• Market News | Education | Jan 8, 2016, 6:30 PM

    The Weekly Options News Roundup – 1/8/2016

    The Weekly Options News Roundup – 1/8/2016

    The Weekly News Roundup is your weekly recap of CBOE features, options industry news and VIX and volatility-related articles from print, broadcast, online and social media outlets.      VIX FIX: New Year, Same Ole Volatile Markets During the year’s first week of trading, stocks took a sharp downturn due to turmoil in China that ignited global markets into a sell-off. The Dow Jones fell over 900 points this week, while the VIX Index climbed above the 27-level. [...]

  • Market News | VIX | Education | Jan 8, 2016, 4:45 PM

    2016 Stock Market Forecast & 2015 Market Review

    2016 Stock Market Forecast & 2015 Market Review

    Usually we make this the topic of a longer article at year-end, but frankly we are not holding positions for anywhere near a year, so this is just a mental exercise – not having a lot to do with our style of trading. Besides, last year the big thing was that years ending in “5" are extremely bullish.  Well, this one wasn’t, which just shows that seasonals don’t always work.  Of course, with this one you have to wait another ten years to see how the next signal[...]

  • Market News | VIX | Education | Futures | Jan 8, 2016, 2:40 PM

    It’s Déjà VIX All Over Again

    It’s Déjà VIX All Over Again

    The same up-and-down vibes that marked the end of 2015 lifted volatility in the first week of 2016. The Shanghai stock market plunged on Monday. Oil prices were on a downward trend all through the week, and on Friday the U.S. Labor Department reported an additional 292,000 nonfarm payroll jobs were added in December. On Thursday, the economic malaise in China pushed the CBOE Volatility Index (VIX) to a weekly high of 25.86, 42 percent higher than at the close of 2015. The upbeat job report on Friday[...]

  • Market News | Trader Talk | Strategy | Jan 7, 2016, 9:40 AM

    Earnings Week of 1/11 - 1/15

    Earnings Week of 1/11 - 1/15

    Next week things start to heat up in the earnings world.  AA reports on Monday which some consider the beginning of earnings season.  INTC and some financials finish out the week.  The numbers below represent three years of stock price reaction history to earnings announcements with the biggest gain, biggest drop, average move (non-directional) and stock price reaction last quarter.

  • Market News | VIX | Trader Talk | Strategy | Jan 6, 2016, 1:22 PM

    Small Caps in Turmoil, Albeit with Lower Anticipated Volatility

    Small Caps in Turmoil, Albeit with Lower Anticipated Volatility

    The Russell 2000 (RUT) is trading at 1094, 15% off all-time highs, and has only closed lower than this level on one occasion (9/29/15) in the past 14+ months. In October of 2014, amidst the worldwide Ebola scare, RUT closed at 1068 and traded as low as 1018. Implied volatility of RUT options however, is rather sanguine despite the selloff in the benchmark Small Cap index. The CBOE Russell 2000 Volatility Index (RVX) “measures the market’s expectation of 30-day volatility implicit in the[...]

  • Market News | VIX | Education | Jan 6, 2016, 10:29 AM

    CBOE RMC Early Bird Pricing Ends Friday

    CBOE RMC Early Bird Pricing Ends Friday

    On what is supposed to be the coldest day of this winter in Chicago I’m booking a flight to South Florida for late next month.  Bonita Springs is the home for the 2016 CBOE Risk Management Conference where I know the weather will be more agreeable than what I experienced on my walk from the train this morning in Chicago. CBOE now hosts three versions of the Risk Management Conference annually, each with a geographic focus (US, Europe and Asia).   The one in the United States[...]

  • Market News | VIX | Trader Talk | Strategy | Trade Ideas | Jan 5, 2016, 8:22 AM

    Block Trade Analysis - VXX Bearish and Bullish Trades from Monday

    Block Trade Analysis - VXX Bearish and Bullish Trades from Monday

    Days like yesterday get me searching for volatility oriented option trades.  I found two that caught my eye in the VXX option market and debated which one to discuss in this space.  After about three seconds of internal debate I decided to just talk about both. Both trades occurred in the middle of the day yesterday, one is bearish on VXX while the other benenfits if VXX spikes to the upper 20’s.  First the bearish trade. When VXX was at 21.90 there was a seller of the VXX Jan[...]

  • Market News | Trade Ideas | Jan 4, 2016, 4:48 PM

    Earnings Week of 1/4 - 1/8

    Earnings Week of 1/4 - 1/8

    The markets are well rested and ready for earnings announcements to start rolling out.  This week the calendar is light with three companies reporting that also have short dated options available for trading.  The numbers below represent three years of stock price reaction history to earnings announcements with the biggest gain, biggest drop, average move (non-directional) and stock price reaction last quarter.

