Cboe Blogs

More than 150 financial professionals, including top traders, strategists and researchers attended the inaugural Cboe Risk Management Conference (RMC) in Tel Aviv, Israel on November 6. A variety of topics related to the management of risk and return in investment portfolios were discussed by 17 speakers at RMC Israel, including the three speakers pictured below: Sheldon Natenberg (left), Andy Lowenthal (center), and David Blitzer (right). A sampling of comments and topics covered by the 17 speakers[...]

Both volatility and trading activity increased in the S&P 500® index options market over the past month as investors evaluated proposed tariffs, trade negotiations, deficits, valuations, rising interest rates and the November 6 U.S. elections.   NEW MONTHLY VOLUME RECORD FOR S&P 500 OPTIONS In October 2018, S&P 500 options set a new all-time record with 41.4 million contracts traded, the highest trading volume in a single month for S&P 500 options.   VOLATILITY[...]

New records recently were set for volume and open interest for Cboe’s large-sized options on MSCI Emerging Markets Index (MXEF) - One-day volume on September 28 - 9,007 (including 3,203 puts and 5,804 calls) Average daily volume per month in September – 848 Open interest on September 28 – 18,774 MXEF OPTIONS AND MANAGING GLOBAL EQUITY EXPOSURE Cboe’s options on the MSCI Emerging Markets Index (MXEF) are for investors who wish to manage global equity exposure.[...]

A prescient Barron’s article appearing on Jan. 20,2018,  “Unseen Dangers in Small-Cap Stock Rally”  claimed that Small-caps “as a group, less profitable, more heavily in debt, and more exposed to the threat of rising interest rates than many investors may realize.” may offer a plausible explanation for the recent pullback in the U.S. Small-cap benchmark, Russell 2000 Index. September Struggles: After making 23 new record highs the U.S. Small-cap benchmark,[...]

On Monday, October 1, Cboe plans to further expand the Russell 2000 Index (RUT) options marketplace by adding their listing to its BZX Options exchange. Options on the RUT currently are listed on Cboe Global Markets’ Options Exchanges (Cboe and C2), where market participants enjoy the advantages of trading RUT on a hybrid basis between Cboe’s electronic and open outcry markets. The additional BZX listing will expand the trading choices and capabilities of customers and liquidity providers. BZX[...]

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[...]