CBOE

Underperforming without a clear catalyst yet

• CBOE −2.14% on the last session vs SPY +0.74%: −2.9 pts of stock-specific move.
• Aftermath, big gain (Sep 29): After its 67 big gains in the past 5 years, CBOE typically gained 1.1% over the next week (median) and was higher 66% of the time; half the outcomes fell between -1.2% and +3.2%. An ordinary week: +0.5%. Among S&P 500 stocks after big gains, that ranks #14 of 500.
• Market backdrop (Fri): Average Hourly Earnings m/m 0.1% vs 0.3% expected (cooler); Non-Farm Employment Change 29K vs 89K expected (weaker); S&P futures +0.41%, 10-year yield -5bp in the 30 minutes after.