX had a pretty stellar week, aided by the new on Friday, to finish over 20% higher. Spot VIX may be buying into a new scandal, but the futures did not.  The curve is as flat as it has been in months which tells me traders expect this move in VIX to be short lived. We are all aware that VIX made a little move on Friday as new of a new chapter in the Clinton email saga commenced.  As the week came to an end on trader took advantage of a rise in VIX and the December futures[...]

  • Market News | VIX | Trader Talk | Trade Ideas | Oct 29, 2016, 1:49 PM

    Weekend Review - Russell 2000 Options and Volatility - 10/24 - 10/28

    Weekend Review - Russell 2000 Options and Volatility - 10/24 - 10/28

    Last week the Russell 2000 (RUT) took it on the chin dropping 2.6% while the large cap focused Russell 1000 (RUI) was down only 0.80%.  For the year RUT still has a small lead, up 4.55% versus up 3.98%, but that could quickly disappear next week. The volatility spike that came Friday afternoon did what most surprising events do to the relationship between the Russell 2000 Volatility Index (RVX) and VIX.  The ratio dropped, but is still above average for 2016. The week ended[...]