Weekend Review – Russell 2000 Options and Volatility – 8/22 – 8/26

The Russell 2000 (RUT) widened the 2016 performance lead on the Russell 1000 (RUI) last week.  RUT rose 0.11% while RUI was down 0.67%.  For the year RUT is up 8.99% while RUI is up around 6.17%.  What is sort of missed is the relative performance since February’s lows.  RUT has gained 29.8% while RUI is up only 19.5% since the market bottomed earlier this year.

RUT RUI Performance

Expected volatility rose last week but the gap between the CBOE Russell 2000 Volatility Index (RVX) and VIX narrowed a bit, but is still a fairly elevated levels.


On Friday, one trader came in with an expectation that the Russell 2000 will be a bit lower in a couple of weeks.  With RUT near 1230 the trader purchased the RUT Sep 9th 1240 Puts for 19.33 and then sold the RUT Sep 9th 1230 Puts for 14.83 and a net cost of 4.50 and a net potential gain of 5.50 if RUT finishes the day on September 9th at or below 1230.