Cboe Blogs

This year we have seen increased interest in learning more about strategies that sell futures on the Cboe Volatility Index® (VIX®). Strategy benchmark indexes can shed light on how hypothetical strategies have performed in different past market environments. The Cboe Capped VIX Premium Strategy Index (VPN) is a strategy benchmark index that (1) sells VIX futures over a money market account, (2) buys VIX call options, and (3) has a price history that begins in June 2004. As shown in the first[...]

Estimated volume for futures on the Cboe Volatility Index® (VIX®) during Global Trading Hours (GTH) rose to more than 79,000 contracts on June 19, making the GTH session one of the busiest on record. VIX futures often are used for portfolio management purposes in times of financial market uncertainties, and the financial markets recently have digested news about tariffs and possible trade wars, and a recent headline at wsj.com noted “Markets Begin to Take Threat of Trade War Seriously.” VIX[...]

Investors who want large-sized cash-settled index tools that can help manage global equity risk are exploring use of listed options on the MSCI EAFE® Index (ticker MXEA) and on the MSCI Emerging Markets Index (ticker MXEF). NEW DEVELOPMENTS FOR MXEA AND MXEF OPTIONS Recent new developments include: 1.    NEW LEAD MARKET MAKER. On June 12 Cboe Options Exchange issued a notice stating that the exchange is “pleased to have selected Susquehanna Securities” as the Lead Market[...]

Is there more interest in hedging and protecting portfolios in 2018? The May 31st Striking Price column in Barron’s noted -- “Investors Return to Hedging in Volatile Times.  Traders leery of sharp declines after a wild few months in the U.S. equity markets could spring for stock hedges through options.  …  This year, trade tensions and other geopolitical problems appear more likely to sway stocks, in sharp contrast to the placid markets of 2017.  … “ Investors[...]

Yesterday, I saw Andrew Thrasher on the TD Ameritrade network talking about VIX Index seasonality and the current level of the VIX Index.  That got me thinking about summertime and the VIX Index (because I think alot about the VIX Index).  It has been a while since I took a look at which months of the year tend to have higher and lower volatiltiy expectations than others.  And since I’d never looked at the summer months versus the rest of the year, I got to crunching some numbers. [...]

Yesterday VIX finished the day at 12.40 which is the lowest close since late January. The June VIX futures dropped 0.40 to 13.65 and the July contract closed at 14.50, down 0.25 on the day. With VIX at the lowest levels since before the market action in early February, we actually saw some bullish VIX spread trades come into the pit at the Cboe Options Market. Trade 1 – Fifteen minutes into the day VIX was at 12.59 and the June future at 13.90. There was a buyer of 4500 VIX Jun 14 Calls[...]

Considering there’s approximately $8.5 trillion in assets benchmarked to the Russell U.S. Indexes, the Russell Reconstitution is a major event.  Each year Russell Indexes are reconstructed to accurately reflect the U.S. equity market and its segments (market cap. & style). Designed to capture changes, the reconstitution accounts for new companies introduced via IPOs, market values of companies increasing/decreasing, share adjustments, etc. Once a year, equity portfolios benchmarked[...]

U.S. Small-caps vs. Large-caps U.S. small-cap stocks are leading the equity markets year-to-date.  The Russell 2000 Index, widely viewed as the bellwether for measuring the performance of small-cap stocks has risen 5.62% in 2018 compared to a rise of 1.54% for the U.S. large-cap Russell 1000 Index.  Several factors may potentially be contributing to the small-cap outperformance, including: Revenues – Majority of small companies derive revenues from domestic activities Trade[...]

The growth of VIX and volatility trading has been an amazing story. As our month-long celebration of the VIX Index wraps up, we hope you have enjoyed learning about the past, present and future of VIX by following along on Twitter at #VIX25. Check out this recap of milestones in VIX history.    

Cboe began publishing the Cboe Volatility Index (VIX Index) in April 1993. To celebrate the past, present and future of VIX, we’ve spent the month of April sharing its rich history with special content about the people who played a role in connection with the VIX Index and helped grow the VIX options and futures marketplace. On Tuesday, April 24, we gathered a number of those “VIX Index experts” in Cboe’s New York office for a panel discussion, “25 Years of the VIX[...]

Cboe Global Markets turns 45 and we thought we would provide 45 'fun facts' to mark the occasion.  1973- Cboe is founded and becomes first marketplace for trading listed options 1973- 911 options contracts traded on the first day in 1973 1973- There were only 16 stocks with options on the first day 1973- Seats at Cboe were originally offered at $10,000 1973- In 1973, the Black-Scholes model was published in the Journal of Political Economy 1974- New Cboe trading floor[...]

April 2018 marks the 25th anniversary of the introduction of the Cboe Volatility Index® (VIX® Index) and during this month, information about the history of the VIX Index and the introduction of tradeable VIX products has been shared. Twenty-five years after the launch of the VIX Index (which measures 30-day expected volatility of the S&P 500 Index), Cboe introduced a new volatility index – the Cboe One-Year Volatility IndexSM (ticker: VIX1Y) – that measures that one-year[...]

At 1:00 pm C.T. on Wednesday, April 18th, three speakers in a Cboe webcast will discuss Accessing the Volatility Risk Premium with Cash-Secured Put Writing. To register for the webcast, please visit - http://bit.ly/Webcst-PutWrite-Apr-2018 . Topics to be discussed include: • Is now a good time to consider option-writing? • Has there been a volatility risk premium that can facilitate enhanced risk-adjusted returns for index options-selling strategies? • Do put-selling strategies have[...]

Earlier this week, ETF.COM posted an article identifying the best performing Exchange Trade Products for 2018 through April 10th.  The list is top heavy with volatility linked ETPs, including those that provide investors with long exposure to a volatility index strategy as opposed to a short strategy.  The Top 10 performers as of April 10th appear on the table below.   Source:  ETF.COM Click here to read Summit Roy’s summary of ETF / ETN performance for 2018 through[...]

Cboe began publishing the Cboe Volatility Index (VIX Index) in April 1993. As part of our month-long celebration, we’re putting together special content highlighting the index. On Monday, we shared the 1993 press release announcing the real-time dissemination of the VIX Index. The April 1993 release ends by noting the 20th anniversary of Cboe, meaning this month, we’ll celebrate the company’s 45th anniversary! On Tuesday, we shared “Cboe VIX: By the Numbers,” which[...]