• VIX | Trader Talk | Jan 16, 2018, 3:16 PM

    Vol 411 Follow Up Historical Look at SPX and VIX Moving Together

    Vol 411 Follow Up Historical Look at SPX and VIX Moving Together

    When I hosted Vol 411 this morning both the S&P 500 and VIX were higher on the day.  The SPX took a turn and finished the day lower so we didn't have a three day streak where both rose.  The results of running some numbers is below the video. As a follow up to today’s Vol 411 show I updated my numbers on the following two tables.  First, I took a look at the number of times since January 1990 through last Friday that both the S&P 500 and VIX have moved in[...]

  • VIX | Trader Talk | Trade Ideas | Jan 14, 2018, 9:15 AM

    Volatility Indexes and ETPs Weekend Review for January 13 2018

    Volatility Indexes and ETPs Weekend Review for January 13 2018

    We got an interesting move in the VXST – VIX – VIX3M – VXMT curve last week.  The short end moved higher despite a nice bullish move out of stocks.  The volatility market has been a bit jumpy like we are bracing for an unforeseen spike.  We’ll see if the nervousness is justified.  I’ve been keeping a close eye on TYVIX since the bond market has been discussed pretty frequently in the financial press lately.  Until it starts to move I’m[...]

  • VIX | Trader Talk | Trade Ideas | Jan 13, 2018, 10:50 AM

    VIX Weekend Review for January 13 2018

    VIX Weekend Review for January 13 2018

    VIX gained and the futures curve dropped a bit last week. This is not totally out of the norm, but before a holiday weekend is something I cannot recall occurring in my years of watching VIX price action. Wednesday last week was the second busiest day on record in the VIX option arena.  A good portion of this can be attributed to one very large position being rolled from January to February VIX contracts.  It turns out this has been an ongoing saga starting back in the summer. [...]

  • VIX | Trader Talk | Trade Ideas | Jan 7, 2018, 9:35 AM

    Weekend Review of VIX Futures and Options - Jan 6 2018

    Weekend Review of VIX Futures and Options - Jan 6 2018

    The S&P 500 gained 2.6% to begin 2018.  VIX and the VIX futures curve reacted as one would expect with a dramatic drop in spot VIX and the futures following suit to a lesser extent.  Four seconds into the new year and the first sizable VIX trade was executed in the VIX pit.  With spot VIX at 10.90 and the January standard (1/17) future at 11.35 there was a buyer of 500 VIX Jan 17th 19.00 Puts for 7.86 who then sold 500 VIX Jan 17th 9.50 Puts for 0.07. The net cost is 7.79 and[...]

  • VIX | Trader Talk | Trade Ideas | Jan 6, 2018, 1:51 PM

    Weekend Review of Russell 2000 Options and Volatility - 1/6/2018

    Weekend Review of Russell 2000 Options and Volatility - 1/6/2018

    US stocks began the year showing strength and the patter of large cap outperformance that was 2017 continued this past week.  The Russell 2000 (RUT) was up 1.6% while the large cap focused Russell 1000 (RUI) put up a 2.51% performance last week. In the volatility space, the 2017 pattern held up with the Cboe Russell 2000 Volatility Index (RVX) closing each day at a premium to VIX in the mid 40% range.  The average premium in 2017 was around 43% so like the large cap outperformance last[...]

  • 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[...]