A concise weekly overview of the U.S. equities and derivatives markets

Last week (February 22 to 26), fixed income markets remained front and center as the U.S. 10-year Treasury yield moved as high as 1.61% during Thursday’s market decline. The 10-year yield has now returned to where it was before the COVID-19 selloff in equities (and bond buying) began in February 2020. The yield traded in a wide range last week, moving lower into Friday’s close and ending the week near 1.4%. During his semi-annual Congressional testimony, Federal Reserve Chair Jerome Powell reiterated the Federal Open Market Committee’s (FOMC) commitment…

In a recent note to customers, Bryan Blake, Vice President, Canadian Equities, detailed MATCHNow’s 2021 strategic vision, including plans to migrate to Cboe technology, growth in conditional orders and more.

Just over six months ago, Cboe acquired MATCHNow to lead its expansion into Canada and build out a more complete North American equities business. In that time, we have made exceptional headway on integrating our teams and building a robust strategy for 2021 and beyond. …

Last week (February 15–19), the bond market took center stage as the U.S. 30-year treasury yield traded to 2.14% and the long end of the curve has moved significantly higher since August and continues to steepen. Bitcoin (BTC) and other cryptocurrencies also made headlines, as BTC traded up to $57,000 and Ether reached a new all-time high of $2,000, now up 173% year-to-date. Boston Fed President Eric Rosengren expressed surprise at the rise in crypto values last week and U.S. Treasury Secretary Janet Yellen has voiced similar skepticism. U.S. equities were relatively range bound during the shortened holiday week as…

  • Yesterday, the VIX Index closed at 21.24 and today the VVIX Index is down to 107, which is near its lowest levels since the start of the COVID-19 pandemic.
  • The VIX futures curve climbs from now until April with the February expiration at 23.93, March at 26.67 and April at 27.89. From there, the curve flattens out until October.
  • Industrywide, 38 million options contracts traded yesterday. So far in February, the options average daily volume is just over 40 million.
  • The VIX options put/call ratio was 0.75 yesterday, down from 1.51 just a week before.
  • Also yesterday, the June 110 calls were the most active VIX options traded, trading out-of-the-money at $0.21. Additionally, 21,000 June 16/21 VIX options puts traded and 31,000 February 45 VIX options puts traded.

To learn more visit Cboe’s website.

  • The S&P 500 is above 3,900 today, reaching a new all-time high. Last week, 30-day S&P 500 Index realized volatility climbed to 15.4%, while 30-day S&P 500 Index implied volatility fell to just over 16%.
  • The small-cap Russell 2000 Index is up another 1.5% today and up about 15% year-to-date.
  • Last week, the VIX futures curve moved from about $0.45 inverted on a Month-1/Month-2 basis to a $2.55 carry, or contango, by the end of the week. …

Adam Inzirillo, Head of North American Equities, shared what drove Cboe’s decision to update the Cboe EDGX® Early Trading session hours, along with some recent volume updates.

Effective Monday, March 8, the EDGX Early Trading session will begin at 4 a.m. ET. The reason we made this change is simple: we heard you. We take customer feedback seriously, so when we heard calls for earlier trading, we looked for a way to make it happen. In addition to seeing the greatest demand for earlier trading from our EDGX customers, we are also aware that the retail trading community is a…

· The VIX Index is down to 21 after last week’s high of 37.51.

· The VIX futures curve is back in contango with a 2.60 spread between the February and March VIX futures. Volatility in the front month VIX future has been high this week, reaching 34.55 on Monday, February 1.

· 30-day realized volatility for the S&P 500 Index is at 15.50. The VVIX Index is at 107, a new low for 2021.

· Today’s most active VIX options include February 45 VIX options calls, March 23 VIX options puts and April 30 VIX options calls.

· Next week: stimulus negotiations, the last few Q4 2020 earnings calls and Consumer Price Index (CPI) data.

To learn more visit Cboe’s website.

· At the time of recording, the S&P 500 Index was above its all-time closing high and the VIX Index measured just above 22. The S&P 500 Index ultimately finished the day near 3,871, reaching a new record high.

· The 10-day historical volatility measure for the VIX Index is near 30 and 30-day at-the-money S&P 500 Index volatility fell to 17.

· Congress continues to work toward a stimulus bill with Democrats proposing a scaled back bill that would send about $1,400 to roughly 70% of Americans based off of income.

· The market fall out from last week’s GameStop (GME) short squeeze continues today.

· The VIX Index has dropped from a high of 38 last week to low 20s today.

· The January Jobs Report will be released on Friday and could be a new catalyst for volatility.

· February is historically a weak month for the market, but the SKEW Index is still elevated and the VIX Index is still above 20 to start the month.

To learn more visit Cboe’s website.

As Head of North American Equities at Cboe, Adam Inzirillo recently laid out his team’s plans for 2021 in a letter to Cboe’s customers. Read on to learn about what’s in store for North American Equities at Cboe this year.

With the first month of 2021 behind us, I want to share a preview of what Cboe’s North American Equities team has planned for the coming year. First and foremost, we will continue forward with our customer-first approach, which guides every decision we make and pushes us to create better trading solutions for you. While we have always prided ourselves…

Cboe Global Markets

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