Cboe Blogs

For the first time ever, on Tuesday, September 18, the Cboe SKEW Index (SKEW) closed above 150 for four straight trading days. A recent headline in Bloomberg stated a “Surge in Black-Swan Hedging Casts Shadow Over U.S. Stock Rally,” and noted the Cboe SKEW Index near all-time high underscores hedging demand. The story suggested, ”Elevated levels could also reflect lack of demand for calls” ….‘This has everything to do with trade risk in my view,’ said Dennis[...]

Gary Delany, Director of European Marketing and Education for The Options Industry Council (OIC), Friday presented the findings of a study from late 2017/early 2018 at the Cboe Risk Management Conference (RMC) Europe that looked at European use of U.S. options products, both multi-listed options, as well as proprietary options.  Key findings from the study include: European order flow accounts for an estimated 9% of trading, similar to 2013. Investments in U.S. equities are at record[...]

Winding up the 7th Annual Cboe European Risk Management Conference (RMC) on Friday, September 14, was a discussion of “Variance Utility Cases and Uses,” moderated by Michael Mollet, Head of Product Development at Cboe Global Markets. Joining Mollet was Adel Benharrats, Portfolio Manager at Argentiere Capital, Markos Petrocheilos, Senior Equity Derivatives Trader, BNP Paribas, and Chris Rodarte, Lead Portfolio Manager at Pine River Capital Management. The[...]

Abhinandan Deb, Managing Director and Head of Global Cross Asset Quant Investment Strategy at BofA Merrill Lynch, delivered a presentation on “Volatility Regime Change – Signs, Symptoms and Solutions” on September 13 at the 7th Annual Cboe European Risk Management Conference (RMC). Topics covered by Mr. Deb included:  What to watch as we leave ultra-low volatility behind Diversification, relative value and defensive strategies Key points covered included: The[...]

Coordinated presentations were delivered by Tim Edwards, Ph.D., Managing Director of Index Strategy, S&P Dow Jones Indices, and Saurabh Katiyar, Vice President, MSCI, on the following topics at the 7th Annual Cboe European Risk Management Conference (RMC) on September 13: An outline of changes in the Global Industry Classification Standard (GICS) classifications of sector and industry groups How sectoral groupings help connect broader trends to their market effects Comparing the[...]

Cboe Global Markets President and COO Chris Concannon opened the second day of the Cboe Risk Management Conference Europe reflecting on the market events of the last year, including volatility’s return to the market earlier in 2018, and looked at the opportunities and challenges that lie ahead. Following the conference theme “Reading the Signals in the New Volatility Regime,” Concannon talked about market signals as we look at the current state of the U.S. market and economy. Concannon[...]

Credit and Credit Volatility were discussed in presentations on September 13 at the 7th Annual Cboe European Risk Management Conference (RMC) by Yoshiki Obayashi, Head of Research, Applied Academics, LLC, and Brett Pybus, CFA, Managing Director, BlackRock. Topics discussed by the expert presenters included; Markets and use cases for corporate bond index futures and ETFs What drives credit volatility and what do credit volatility indexes tell you about the state of credit markets and spreads? [...]

Louis-Vincent Gave of Gavekal delivered a speech on “Are We Still in a Bull Market” on September 13 at the 7th Annual Cboe European Risk Management Conference (RMC). Mr. Gave’s presentation included 57 slides; below are highlights, with excerpts from some of the slides: GRAPHIC #1 – CHINA’S INDUSTRIAL POLICY GRAPHIC #2 – POSSIBLE SLOWDOWN IN U.S. GRAPHIC #3 – TECH IN U.S. AND CHINA   GRAPHIC #4 – FEWER SEC-LISTED COMPANIES IN THE U.S. GRAPHIC[...]

On September 12 at the 7th Annual Cboe European Risk Management Conference (RMC), presentations on  The Interest Rate Volatility Environment - Can Rates Volatility be the Next "Safe-Haven"?  were delivered by two experts - Yoshiki Obayashi, Head of Research, Applied Academics, LLC and by Kokou Agbo-Bloua, Managing Director, Global Head of Flow Strategy & Solutions, Société Générale. Topics covered in the presentations included: What drives rates volatilities[...]

On September 12 at the 7th Annual Cboe European Risk Management Conference (RMC), Bill Speth, Global Head of Research on the Cboe Multi-Asset Solutions Team, delivered a presentation on Developments in Volatility-Related Indicators & Benchmarks. Bill’s presentation covered the following topics -- A look into the many volatility indicators that exist; how they were created and for what purposes VIX® Index, RVX Index (Russell 2000 vol), VVIX Index (VIX of VIX), SKEW Index, and[...]

Cboe Global Markets, Inc. launched trading in Cboe® iBoxx® iShares® $ High Yield Corporate Bond Index (IBHY) futures on the Cboe Futures Exchange (CFE) Monday, September 10, 2018. The new futures are designed to allow users to hedge and mitigate high yield corporate bond credit risk, and more generally allow them to efficiently allocate to the corporate bond market and implement fixed-income trading strategies. The price of Cboe's IBHY futures is based on IHS Markit's iBoxx® iShares®[...]

Investors increasingly question how to manage their equity risk exposure as the equity market continues to extend the 9.5 year rally.  Following the “Random Walk” theory, we know markets are subject to making unpredictable price movements and unlikely to go straight up.  Retreating from the recent all-time highs, investors are faced with potentially increasing exposure to equity risk.  There are several alternatives to be considered, such as accept current risk levels,[...]

New Cboe Weeklys Options on MSCI EAFE and EM Indexes Launched on September 6  Cboe’s MSCI EAFE® Index (ticker MXEA) and MSCI Emerging Markets Index (ticker MXEF) options can provide investors with large-sized, cash-settled index tools to help efficiently manage global equity risk.  Cboe has made several enhancements to its MSCI product suite, including today’s launch of Friday-expiring Weeklys options.      NEW DEVELOPMENTS FOR MXEA AND MXEF OPTIONS NEW WEEKLYS[...]

In recent years I have heard interest from pension fund sponsors in exploring the concept of selling both covered calls and cash-secured puts. In 2015 Cboe introduced the Cboe S&P 500 Covered Combo Index (CMBO), a benchmark index that sells S&P 500® (SPX) put options and call options, and that has more than 32 years of price history. A paper by the consulting firm Cambridge Associates - Highlights from the Benefits of Selling Volatility – noted that -- “Over the past 20 years,[...]

In regard to the Cboe’s large-sized, cash-settled MSCI EAFE® and MSCI Emerging Markets Index options, Cboe recently issued two notices with changes for the index options: June 2018 - Cboe Notice on Selection of MSCI Lead Market-Maker July 2018 - Cboe Notice on Change to Last Trading Date and Symbol for MSCI EAFE and MSCI Emerging Markets Index Options Here are key excerpts from the July 2018 notice: KEY FEATURES OF MXEF & MXEA OPTIONS Key features of the global index options[...]