• VIX | Trader Talk | Cboe Benchmark Indexes | Jan 5, 2018, 1:49 PM

    Nine Charts Highlight Nine New Records for Cboe Index Products in 2017

    Nine Charts Highlight Nine New Records for Cboe Index Products in 2017

    A number of new volume and price records were set for Cboe index products in 2017, as customer demand for index options and volatility product solutions continued to grow. These records were remarkable in light of the fact that many experts said that that the markets appeared to be very complacent, as the Cboe Volatility Index® (VIX®) hit a record low in 2017. RECORD #1 – RECORD HIGH NOTIONAL VOLUME FOR SPX OPTIONS – MARKET CAPACITY When I am discussing the Cboe’s BXM and[...]

  • VIX | Trader Talk | Trade Ideas | Dec 30, 2017, 4:26 PM

    Weekend Review of Volatility Indexes and ETPs - 12/26/2017 - 12/29/2017

    Weekend Review of Volatility Indexes and ETPs - 12/26/2017 - 12/29/2017

    The four volatility indexes that are based on SPX option pricing were all higher last week with VXST leading the charge.  Of course, the VXST move was aided by a rebound from depressed levels that can be attributed to two three day weekends between the index calculation and the two option series used to determine the level of VXST. The VIX futures markets were mixed last week with nearer dated contracts gaining and longer dated futures losing value.  The result is a mixed back of volatility[...]

  • VIX | Trader Talk | Trade Ideas | Dec 30, 2017, 3:02 PM

    Weekend Review of VIX Futures and Options - 12/26/2017 - 12/29/2017

    Weekend Review of VIX Futures and Options - 12/26/2017 - 12/29/2017

    VIX rallied in the last few minutes of 2018, but didn’t take the all the futures contracts with it.  The near dated futures moved up slightly, but for the week the longer dated futures were slightly lower.  2017 is now officially the year with the lowest average close for VIX on record.  The average close was 11.09 in 2017 which is 2.30 lower than the average close for VIX in 1995.  The chart below is a favorite of mine showing the high, low, and average VIX by year from[...]

  • VIX | Trader Talk | Trade Ideas | Dec 30, 2017, 10:10 AM

    Weekend Review of Russell 2000 Options and Volatility - 12/26/2017 - 12/29/2017

    Weekend Review of Russell 2000 Options and Volatility - 12/26/2017 - 12/29/2017

    The year ended appropriately with the Russell 2000 (RUT) dropping a little more than the Russell 1000 (RUI).  RUT was down 0.48% while the large cap focused RUI lost 0.33%.  For the year large cap stocks dominated small cap stocks with RUI up over 19% and RUT lagging by over 6% rising just a bit more than 13%.  On the volatility front the Cboe Russell 2000 Volatility Index (RVX) premium to VIX dropped to finish the year very close to the long term average of around 35%.  I’ve[...]

  • VIX | Cboe Benchmark Indexes | Cboe RMC | Dec 26, 2017, 2:19 PM

    SPX and VIX Option Market Discussion at Cboe RMC Asia

    SPX and VIX Option Market Discussion at Cboe RMC Asia

    The final presentation of the first day at Cboe RMC in Hong Kong matched Eric Frait, Vice President, Product Advancement and Strategy at Cboe Global Markets with Kristin Boyd a Director with Credit Suisse.  Their session was titled Sourcing Liquidity in Index Options.  Eric started out noting the continued growth of proprietary markets that trade at Cboe Global Markets, even in the low volatility environment.  He highlighted the rapid acceptance of SPX Weeklys (which may expire on[...]

  • VIX | Trader Talk | Dec 26, 2017, 12:28 PM

    Prudent and Rational

    Prudent and Rational

    Going back to December 4th, I left off in the middle of the day and promised to be back soon and detail the trading for the remainder of the day.  Though time has passed, has SVXY been doing anything different?  Have stocks been doing anything other than more of the same (new all-time highs) and has VIX been doing anything other than pedal like a bicycle between 11 and 9 and back again like the rising and setting of the sun, reliable and repetitive?  VIX nearly reaching 12 (a big spike,[...]

  • VIX | Trader Talk | Trade Ideas | Dec 23, 2017, 1:43 PM

    Weekend Review of VIX Futures and Options - 12/18/2017 - 12/22/2017

    Weekend Review of VIX Futures and Options - 12/18/2017 - 12/22/2017

    December VIX went off the board and January became the front month this past week.   VIX moved higher for the week, however, all the standard futures moved down a bit.  The contango is still steep as traders start to brace for 2018.  Late Friday someone executed the VIX version of a covered call focusing on the standard March expiration.  About 1200 of the VIX Mar 13 Puts were sold at 1.92 and March 13 Calls purchased for 2.03.  For those who don’t remember[...]

  • VIX | Trader Talk | Trade Ideas | Dec 23, 2017, 1:40 PM

    Weekend Review of Volatility Indexes and ETPs - 12/18/2017 - 12/22/2017

    Weekend Review of Volatility Indexes and ETPs - 12/18/2017 - 12/22/2017

    The volatility index price action relative to the equity market price action was pretty interesting last week.  The S&P 500 was higher, as were three of the four volatility indexes calculated using S&P 500 option pricing.  VXST was lower, but that is very common before three day weekends due to the calculation methodology (calendar days) when we have the market closed for three days.  VVIX stays over 90 and moved up a bit last week and TYVIX moved nicely off closing at an[...]