  • Market News | Technical Analysis & Charts | VIX | Education | Jan 4, 2016, 2:11 PM

    Eight Charts to Recap 2015 – CNDR Index Rose 10.4%

    Eight Charts to Recap 2015 – CNDR Index Rose 10.4%

    End-of-the-year headlines noted “A Roller Coaster Year Ends with U.S. Markets Mostly Down” (New York Times) and “U.S. Stocks Post Worst Annual Losses Since 2008” (The Wall Street Journal). In this new year on Jan. 4, wsj.com noted “Weaker-than-expected manufacturing data and a falling currency triggered a 7% fall in mainland Chinese stocks that led authorities to halt trading there before the end of the session.” After reading these types of news stories, an inquisitive[...]

  • Market News | VIX | Trader Talk | Education | Futures | Jan 3, 2016, 9:24 AM

    Five Volatility Market Takeaways from 2015

    Five Volatility Market Takeaways from 2015

    2015 is behind us and the S&P 500 dropped (more than a rounding error) for the first time since 2008.  If you want to put a positive spin on the year you can say with dividends the S&P 500 was higher.  It was a fun year to be a market participant as we experienced some things that could be considered new or at least different relative to recent market history.  Since everyone loves lists, or gets easily sucked into them, here are five takeaways from the volatility markets in[...]

  • Market News | Education | Futures | Strategy | Dec 31, 2015, 10:02 AM

    A Look Backward and Forward: CBOE VIX Indexes in 2015 and 2016

    A Look Backward and Forward: CBOE VIX Indexes in 2015 and 2016

    2015 Retrospective: There was no shortage of financial crises or investor alarm over central bank monetary policies, OPEC’s oil policy, and the generally anemic state of the global economy in 2015. Each CBOE VIX Index recorded the level of stress in its underlying sector. As the graphs below illustrate, different triggers struck panic across markets. VIX Index, Volatility Gauge for U.S. Equity Market: The uptrend in expected volatility of the U.S. equity market continued in 2015. The peak[...]

  • Market News | Technical Analysis & Charts | Dec 30, 2015, 10:47 AM

    CBOE Russell 2000 Strategy Benchmark Indexes Outperform Russell 2000® Index

    CBOE Russell 2000 Strategy Benchmark Indexes Outperform Russell 2000® Index

    Improving risk-adjusted returns and enhancing yields are common guidelines for using options-based strategies.  The CBOE recently added 5 new CBOE Russell 2000 strategy benchmark indexes to a line-up now totaling 26 based on a variety of underlying indexes. By design each CBOE strategy benchmark index offers a unique risk/reward characteristic providing investors with the flexibility to choose an appropriate strategy for different risk tolerances and market outlooks. As the year end approaches,[...]

  • Market News | Technical Analysis & Charts | Dec 28, 2015, 10:14 AM

    Weekly Market Outlook - Santa Claus Rally & The Dollar

    Weekly Market Outlook - Santa Claus Rally & The Dollar

    Last but not least, November's durable goods orders were posted last week. They weren't stunning, with or without transportation orders factored in. On the other hand, bear in mind that the figures represent a comparison to October's totals - not November 2014's totals. It's also pretty clear from the chart below that we can't sweat tepid - or even negative - durable goods orders comparisons. It's clearly a volatile piece of data. Durable Goods Orders Chart It wasn't a full trading week, but the[...]

  • Market News | Technical Analysis & Charts | VIX | Dec 23, 2015, 2:01 PM

    SPX & The Golden Cross

    SPX & The Golden Cross

    For those that watch the market with a “technician’s eye” something unusual happened yesterday. It marked the first time since January 31, 2012 when the 50 day moving average on the SPX Index crossed over its 200 day moving average. Technical types call this “The Golden Cross”, which is almost unequivocally considered a bullish formation (especially in concert with increasing volume). To be fair, in order to set up a Golden Cross, it must be preceded by a “Death[...]

  • Market News | Futures | Dec 21, 2015, 3:19 PM

    Russell 2000® Index Options (RUT) - “Weeklys” New PM-settled Expirations

    Russell 2000® Index Options (RUT) -  “Weeklys” New PM-settled Expirations

    The Russell 2000® Index (RUT) Weeklys options are listed to provide expiration opportunities every week. Weeklys are typically listed on Thursdays and expire on Fridays, provided that such expirations were not previously listed (i.e. Weeklys are not listed if they would expire on a 3rd Friday or if a Quarterly option would expire on the same day). Trading Activity RUT “Weeklys” The daily and monthly trading activity in the RUT “Weeklys” average approximately 30% of the[...]

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