Cboe Blogs

Hello October, Our Old Friend October is upon us. For those in the northern hemisphere it means fall is in full swing complete with football, falling leaves and chilly weather. It also means that in a number of countries around the globe All Hallows’ Eve – or Halloween – arrives at the end of the month Some might say that U.S. markets began the month with a spooky move. On October 1, the first day of the fourth quarter, the S&P 500® lost 36.49 points, or 1.23% to close[...]

Our speakers and panelists at the 2019 Cboe Risk Management Conference Europe had plenty of knowledge and insights to share in Munich. Topics ranged from options-based strategies to all things volatility and risk management. Watch the videos below for insights from RMC Europe 2019.   Get the scoop on day one, day two and day three. Still eager to learn more from our RMC experts? Check out interviews from Cboe RMC U.S. Resources VIX products S&P 500 Index Options Strategy Benchmark[...]

Ed Tilly speaks at the Sustainable Stock Exchanges Initiative 10 Year Anniversary Event. When we talk about how we define markets at Cboe, we’re not just talking about our innovative products or insightful benchmarks. We’re also talking about how we conduct ourselves and our business. How we strive to be a role model, not just in world class technology, customer service and leadership, but also in how we evolve and take thoughtful steps toward the future. As an observer of the Sustainable[...]

The Only Thing We Have to Fear Is... Franklin Delano Roosevelt’s 1933 Inaugural Address is an unassailable masterpiece of optimism. With the unemployment rate hovering around 23.5% and GDP declining by 12.9% year over year, FDR delivered an incandescent speech that inspired hope during the worst of the Depression. By comparison, our current concerns seem downright pedestrian. At the moment, some of the things investors and traders have to fear include: Inverted Yield Curve Trade[...]

As presidential candidates prepare to take the debate stage again tonight, we’re almost certain social media will be a buzz with “hot takes,” praise, criticism and conversation.  We’ve seen how the president’s Tweets can impact our markets, but he’s not the only influential person using Twitter. Cboe realized the influence social media can have on our world and launched a social media-based strategy benchmark indexes to track it in 2016—a pivotal year[...]

The final day of Cboe RMC Europe started with a presentation from Hitendra Varsani, executive director of index research at MSCI, about the globalization of portfolio allocations. Varsani discussed the decline of size and home bias, as well as the rise of multi-currency futures to help mitigate currency risk. He also focused on the increase in trading of Cboe MSCI Emerging Markets Index options and the new emerging market and EAFE buywrite and putwrite benchmark indexes. The presentations that followed[...]

Ed Tilly, Chairman, President and CEO of Cboe Global Markets, opened day two of Cboe RMC Europe with an update on the volatility market and Cboe’s products. Tilly introduced the conference keynote speaker, who discussed Brexit and its implications. Attendees then turned their attention to a panel discussion about equity volatility trading with representatives from Societe Generale, Legal & General Investment Management, Aviva Investors and Fulcrum Asset Management. The panelists discussed[...]

RMC Europe is in full swing at the beautiful Andaz Munich hotel! Follow us on Twitter and LinkedIn for more updates from Munich. What’s Cboe RMC Without Some Volatility Talk? Tim Edwards, managing director of Index Strategy for S&P Dow Jones Indices, kicked off the conference with a talk about volatility benchmarks, including the Cboe Volatility Index (VIX Index) and Cboe Skew Indexes. Edwards discussed what these indexes may tell investors about market expectations for day-to-day volatility,[...]

If You Plant Ice, You’re Gonna Harvest Wind The trade war between the leaders of the two largest economies in the world continues to percolate; so too has volatility. Based on historical data, volatility as measured by intraday S&P 500 ranges tends to come in bunches. U.S. farmers, who have been the primary target for the Chinese in their efforts to counter the Trump Administration’s tariffs, have experienced volatility of their own. According to the American Farm Bureau, American[...]

We Were Certainly Uncertain Ronald Reagan used to joke that if Trivial Pursuit were designed by economists, “it would have 100 questions and 3,000 answers.” In a similar vein, acerbic investors often point out that economists have “accurately predicted all 21 of the last 4 recessions.” Well, everyone from tenured econ professors to armchair economists have been ruminating on last week’s inversion of the U.S. yield curve. On Wednesday, August 14, the yield on 2-year[...]

In a recent article for International Financial Law Review, Cboe’s Chief Policy Officer, Angelo Evangelou, detailed why the Current Exposure Method (CEM) – a methodology created to determine capital requirements for counterparty credit risk to derivatives in the U.S. – is harming liquidity provision in the options market. Angelo explains that because of CEM, banks in the options clearing business are unnecessarily incurring capital charges and makes the case for change. In the piece,[...]

Powell & Trump Stir the Winds of Change “The pessimist complains about the wind; the optimist expects it to change; the realist adjusts the sails.” —William Arthur Ward The previous two Inside Volatility Newsletters shone a light on relatively low levels of implied volatility for 1-month VIX options as well as muted historical volatility for the S&P 500® Index (SPX). The confluence of these types of vol events could portend a potential shift in sentiment. At the very[...]

Cboe opposes the SEC’s Transaction Fee Pilot because we want to protect public investors from the harm it will cause. Bryan Harkins, Executive Vice President, Co-Head Markets at Cboe Global Markets, offers a counterargument to the opinion piece, “The SEC Wants to Give Public Investors a Fair Shot.” A recent Wall Street Journal opinion piece authored by Professor Larry Harris of the University of Southern California attempts to make the case for the U.S. Securities and Exchange[...]

Danger, I’ve Been Told to Expect It By most (short-dated) measures, SPX historical volatility is quite low. The SPX 10- and 30-day historical vol measures are 6% and 7.4%, respectively. The only other recent corollaries in terms of market calm are May 2, 2019 (SPX 30-day 7.4%) and October 9, 2018 (SPX 30-day 6.1%). In both recent instances, there was a fairly significant pullback that followed. On May 1, 2019, the SPX made another new all-time high. Between the highs on May 1 and the intraday[...]

FLexible EXchange Options (FLEX® Options) offer customers customizable terms for strike prices, exercise styles and expiration dates with the transparency, administrative ease and clearing guarantees of standard listed options. Since Cboe first introduced FLEX® Options in 1993, interest has grown tremendously – most notably in the first half of 2019. New Volume and Open Interest Records for FLEX Index Options Cash-settled index FLEX Options set new all-time records for open interest[...]