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$VIX Composite Chart 1989-2022 (Preview)

By Lawrence G. McMillan

Here’s a chart that we haven’t revisited in a while. It shows the composite value of $VIX (actually, $VXO in the early years) from 1989 through 2022. In reality, the CBOE backdated the original $VIX data to 1986, but including 1987 in the chart just distorts things too much. As it is, the inclusion of the March 2020 $VIX explosion has changed the chart a little.

CBOE Origin Remembrances: Paul Stevens

By Lawrence G. McMillan

I have known Paul Stevens since the 1970’s. He has had a long a successful career in the options arena. Paul (an English major in college) was kind enough to write up some memories, and then we talked for a while, adding in more of his experiences.

Some Initial Observations about $VIX1D (Preview)

By Lawrence G. McMillan

Everyone seems enamored with zero day to expiration (0DTE) options. Trading volume has been huge, and no one exactly seems to know why. The conventional wisdom is that market makers are sellers of these same-day options, while institutional and retail traders are buyers. There have been several articles written on that subject, and certain podcasts have dealt with it as well. The reason that “institutional” and “retail” are lumped together is that institutional traders using bot trading algorithms are easily able to split large orders into many small pieces, to disguise their real size and to make it look like retail. However, since hundreds of thousands of contracts are trading in a single day, there is almost certain to be a large institutional presence among that volume. Regardless, we want to see for ourselves what is going on.

Weekly Stock Market Commentary 5/5/2023

By Lawrence G. McMillan

Stocks are still stuck in a trading range. The wider range has its lows in the 3760-3850 area (the lows of both December and March). The narrower, more recent range has its lows in the 4050-4070 area. That was just touched yesterday, but appears to be holding at this time. On the upside, resistance at 4200 is strong and has a lid on this market for now. Above there, the highs of last August at 4300 make for further resistance.

CBOE Origin Remembrances: Shelly Natenberg

By Lawrence G. McMillan

Shelly Natenberg is best-known as author of the book, Option Volatility and Pricing.  He is respected as both a trader and an educator in the option business.

CBOE Origin Remembrances: Bill Brodsky

By Lawrence G. McMillan

Bill Brodsky was the CEO and Chairman of the CBOE from 1997 to 2013 and continued on as Chairman until 2017. Bill was involved in the listed option markets from the beginning and was instrumental in bringing the CBOE through many of its most important advances, including electronic trading and overseeing the company go public.

CBOE Origin Remembrances: Ed Tilly

By Lawrence G. McMillan

Ed Tilly is the current Chairman and Chief Executive Officer of CBOE Global Markets, after having taken over from Bill Brodsky as CEO in 2013 and Chairman in 2017. Ed began his career as a stock clerk on the CBOE trading floor in 1987, then became a member as a market-maker in 1989, before electing to move into CBOE’s “front office” full time in 2006. I spoke with Ed recently to get some of his thoughts on his career at CBOE.

Weekly Stock Market Commentary 4/21/2023

By Lawrence G. McMillan

Stocks are definitely having trouble with overhead resistance near 4200. This has been a resistance area since last August (it was a failed attempt to close the gap on the island reversal, noted by the circle on the chart in Figure 1). Then it halted the rally in February, and now it has seemingly halted the current rally. Thus, the $SPX chart is not bullish, in that there is not only the resistance at 4200, but resistance at 4300 as well.

What Is Wrong With $VIX? - Part 2 (Preview)

By Lawrence G. McMillan

Other bear markets have shown similar behavior: realized volatility increases by a relatively small amount, and $VIX therefore does not accelerate to extreme highs. Often, late in the bear market – near its bottom – is when we see a sharper increase in volatility.

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