Russell 2000 Index: Re-Pricing Risk

Russell 2000 Index (RUT) Hits a 2016 High

The bellwether benchmark for U.S. small-caps, the Russell 2000 Index tracks the performance of U.S. companies that derive most of their revenues domestically.

Since the middle of May, as the Russell 2000 Index moved to its year’s high (1190.17) on June 8th.  In comparison to the S&P 500 the Russell 2000 slightly outperformed on a year-to-date basis (+2.33% vs. 2.27%) as of today. Please note the Russell 2000 Index ticker is (RTY) in the Bloomberg chart below.


Rising Put/Call Ratio

As the Russell 2000 Index moved towards its highs, the put-call ratio measuring trading volume of put options to call options reflected a lack of confidence in the rally. The put-call ratio for options on iShares Russell 2000 ETF (IWM) was x4 times greater than RUT and SPX reaching a high 5.97 on June 9th.


RUT Volatility Skew

Highlighted in the RUT skew chart below, demand for protection using out-of-the-money (OTM) puts on RUT is significantly greater than the at-the-money (ATM) put options.


CBOE Russell Volatility Index (RVX) Rising

RVX measuring the market’s expectation of the 30-day volatility in the near-term Russell 2000 options climbed to 20.18 (+ 12.7%) since the Russell 2000 gave back some gains after posting a high on June 8th.  A widely followed view on volatility indexes is they tend to revert back to the mean.  Over the last 12 months mean for RVX is 20.76, the rising volatility in RUT indicates there less certainty of a continued upward trend.

RUT & RUTW (Weeklys) offer investors the opportunity to express a market view, manage risks, and enhance yields. For additional information please visit