  • VIX | Trader Talk | Trade Ideas | Dec 23, 2017, 1:32 PM

    Weekend Review of Russell 2000 Options and Volatility - 12/18/2017 - 12/22/2017

    Weekend Review of Russell 2000 Options and Volatility - 12/18/2017 - 12/22/2017

    Stocks moved slowly higher last week with small caps edging out large caps.  The Russell 2000 (RUT) gained 0.82% while the Russell 1000 (RUI) moved up 0.35%.  For the year RUI has over a 6% lead so I’m ready to award the performance win to large caps for 2017.  Most of this year the Cboe Russell 2000 Volatility Index has remained at a historically high premium relative to VIX.  This relationship dropped last week, but it still much higher than the long term average in[...]

  • VIX | Trader Talk | Trade Ideas | Dec 17, 2017, 8:49 AM

    Weekend Review of Volatility Indexes and ETPs - 12/11/2017 - 12/15/2017

    Weekend Review of Volatility Indexes and ETPs - 12/11/2017 - 12/15/2017

    Friday was a huge day for US stocks with broad based indexes rallying nicely.  The result was pressure on the SPX related volatility indexes which pushed them from up on the week to having a losing week.  Friday’s price action put pressure on the long ETPs and pushed the short ETPs (XIV and SVXY) to even higher levels.  Both have now more than doubled in 2017.  VVIX remains elevated which indicates the VIX call buyers haven’t completely gone away.  TYVIX managed[...]

  • VIX | Trader Talk | Trade Ideas | Dec 16, 2017, 5:03 PM

    Weekend Review of VIX Futures and Options - 12/11/2017 - 12/15/2017

    Weekend Review of VIX Futures and Options - 12/11/2017 - 12/15/2017

    VIX worked its way lower Friday as the stock market rallied.  We have grown accustomed to VIX below 10.00 and settlements below 10.00 as well.  However, for the first time I can recall, we had a VIX futures contract close below 10.00 with the December future that expires next week settling at 9.925. Thursday, with VIX around 10.05 and the Dec 27th future at 10.65 someone came in and put on a bearish VIX trade using the Dec 27th Weekly options.  They sold 300 of the VIX Dec 27th 12[...]

  • VIX | Trader Talk | Trade Ideas | Dec 16, 2017, 2:44 PM

    Weekend Review of Russell 2000 Options and Volatility - 12/11/2017 - 12/15/2017

    Weekend Review of Russell 2000 Options and Volatility - 12/11/2017 - 12/15/2017

    Large and small cap stocks had a good week, thanks to a big rally on Friday.  The Russell 2000 (RUT) was up by 0.61% while the Russell 1000 (RUI) gained 0.89%.  The RUI performance for 2017 is approaching 17% while RUT is now lagging by just over 6.5%.  Both VIX and the Cboe Russell 2000 Volatility Index (RVX) were under pressure with equity market strength last week.  The RVX to VIX premium dropped some, but still remains at pretty high levels which has been the norm in 2017[...]

  • VIX | Cboe Benchmark Indexes | Cboe RMC | Dec 15, 2017, 8:27 AM

    Volatility Based Indicator Discussion at RMC Asia

    Volatility Based Indicator Discussion at RMC Asia

    The second presentation on day one at Cboe RMC Asia paired John Hiatt, Director, Research/Quantitative Market Support at Cboe Global Markets with Tim Edwards, Senior Director of Index Investment Strategy at S&P Dow Jones Indices.  Their discussion focused on Interpreting and Navigating Volatility Based Benchmarks and Indicators.  John Hiatt started things off discussing the performance difference between at the money buy write and at the money put write indexes.  I’ve included[...]

  • VIX | Cboe Benchmark Indexes | Cboe RMC | Dec 12, 2017, 7:04 AM

    Cboe Benchmark Index Discussion at RMC Asia

    Cboe Benchmark Index Discussion at RMC Asia

    The opening presentation at the 3rd Annual Cboe RMC Asia matched Matt Moran up with Russell Rhoads (me) for a discussion covering Option Strategies and Option Strategy Benchmarks.  Matt and I both work in the Product Advancement area with Matt holding the title of Vice President and my title being Director.  I began things with a discussion of how different strategies are implemented.  This included an example of a cash secured put that replicated the transaction that would be dictated[...]

  • VIX | Trader Talk | Trade Ideas | Dec 10, 2017, 12:57 PM

    Weekend Review of Volatility Indexes and ETPs - 12/4/2017 - 12/8/2017

    Weekend Review of Volatility Indexes and ETPs - 12/4/2017 - 12/8/2017

    Stocks ended the week on a strong note and the result was S&P 500 related volatility indexes doing what they do in 2017 after even a slight move to the upside and lost value.  The curve shifted lower and back into contango. Again, VVIX remains a bit elevated, something that was pointed out a couple of times last week in Hong Kong at our Risk Management Conference.  Steve Sears also discusses the use of VIX options this weekend in his column noting the most common use is hedging. [...]

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