Trade Ideas Archives - Cboe Blogs

  • 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 | 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 | Trader Talk | Trade Ideas | Oct 22, 2017, 9:24 AM

    Weekend Review of Volatility Indexes and ETPs - 10/16/2017 - 10/20/2017

    Weekend Review of Volatility Indexes and ETPs - 10/16/2017 - 10/20/2017

    The short term volatility indexes (VXST and VIX) were up a bit last week as the S&P 500 set multiple all-time closing record highs last week.  VIX3M (formerly VXV) and VXMT were both up slightly resulting the rare ‘term-structure twist’.  It’s really not that rare, I just had a nature documentary voice in my head as I typed that.  The table below has few surprises (beyond VXST and VIX higher).  TYVIX heading to higher levels is a bit of a head scratcher[...]

  • VIX | Trader Talk | Trade Ideas | Oct 22, 2017, 9:20 AM

    Weekend Review of Russell 2000 Options and Volatility - 10/16/2017 - 10/20/2017

    Weekend Review of Russell 2000 Options and Volatility - 10/16/2017 - 10/20/2017

    Small caps continue to lag as the Russell 2000 (RUT) was up 0.46% last week while the Russell 1000 (RUI) gained 0.87%.  The RUT was making quite a run in the end of the third quarter, but that move has come to an abrupt halt with RUI up about 1% more than RUT in October.  Small cap bulls (or relative bulls) make have a little hope from what shows up in the chart below.  Despite the RUT underperformance, RVX dropped relative to VIX last week.  We saw similar price action in response[...]

  • VIX | Trader Talk | Trade Ideas | Oct 21, 2017, 1:17 PM

    Weekend Review of VIX Futures and Options - 10/16/2017 - 10/20/2017

    Weekend Review of VIX Futures and Options - 10/16/2017 - 10/20/2017

    VIX was higher last week, despite the S&P 500 hitting a record high for five days in a row.  At low levels this sort of divergence between VIX and the S&P 500 isn’t usually much of a big deal.  But I wonder if there may be more significance since VIX under 10 has become a bit more of a norm.  I love going through time and sale to see what sort of trading has been going on in VIX options and it’s a bonus when I find a trade structure that’s uncommon. [...]

  • VIX | Trader Talk | Trade Ideas | Oct 18, 2017, 7:57 PM

    Block Trade Analysis - VIX Ratio Risk Reversal

    Block Trade Analysis - VIX Ratio Risk Reversal

    Today when I was searching for trades to discuss on Volatility 411 I came across a pretty interesting one that was structured a little different than the normal risk reversal.  With VIX around 10.18 and the November futures at 11.65 someone came in and sold 1500 VIX Nov 12 Puts for 1.37 and purchased 3000 VIX Nov 15 Calls for 0.59 and a net credit of 0.19.  The payoff below assumes the trade is held to expiration, but if there is some sort of volatility event between now and then I[...]

  • VIX | Trader Talk | Trade Ideas | Oct 15, 2017, 9:15 AM

    Weekend Review of VIX Options and Futures - 10/9/2017 - 10/13/2017

    Weekend Review of VIX Options and Futures - 10/9/2017 - 10/13/2017

    On a week over week basis VIX hardly budged, but we did have a couple of days with closes over 10.00 both Monday and Tuesday.  In fact, we would have had a double digit VIX highs each day if it weren’t for Friday’s price action falling short by 0.02.  The curve moved lower than VIX as October played catch up with VIX going into this week’s settlement.  Worth noting is the volatility of VIX options.  Specifically, the level of VVIX, which ticked higher last[...]

  • VIX | Trader Talk | Strategy | Trade Ideas | Oct 14, 2017, 11:45 AM

    Weekend Review of Volatility Indexes and ETPs - 10/9/2017 - 10/13/2017

    Weekend Review of Volatility Indexes and ETPs - 10/9/2017 - 10/13/2017

    There are lots of articles floating around discussing the lack of volatility in the markets along with the low level of VIX.  It’s reaching a point where we don’t have much else to say and are just waiting for a change of scenery.  With all that going on, the four volatility indexes based on SPX option pricing remained low and on average were basically unchanged last week.  There is a single data point standing out on the table below.  That is VVIX in the upper 90’s. [...]

  • Technical Analysis & Charts | VIX | Trader Talk | Trade Ideas | Oct 14, 2017, 11:40 AM

    Weekend Review of Russell 2000 Options and Volatility - 10/9/2017 - 10/13/2017

    Weekend Review of Russell 2000 Options and Volatility - 10/9/2017 - 10/13/2017

    The recent dominance of small cap stocks came to an end as the Russell 2000 (RUT) dropped just over 0.5% while the Russell 1000 (RUI) gained 0.13%.  That places RUI at a performance advantage of just over 3.25% for 2017.  The volatility indexes based on large cap (VIX) and small cap indexes (Russell 2000 Volatility Index – RVX) reflect the extra risk that showed up in the underperformance of RUT.  Note the spike down in mid-September on the chart below that was followed[...]

  • VIX | Trader Talk | Trade Ideas | Oct 7, 2017, 11:15 AM

    Weekend Review of VIX Futures and Options - 10/2/2017 - 10/6/2017

    Weekend Review of VIX Futures and Options - 10/2/2017 - 10/6/2017

    Despite closing at an all-time low on Thursday and the S&P 500 gaining over 1% last week, VIX was slightly higher when the dust settled Friday.  The same cannot be said for the VIX futures curve where all contracts lost value last week.  It should be noted that despite the low level (or because of the low level of VIX), VVIX close just shy of 100 last week.  VIX Weeklys continue to become a bigger part of the VIX story with non-standard expirations continuing to experience volume[...]

  • VIX | Trader Talk | Trade Ideas | Oct 7, 2017, 10:41 AM

    Weekend Review of Volatility Indexes and ETPs - 10/2/2017 - 10/6/2017

    Weekend Review of Volatility Indexes and ETPs - 10/2/2017 - 10/6/2017

    The VXST – VIX – VIXM3 – VXMT curve was mixed with VIX rising but the other three S&P 500 related volatility indexes lower on the week. On the summary table, SKEW and VVIX stand out as indications that risk is lurking around the markets.  As a perspective, we have SKEW data going back to 1990 and Friday’s close places the index higher than 99.11% of all observations.  The long-term average (going back to 2007) for VVIX is 87.71, which places Friday’s[...]