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  • Market News | Trader Talk | Futures | Strategy | Trade Ideas | May 13, 2016, 4:24 PM

    Russell 2000 Futures vs. Short Call Spread from Last Week

    Russell 2000 Futures vs. Short Call Spread from Last Week

    Every weekend I write a brief blog discussing the performance of the Russell 2000, how the CBOE Russell 2000 Volatility Index is reacting to market conditions, and pick out a RUT trade or other piece of market information that looks interesting (at least to me). Last week I noted a bear call spread using Russell 2000 Index Options that sold a deep in the money call and purchased a slightly out of the money call, both of which expired this week. The specific trade involved selling the RUT May 13th[...]

  • Market News | Trader Talk | Trade Ideas | May 13, 2016, 9:21 AM

    Earnings Next Week - 5/16 - 5/20

    Earnings Next Week - 5/16 - 5/20

    Next week is all about retail which should be interesting since Macy's (M) woes were a big focus this week.  As always the data below is based on the last three years of earnings results, unless the data is in italics.  In those cases less than three years worth of history is available.  The columns show the biggest rally, biggest drop, average move, and what the stock did last quarter in reaction to earnings.

  • Market News | VIX | Trader Talk | Strategy | Trade Ideas | May 8, 2016, 1:09 PM

    Weekend Review - Volatility Indexes and ETPs - 5/2 - 5/6

    Weekend Review - Volatility Indexes and ETPs - 5/2 - 5/6

    The S&P 500 was down 0.44% last week which places the index up only 0.65% for the year. Three out of the four S&P 500 focused volatility indexes were also lower last week, despite the drop in the S&P 500. I find the longer end of the curve holding up like it has for most of 2016 interesting as well as worrisome, at least if you are bullish on stocks. In the ETP space VXX was down by 5.11% and UVXY lost a little over twice as much at VXX. SVXY put up a decent week gaining[...]

  • Market News | VIX | Trader Talk | Futures | Strategy | Trade Ideas | May 7, 2016, 11:35 AM

    Weekend Review - VIX Options and Futures - 5/2 - 5/6

    Weekend Review - VIX Options and Futures - 5/2 - 5/6

    VIX dropped last week, with a big part of the drop coming Friday afternoon. Note the futures followed suit, but specifically note that the front month May future gave up a little more ground than spot VIX. This is sort of common when we have an employment number. Also note how flat the curve is from July through November – the theory is that the Fed is out of play between the conventions and the election which may result in relative calm for the financial markets. Late Thursday[...]

  • Weekend Review - Russell 2000 Options and Volatility - 5/2 - 5/6

    Weekend Review - Russell 2000 Options and Volatility - 5/2 - 5/6

    Small cap stocks get so close and then seem to fall back when reaching unchanged on the year or catching up with the performance of large cap stocks. This week the Russell 2000 (RUT) dropped 1.44% while the large cap focused Russell 1000 (RUI) lost 0.49%. This places RUT in the red by 1.86% for 2016 while RUI is still up 0.55%. With the underperformance of small cap stocks last week came a relative rise in the CBOE Russell 2000 Volatility Index (RVX). The RVX / VIX premium began the[...]

  • Market News | Trader Talk | Trade Ideas | May 4, 2016, 9:28 PM

    Earnings Next Week - 5/9 - 5/13

    Earnings Next Week - 5/9 - 5/13

    The earnings calendar continues to offer several opportunities to trade around announcements next week.  As always the data below is based on the last three years of earnings results, unless the data is in italics.  In those cases less than three years worth of history is available.  The columns show the biggest rally, biggest drop, average move, and what the stock did last quarter in reaction to earnings.   As always, dates are as of the date of publication and are subject to[...]

  • Market News | Trader Talk | Trade Ideas | May 1, 2016, 12:47 PM

    Weekend Review - VIX Options and Futures - 4/25 - 4/29

    Weekend Review - VIX Options and Futures - 4/25 - 4/29

    With the drop in the S&P 500 last week VIX rallied almost 20%. Contango was pretty steep going into the week so the front month May future gained just over 4% as the index played some catch up with the futures contract. The generic curve I create with the front five weeks of futures managed to shift higher, but also remain in a pretty steep angle. We have less than a year of data to work with, but so far flat is the most common shape for this curve. Only for the last few[...]

  • Market News | Trader Talk | Futures | Trade Ideas | May 1, 2016, 11:30 AM

    Weekend Review - Volatility Indexes and ETPs - 4/25 - 4/29

    Weekend Review - Volatility Indexes and ETPs - 4/25 - 4/29

    The weakness in the S&P 500 last week, although not really dramatic, did result in pretty big moves out of the four S&P 500 related volatility indexes. They were coming off pretty low levels which attributes to the large moves, at least on a percentage basis. The curve remains steep, which indicates the market remains concerned about whether stocks can move to the upside this year. On the table below VVIX continues to stand out finishing the week over 90.00. Two weeks ago TYVIX[...]

