• Trader Talk | Cboe Benchmark Indexes | Jul 6, 2018, 3:47 PM

    32 Years of Performance History for 10 Benchmark Indexes That Use S&P 500 Options – Lower Volatility and Enhanced Risk-Adjusted Returns

    32 Years of Performance History for 10 Benchmark Indexes That Use S&P 500 Options – Lower Volatility and Enhanced Risk-Adjusted Returns

    This is the 4th in a series of blogs at www.cboe.com/blogs to commemorate the 35th anniversary of the launch of SPX options on July 1, 1983. #SPX35 In 2001 some portfolio managers who engaged in strategies that used S&P 500® (SPX) options told me that pension fund sponsors suggested that the options industry should develop indexes that could serve as benchmarks for options-based performance. In 2002 Cboe worked with Professor Robert Whaley to introduce the first major benchmark index that[...]

  • Trader Talk | Trade Ideas | Cboe Benchmark Indexes | Jul 5, 2018, 8:06 AM

    Portfolio Protection with Cboe’s S&P 500 Options: Overview of Basic Concepts

    Portfolio Protection with Cboe’s S&P 500 Options: Overview of Basic Concepts

    Many investors are asking questions about how to protect their investment portfolios in light of a number of developments, including (a) the potential for global trade wars, (2) low interest rates for fixed income investments and high price-earnings ratios for key stocks, and (3) the most severe peak-to-trough drawdowns a decade ago were down 51% for the S&P 500 Index, down 62.7% for the MSCI Emerging Markets Index, and down 81% for the S&P GSCI Index.    Strategies using S&P[...]

  • Cboe RMC | Mar 7, 2018, 7:23 AM

    New Report Shows Growth Over 17 Years in Number of Funds Using Options

    New Report Shows Growth Over 17 Years in Number of Funds Using Options

    A newly released report found that the number of SEC regulated funds using options rose from 10 in 2000 to 157 in 2017, and that the aggregate amount of assets in the options-based funds has risen to more than $54 billion. The new study, “Performance Analysis of Option-Based Equity Mutual Funds, CEFs and ETFs: An Update” is now available at www.cboe.com/funds  The new white paper updates the original findings of 2014 study of SEC-registered option-based funds, which focus on broad-based[...]

  • VIX | Cboe Benchmark Indexes | Cboe RMC | Dec 15, 2017, 8:27 AM

    Volatility Based Indicator Discussion at RMC Asia

    Volatility Based Indicator Discussion at RMC Asia

    The second presentation on day one at Cboe RMC Asia paired John Hiatt, Director, Research/Quantitative Market Support at Cboe Global Markets with Tim Edwards, Senior Director of Index Investment Strategy at S&P Dow Jones Indices.  Their discussion focused on Interpreting and Navigating Volatility Based Benchmarks and Indicators.  John Hiatt started things off discussing the performance difference between at the money buy write and at the money put write indexes.  I’ve included[...]

  • VIX | Cboe Benchmark Indexes | Cboe RMC | Dec 12, 2017, 7:04 AM

    Cboe Benchmark Index Discussion at RMC Asia

    Cboe Benchmark Index Discussion at RMC Asia

    The opening presentation at the 3rd Annual Cboe RMC Asia matched Matt Moran up with Russell Rhoads (me) for a discussion covering Option Strategies and Option Strategy Benchmarks.  Matt and I both work in the Product Advancement area with Matt holding the title of Vice President and my title being Director.  I began things with a discussion of how different strategies are implemented.  This included an example of a cash secured put that replicated the transaction that would be dictated[...]

  • VIX | Trader Talk | Strategy | Trade Ideas | Cboe Benchmark Indexes | Nov 2, 2017, 4:14 PM

    Historic Volatility Recently Dropped Below 1.7 for Eight Cboe Benchmark Indexes

    Historic Volatility Recently Dropped Below 1.7 for Eight Cboe Benchmark Indexes

    In times of geopolitical uncertainties, many investors are searching for investments with low volatility and higher yields. Several news stories have noted that stock indexes recently had low volatility. On October 18 the 20-trading-day historic volatility for the S&P 500 (SPX) Index dropped to 3.4, its lowest level since 1969 (source: Bloomberg). There now is concern that with higher price-earnings ratios, the volatility of stock indexes could spike in coming months. EVEN LOWER HISTORIC VOLATILITY[...]

  • Jun 30, 2017, 1:54 PM

    PUT Index and PUTW ETF Win Sharpe Indexing Award

    PUT Index and PUTW ETF Win Sharpe Indexing Award

    PUT Index and PUTW ETF Win Sharpe Indexing Award By Matt Moran On June 26 the CBOE S&P 500 PutWrite Index (PUT) and the WisdomTree CBOE S&P 500 PutWrite Strategy Fund ETF (PUTW) won the 2017 Index/ETF Product of the Year award at an annual ceremony that was presented by IMN and the Journal of Index Investing. The awards ceremony was held during the 22nd Annual Global Indexing and ETFs conference, a 3-day event with about 750 financial professionals (including reps of CBOE, Bats, and ETF.com)[...]

  • Mar 1, 2017, 1:00 PM

    Eight Charts Highlighting Growth in Options and VIX Futures

    Eight Charts Highlighting Growth in Options and VIX Futures

    Below are eight charts, all of which highlight growth related to options markets or VIX® futures. CHART #1 – GROWTH IN OPTIONS VOLUME ON 4 EXCHANGES Aggregate total options volume on four exchanges – Bats, CBOE, C-2, and EDGX – grew 27% from 2012 through 2016 – from 1.24 billion contracts to 1.57 billion contracts.   CHART #2 – GROWTH IN NOTIONAL VALUE OF VOLUME FOR SPX OPTIONS When instititional investors are considering portfolio management tools, often[...]

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