Cboe Blogs

Apologies for being late to the game, luckily we do have some big names reporting later this week so this blog may still be useful for many readers. The numbers below represent three years of history.   After the ticker the columns show the biggest gain, biggest drop, average move (non-directional) and stock price reaction last quarter.

After stumbling a bit last week both the Russell 1000 (RUI) and Russell 2000 (RUT) moved higher with RUI up by about 1% and RUT rising 0.5%.  this is the first week in a while where RUT under performed RUI and the small cap benchmark is now lagging the large cap Russell 1000 by 3% for 2016. The relative implied volatility ticked up a bit for the CBOE Russell 2000 Volatility Index when compared to VIX.  The 2016 closing high for the RVX / VIX ratio occurred on February 1st and[...]

VIX dropped just over 2% which isn’t that much considering we got a 1% rise in the stock market.  The curve remains in a fairly common state of contango.  Standard March futures settle Wednesday on the open and the spread of over a point also makes me wonder if volatility traders are buying into higher stock prices. I did a little more digging on VIX price action, really just looking for the 2016 intraday-low which I assumed occurred last week.  I assumed wrong. [...]

The Russell 2000 (RUT) continues to show some resilience rising over 4% last week and closing the 2016 performance gap with the Russell 1000 (RUI). The long term average for the CBOE Russell 2000 Volatility Index (RVX) relative to VIX has been about 20% which is where we are now.  For some time back in the fourth quarter of last year we spent much more time closer to parity between RVX and VIX. An interesting trade was executed on Friday around lunchtime, with RUT trading near[...]

VIX gave up over 14% as the S&P 500 tried to work back to the 2000’s last week, falling short by 0.01.  Note the steepness of the curve below with the standard March contract at over a two point premium to spot VIX. The generic curve is also a bit steep, considering it is normally pretty flat.  VIX may be low, but even the short dated futures are braced for higher levels.   With VIX under pressure on Friday, someone came in to the market using one of my favorite[...]

The S&P 500 rose about 2.7% last week and shorter term volatility took it on the chin with VXST and VIX both down over 14%.  The longer dated volatility indexes were lower as well, but as show below, remain elevated compared to their respective averages last year.  You can read that as the market still bracing for higher volatility over the balance of 2016 (or at least until 6 months from now). The long and long leveraged VIX realted ETPs were down last week with VXX dropping[...]

This past week I got to attend CBOE’s Risk Management Conference in Florida and finished my week at Oklahoma State as a guest lecturer.  When I travel like this I am not watching the markets as closely as I would like and as I updated charts this morning I nervously scanned the numbers used to create the chart below.  I say nervously because I was afraid I had dropped the ball on catching the VIX Death Cross.  It turns out I updated charts just in time. Yesterday (3/4) was the[...]

The numbers below represent three years of history with a couple of exceptions which have not been around long enough to provide a full three years of history.  In those cases the data appears in italics.   After the ticker the columns show the biggest gain, biggest drop, average move (non-directional) and stock price reaction last quarter.  

The final day began at CBOE’s Risk Management Conference with a very timely address from Jim VandeHei President and CEO of POLITICO.  He offered extensive insight into the current presidential race and this was a timely presentation considering yesterday was Super Tuesday.  An interview with VandeHei appears at the CBOE RMC Video Highlights Page. There were two tracks today, one focusing on directional trading and the other focusing on volatility. The first directionally oriented[...]

The final presentation at CBOE’s Risk Management Conference in Bonita Springs, FL was a discussion of Cross-Region Volatility Analysis for Investing and Hedging.  Vishnu Kurella, Portfolio Manager at Caxton Associates and Ramon Verastegui, Managing Director, Head of Flow Strategy & Solutions Americas for Societe Generale.  Both are favorite presenters at RMC and drew a very large crowd. Their presentation covered a variety of important topics such as how natural derivative flows[...]

// One of the final presentations of this year’s CBOE RMC discussed Directional Options Trading and Strategy – How to Effectively Manage a Directional Options Portfolio.  Ilya Feygin, Managing Director / Senior Strategist from WallachBeth Capital LLC and Michael Khouw Chief Strategist from Tradelegs and President of Optimize Advisors shared the presentation dutes. Feygin began listing five things to focus[...]

// Ryan McRandal, Portfolio Manager from One River Asset Management and Nitin Saksena head of US Equity Derivatives Research at Bank of America Merrill Lynch teamed up for a discussion titled How to Improve Directional Trading Using Correlation Information. Saksena started things off noting that even highly correlated markets may diverge in performance over time.  One example of this is the S&P 500 and Emerging Markets[...]

When you attend a conference like CBOE Risk Management you hope to have the opportunity to hear a variety of speakers.  This has always been true for RMC.  However, there are usually market themes that persist from presentation to presentation.  For instance at RMC in Europe a few months ago there was a lot of discussion about the markets moving to a higher volatility regime.  What is interesting about this conference is that the variety of market outlooks matches the variety[...]

// One of the final presentations during Day 2 of CBOE’s Risk Management Conference teamed up Ari Paul, CFA, Portfolio Manager at The University of Chicago Office of Investments and Rebecca Cheong, Head of Americas Equity Derivatives Strategy, UBS Securities.  They separately discussed aspects related to Risk Hedging Frameworks: Governance Concerns and Equity Derivative Strategies. Paul began listing sources of[...]

Rocky Fishman, CFA, Equity Derivatives Strategies from Deutsche Bank Securities and Philip Jones, SVP Quantitative Strategies Capital Markets Solutions, Ameriprise Financial teamed up for a session titled Equities and Rates: Hybrid Options Correlation, and Risk Management. Fishman started out noting that the correlation between interest rates and stocks changed about 15 years ago.  From the early 1960’s through 2000 there was a negative relationship, more recently it has been positive. [...]