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Diversification, Portfolio Management and Use of New Volatility-based Index Products


The VIX® Index rose from 11.56 at the end of 2006 to a record intraday high of 89.53 on October 24, 2008.

Panel on "Diversification, Portfolio Management and Use of New Volatility-based Index Products" on February 25, 2009, at Chicago Board Options Exchange (CBOE)Sponsored by Chicago QWAFAFEW and Chicago PRMIA

Panelists Jamie Tyrrell, Eric Liu, Srikant Dash, Mark Krommenhoek, and Keith Black
(L to R) Jamie Tyrrell, Eric Liu, Srikant Dash, Mark Krommenhoek, and Keith Black

The five panelists were:

  • Mr. Srikant Dash, Global Head of Research and Design at Standard & Poor's Index Services in New York. S&P recently launched indexes based on VIX futures prices to provide benchmarks for volatility trading strategies.
  • Mr. Mark Krommenhoek, Principal at Barclays Global Investors in San Francisco. Barclays recently launched trading in two new iPath Exchange Traded Notes (ETNs) that are designed to provide access to equity market volatility through VIX futures.
  • Mr. Keith H. Black, CFA at Ennis Knupp + Associates, a consulting firm based in Chicago. Keith is the primary author of a new paper on "Evaluating the Performance Characteristics of the CBOE S&P 500 PutWrite Index."
  • Mr. Jamie Tyrrell of Group One Trading in Chicago, a firm that serves as designated primary marketmaker (DPM) for options on volatility indexes.
  • Mr. Eric Liu, a trader at Chicago Trading Company (CTC), a trading firm that serves as the designated primary marketmaker (DPM) for various products, including futures contracts based on variance and volatility indexes.

Mark Krommenhoek Srikant Dash Keith Black

Mark Krommenhoek

Srikant Dash

Keith Black

 

Jamie Tyrrell, Angela Miles, Eric Liu

 

Srikant Dash, Matt Moran,


 

VIX and S&P 500 Chart, 1990-2008




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