$BXRD Archives - Cboe Blogs

  • Feb 13, 2017, 11:13 AM

    CBOE Benchmark Indexes and More Interest in Mitigation of Drawdown Risk

    CBOE Benchmark Indexes and More Interest in Mitigation of Drawdown Risk

    Investors recently have shown increased interest in protection from large peak-to-trough drawdowns in their portfolios.  In the 27 years from 1990 through 2016, the average value of the CBOE SKEW Index (SKEW) was 118.4, but in the 20 recent trading days since January 13, the SKEW Index averaged 134.5, and ranged between a low of 128.80 and a high of 146.33. A high SKEW Index value could be indicative of high demand for S&P 500® (SPX) protective put options. www.cboe.com/SKEW. In the[...]

  • Feb 8, 2017, 3:28 PM

    Portfolio Protection, Tail Risk and 15 Histograms

    Portfolio Protection, Tail Risk and 15 Histograms

    With U.S. stock market indexes recently hitting all-time highs, there is quite a bit investor uncertainty about the markets and there is high demand for protection from large market declines. One metric providing evidence of this high demand is the CBOE SKEW Index (SKEW). In the 27 years from 1990 through 2016, the average daily level for the SKEW Index was 118.4, and the average level of SKEW never topped 130 in any of those 27 years. In the year 2017 (through February 7) the average daily level[...]