Cboe Blogs

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[...]

This week Cboe is launching a month-long celebration of the 25th anniversary of the introduction of the Cboe Volatility Index® (VIX® Index), which Cboe began publishing in April 1993.  The creation of the VIX Index is one of the most significant innovations of the modern financial marketplace. Over the last 25 years, the VIX Index has grown to become the world’s accepted measure of market volatility, a gauge that is accessed day and night by investors worldwide. Below are seven[...]

In what felt like the blink of an eye, the first quarter of 2018 is now behind us.  We finally got some excitement in the volatility space with VIX rising to levels not seen in a couple of years.  After the absolute dud that was 2017, as far as market volatility goes, this was a positive turn of events for those of us that had tired of talking about low volatility and how VIX was not broken, but just reflecting the market environment.  I spent last week on an actual vacation and as[...]

Over the past two months, there has been increased interest in: (1) portfolio protection strategies (2) learning more about prudent uses of VIX® futures and options, and (3) following brackets. To tie all these topics together, below is a new bracket with 8 benchmark indexes that shows that two indexes that buy VIX call options (LOVOL and VXTH) had the lowest standard deviations over the past decade. DESCRIPTIONS OF FOUR CBOE BENCHMARK INDEXES THAT USE VIX FUTURES AND/OR VIX OPTIONS While the[...]

VIX gained a bit (about 8%) last week as the S&P 500 was under pressure.  The curve shifted in a pretty uniform manner with March adding just over 3% as contango was fairly steep on Friday the 9th.  As a friendly reminder, March contracts settle on the open this coming week.  Short volatility has gotten bad rap lately due to recent price action.  However, short volatility, when done in a risk controlled manner, can be a viable trading strategy all types of markets. [...]

The Russell 2000 (RUT) experienced a small shining moment to celebrate the first week of March Madness.  For the first time in recent memory RUT has the year to date performance lead over the large cap focused Russell 1000 (RUI).  This lead was created by small caps holding up better than large cap stocks last week as RUT dropped 0.69% and RUI was down over 1%.  The Russell 2000 Volatility Index (RVX) versus VIX relationship spent some time in uncharted territory for a while this[...]

The Cboe Volatility Index® (VIX® Index) is widely considered the proxy for market sentiment in the U.S. equity market.  VIX measures the 30 day expected volatility on the S&P 500® Index (SPX).  Cboe’s Russell 2000 Volatility Index℠ (RVX℠) applies the same methodology for calculating 30 day anticipated volatility, but it uses Russell 2000 Index options. (RUT).  As such, RVX is considered the benchmark proxy for 30 day expected volatility of U.S. Small-caps. During[...]

As the seasonally strong March period is now in full gear for stocks, I cannot help but wonder whether the highly volatile period of February will continue.  That is a big question, and has many on the sidelines wondering if the roller coaster ride may begin again.  As we watch the action day by day, we have seen some very choppy price movement, which is typical after such a volatile run. The market is trying to discover price, and with such dramatic movements and wide ranges it takes[...]

The 25% drop in VIX last week may seem extreme, but it isn’t even in the top 10 of weekly losses for VIX (it is 11th).  The all-time record was the last week in June 2016 with a 42% week over week loss.  Note the big drop in futures along with a return to contango.    And now a whale update.  Before getting into this trade here’s a little background. The first part of the story begins on Friday July 21st when a trade was initiated that sold 1 VIX Oct 12 Put for[...]

Stocks had a great week last week with the Russell 2000 (RUT) gaining over 4% and Russell 1000 (RUI) rising about 3.5%.  For the year RUT is up 4.01% while RUI is up 4.16%.  As you can see below small caps took the 2018 performance lead for a day last week.  The magnitude of the gain of over 4% for RUT this week is becoming commonplace.  Four of the nine weekly moves for RUT in 2018 have been outside of +/- 3% while there were no moves greater than +/-3% in 2017.  Welcome[...]

Stacey Gilbert from Susquehanna and Ilya Feygin from WallachBeth Capital teamed up to talk about Behavioral Finance at Cboe RMC today in Bonita Springs, FL.  Stacey started out with an experiment discussing certain and probable wins and losses.  The point was to show that the expected rationality of decisions breaks down in certain situations.  She then mentions Prospect Theory which is basically the study of how people made decisions.  Specifically, she talked about loss aversion. [...]

Louis-Vincent Gave from Gavekal in Hong Kong delivered a speech called Market Movers:  The Structure and the Cycle in 2018.  He starts out saying he’s often been depicted as a China perma-bull.  He notes that when considering an investment, you need to look into people’s incentives.  In China the recent party congress dictated that the focus is shifting from economic growth to being more aware of healthcare, housing, and the environmental impact of decisions. [...]

Paul Stephens from Cboe conducted a fireside chat with Cameron and Tyler Winklevoss covering their insights into Bitcoin and Bitcoin XBT futures that were listed at the Cboe Futures Exchange in December 2017.   They started out discussing Bitcoin and blockchain technology.  They often refer to Bitcoin as Gold 2.0 and noted that the CFTC has declared bitcoin as a commodity.  Some background was given with respect to the creation of the Gemini Trust, it was noted that it took[...]