Cboe Blogs

Insights with Kevin Davitt Cboe’s VVIXSM Index, which is an indicator of the expected volatility of the 30-day forward price of the Cboe Volatility Index (the VIX® Index), has garnered considerable attention in recent days. On Tuesday, July 2, the implied volatility of VIX options as measured by the VVIX fell below 76 for the first time since late February of 2019. For those unfamiliar, the VIX Index uses strips of S&P 500® Index (SPX) options to calculate a dynamic forward-looking[...]

Cboe MSCI Benchmark Indexes Delivered Less Volatility and Strong Risk-Adjusted Returns Over the years, investors have found utility in Cboe’s benchmark indexes that reflect the writing of options based on U.S. stock indexes. These indexes, such as the BXM, PUT and BXRD indexes, can help market participants enhance the cash flow and lower the volatility typically associated with equity investing. For investors looking to replicate the same analysis on global stocks, Cboe introduced BuyWrite[...]

With so much going on in the world, it’s hard to know what deserves your attention, so we narrowed it down for you. Here’s what we’re watching this week and why it matters. From the events that have market-moving potential to the indexes that will give you a glimpse into what’s on everyone’s mind, here’s what you need to know as we end June. Interest Rates in the U.S. and Globally On the heels of the most recent Fed Meeting – as well as comments from Mario[...]

Stocks, Bonds and Volatility All Rise With Market Uncertainty Source: Yahoo! Finance A confluence of conflicting market news around tariffs, Fed action, and the weekly jobs report sent stocks, bonds and volatility all higher on Friday, June 7. It’s very uncommon for all three to rise at the same time. In fact, Friday, June 7 was only the third time in the last 10 years when volatility (as measured by VIX Index) rose on the same day that the S&P 500 was up more than 1% and bonds (as measured[...]

Congressional Medal of Honor recipients and representatives from the Congressional Medal of Honor Foundation joined Cboe on Friday, June 7, for a special opening bell-ringing ceremony. Now in its 20th year, the Congressional Medal of Honor Foundation preserves the legacy of the Medal of Honor and supports the Congressional Medal of Honor Society and Medal of Honor recipients. The Medal of Honor is the highest award for valor that can be bestowed upon an individual serving in the Armed Forces. From[...]

As May came to close, some trends in Cboe’s Mini-SPX Index (XSP) options emerged, including higher volumes and record open interest. For background, Mini-SPX options are just as their name implies, a smaller contract, 1/10th the value of S&P 500 Index (SPX) options. This smaller size provides added flexibility, which may help an investor hedge a specific desired exposure or facilitate accurate allocations of index trades among many customer accounts –among other uses. I’ve recently[...]

Using more than 32 years of analysis, University of Illinois at Chicago Professor Oleg Bondarenko explored if certain strategies could exploit the richness in pricing of index options. He shared his findings in the recent white paper, “Historical Performance of Put-Writing Strategies” and discussed his research at the 35th annual Cboe Risk Management Conference.  See what he has to say below. Volatility Risk Premium (VRP) for S&P 500 Options In his research, Bondarenko found[...]

Hedge Funds Continue Building Short VIX® Positions While Retail Goes Long Sources: www.cftc.gov and Bloomberg In May, net leveraged money in VIX futures—assets predominantly managed by hedge funds—hit record short positions for 2019, while assets in global long VIX exchange-traded products—products predominantly owned by retail investors—continued to gather assets. VOLATILITY NEWS CNBC: Hedge Funds Bet the Sell-off is Over: 'Correction has Run its Course' [...]

Quantitative analyst by day, Olympic-qualifying runner by night (or non-working hours, that is). Brett recently won the J.P. Morgan Challenge in Chicago, finishing the 3.5 mile race in 17 minutes and 26 seconds.  We chatted with Brett about his running career and the upcoming Olympic trials. Running has become a way of life for Brett Lustgarten, who started racing with his middle school cross country and track teams. He stuck with the sport through high school and at the University of Illinois,[...]

Brian Schell was recently recognized by the Security Traders Association Women in Finance for his commitment to gender diversity and inclusivity with the Ken Heath Award. Brian joined his fellow award recipients to discuss the importance of gender diversity in the workplace. As Cboe’s Executive Sponsor of Diversity Initiatives, Brian works to support women in finance as he strives to continue Ken’s legacy. Growing up in a family of accountants, Brian Schell, Cboe’s CFO, imagined[...]

A new white paper finds SPXW Index that sells SPXW puts generated average annual gross premiums of 37%, with less volatility compared to stocks and bonds. Do you still wonder if all put-selling strategies have tremendous left-tail drawdown risk? University of Illinois at Chicago Professor Oleg Bondarenko has an answer for you in his new white paper, “Historical Performance of Put-Writing Strategies,” which he presented at the 35th annual Cboe Risk Management Conference. See what he has[...]

VIX® Futures Term Structure Inverts in May Source: Cboe LiveVol Worries about a trade war with China sent the equity markets into a downturn in early May and the VIX Index saw a jump of almost 7 points in two trading days. The VIX futures term structure inverted on May 7, reflecting concern over near-term market risks. VOLATILITY NEWS MarketWatch: Why Stock-market Investors Fear Another 'VIX-driven Air Pocket' as Volatility Spikes  Bloomberg: What to Expect from U.S. Stocks[...]

Steeper Term Structure; Growing Short Interest The VIX® futures term structure steepened in recent months attracting higher levels of short interest in long VIX futures strategies as represented by the iPath S&P 500 VIX Short Term Futures ETN (VXXB). VOLATILITY NEWS Bloomberg: It's a 'Golden Age' for Short-Volatility Trades Barron's: Stock Market Volatility is Quiet, for Now The Wall Street Journal: Traders Wager on Calm as Volatility Evaporates Bloomberg: Hedge[...]

Friday marks Cboe’s 46th anniversary and we’re celebrating all week with some of our favorite memories and moments. Follow the fun with #Cboe46 on your preferred social platform, or check out our Instagram page for stories and opportunities to vote on your favorite Cboe button throughout the decades. Cboe Buttons Each year, we commemorate our beginnings by creating an anniversary button. Take a look at how they’ve changed throughout the years and vote for your favorite on[...]

Cboe RMC Insights: 2019 U.S. Interviews Did you miss this year’s Cboe Risk Management Conference in Carlsbad, California? Watch our video series to hear insights from our panelists of top traders, strategists, and researchers on the latest volatility trading models, hedging techniques, and equity derivatives use cases. VOLATILITY NEWS Bloomberg: The Liquidity ‘Illusion’ Has These Funds Making Plans for a Stock Doomsday Bloomberg: JPMorgan Sees `Violent' Markets on[...]