  • Market News | VIX | Trader Talk | Trade Ideas | May 1, 2016, 9:24 AM

    Weekend Review - Russell 2000 Index and Volatility - 4/25 - 4/29

    Weekend Review - Russell 2000 Index and Volatility - 4/25 - 4/29

    Stocks had a tough week and the Russell 2000 (RUT) was down 1.4% on the week and took the small cap benchmark from positive to negative territory for 2016. Large cap stocks held up a bit better with the Russell 1000 (RUI) losing 1.26% and the large cap benchmark remains positive on the year by just over 1%. Even though RUT underperformed a bit, the CBOE Russell 2000 Volatility Index (RVX) premium to VIX dropped a bit and both volatility indexes climbed last week.  The RVX / VIX[...]

  • Trader Talk | Trade Ideas | Apr 28, 2016, 10:40 AM

    Earnings Next Week - 5/2 - 5/6

    Earnings Next Week - 5/2 - 5/6

    We still have a pretty heavy earnings calendar going into next week.  With a couple of exceptions (tickers in italics) these are 3 year numbers representing the first day stock price reaction after the announcement.

  • Trader Talk | Trade Ideas | Apr 27, 2016, 11:15 AM

    Shaking down the $SHAK

    Shaking down the $SHAK

    A trading friend of mine, who wishes to be called "Chip" in the telling of this story, is clamoring for me to tell this story on his behalf.  The brief but detailed saga is basically a chronicle of Chip's studious, calculated transactions that allowed him to benefit from a particular company's stock price trajectory over the one week span of time covered by this case study. It's a tale of Shake Shack, puts and calls, and of cash raked over the barrelhead into Chip's sweaty, eager hands. On[...]

  • Market News | VIX | Trader Talk | Futures | Trade Ideas | Apr 24, 2016, 7:05 PM

    Weekend Review - VIX Options and Futures - 4/18 - 4/22

    Weekend Review - VIX Options and Futures - 4/18 - 4/22

    VIX moved down and the curve shifted lower as well. This sort of comment had been leading off this blog more often than not for years. I’m just surprised I’m saying it during what was expected to be a transitional year from a low to high volatility regime. The only bearish feature below is how steep the curve is. A few more weeks in the 13’s and we’ll probably see a flattening of the curve. Late last week it was pointed out to me that the VIX had closed under[...]

  • Market News | VIX | Trader Talk | Futures | Trade Ideas | Apr 24, 2016, 3:44 PM

    Weekend Review - Volatility Indexes and ETPs - 4/18 - 4/22

    Weekend Review - Volatility Indexes and ETPs - 4/18 - 4/22

    Very quiet weeks, like last week, usually result in a slight shift lower in the VXST – VIX – VXV – VXMT curve. Contango persists and it worked its magic on SVXY, VXX, and UVXY last week. SVXY had a good week rising over 5% while VXX gave up just about the same amount and UVXY lost over 11%. Note VVIX is remaining at relatively high levels as is SKEW.   For the year SVXY is up about 7%, VXX has lost 21% and UVXY is down 45% (after being up over 100% back in February). SVXY[...]

  • Market News | VIX | Trader Talk | Futures | Trade Ideas | Apr 24, 2016, 2:26 PM

    Weekend Review - Russell 2000 Index and Volatility - 4/18 - 4/22

    Weekend Review - Russell 2000 Index and Volatility - 4/18 - 4/22

    For the first time in 2016 the Russell 2000 (RUT) moved into positive territory last week. A gain of 1.4% places RUT just under 1% in the green for the year. Small caps also closed the gap with large cap stocks as the Russell 1000 (RUI) was up by 0.60% and is less than 1.5% higher than RUT for the year. Despite the run in small caps, the CBOE Russell 2000 Volatility Index remained relatively high compared to VIX last week. I take this as being an indication that there are not a[...]

  • Market News | VIX | Trader Talk | Strategy | Trade Ideas | Apr 19, 2016, 12:55 PM

    Huge 1 x 2 VIX Call Spread Rolled Today

    Huge 1 x 2 VIX Call Spread Rolled Today

    Things are relatively quiet today with the S&P 500 topping 2100 for the first time in months and then losing its grip on that round number. However, despite the relative quiet a big trade hit the VIX pit just before lunch time that has traders talking. There were four legs to the trade, which turned out to be a large volatility player rolling a position from May to July. I have no idea what they have against June. A May spread was exited – Sell 82,129 VIX May 23 Calls at 0.43 + Buy 164,242[...]