• Cboe RMC | Mar 7, 2018, 3:02 PM

    Interpreting Volatility-Related Indicators and Determining Courses of Action at Cboe RMC

    Interpreting Volatility-Related Indicators and Determining Courses of Action at Cboe RMC

    Bill Speth from Cboe Global Markets teamed up with Mandy Xu, Chief Equity Derivatives Strategist Credit Suisse, for a session titled Interpreting Volatility-Related Indicators, and Determining Courses of Action.    Bill started out noting that the recent market activity has shown that many people understand volatility, but just as many do not understand volatility.  Cboe is taking on the task of raising the bar to try to educate more market participants on volatility and VIX. [...]

  • 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[...]

  • Trader Talk | Trade Ideas | Feb 24, 2018, 4:29 PM

    The Warren Buffett Short Put Trade - Year End 2017 Update

    The Warren Buffett Short Put Trade - Year End 2017 Update

    A few years ago, I was asked to co-author the study guide that accompanies the 3rd version of The Warren Buffett Way.  While doing research for this project I came across a discussion of a handful of index put options that Berkshire Hathaway had sold between 2004 and 2008.  Every year when the Berkshire Hathaway annual report comes out, I dig in to see how these trades are doing.  Here’s the update as of the end of 2017. Back in 2008, as the financial world was falling[...]

  • VIX | Trader Talk | Jan 16, 2018, 3:16 PM

    Vol 411 Follow Up Historical Look at SPX and VIX Moving Together

    Vol 411 Follow Up Historical Look at SPX and VIX Moving Together

    When I hosted Vol 411 this morning both the S&P 500 and VIX were higher on the day.  The SPX took a turn and finished the day lower so we didn't have a three day streak where both rose.  The results of running some numbers is below the video. As a follow up to today’s Vol 411 show I updated my numbers on the following two tables.  First, I took a look at the number of times since January 1990 through last Friday that both the S&P 500 and VIX have moved in[...]

  • VIX | Trader Talk | Cboe Benchmark Indexes | Jan 5, 2018, 1:49 PM

    Nine Charts Highlight Nine New Records for Cboe Index Products in 2017

    Nine Charts Highlight Nine New Records for Cboe Index Products in 2017

    A number of new volume and price records were set for Cboe index products in 2017, as customer demand for index options and volatility product solutions continued to grow. These records were remarkable in light of the fact that many experts said that that the markets appeared to be very complacent, as the Cboe Volatility Index® (VIX®) hit a record low in 2017. RECORD #1 – RECORD HIGH NOTIONAL VOLUME FOR SPX OPTIONS – MARKET CAPACITY When I am discussing the Cboe’s BXM and[...]

  • VIX | Cboe Benchmark Indexes | Cboe RMC | Dec 26, 2017, 2:19 PM

    SPX and VIX Option Market Discussion at Cboe RMC Asia

    SPX and VIX Option Market Discussion at Cboe RMC Asia

    The final presentation of the first day at Cboe RMC in Hong Kong matched Eric Frait, Vice President, Product Advancement and Strategy at Cboe Global Markets with Kristin Boyd a Director with Credit Suisse.  Their session was titled Sourcing Liquidity in Index Options.  Eric started out noting the continued growth of proprietary markets that trade at Cboe Global Markets, even in the low volatility environment.  He highlighted the rapid acceptance of SPX Weeklys (which may expire on[...]

  • 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[...]

  • Trader Talk | Trade Ideas | Cboe Benchmark Indexes | Nov 27, 2017, 6:47 PM

    Warren Buffett Put Sale Third Quarter 2017 Update

    Warren Buffett Put Sale Third Quarter 2017 Update

    A few years ago, I was asked to co-author the study guide that accompanies the 3rd version of The Warren Buffett Way. While doing research for this project I came across a discussion of a handful of index put options that Berkshire Hathaway had sold between 2004 and 2008. Every year when the Berkshire Hathaway annual report comes out, I dig in to see how these trades are doing. I’ve fielded a few questions about this work in the past few weeks so I decided to dig through Berkshire Hathaway[...]

  • Trader Talk | Education | Nov 20, 2017, 10:42 AM

    Pricing Ratio Spreads - Comparing Expirations and Strikes with SPX and CMG

    Pricing Ratio Spreads - Comparing Expirations and Strikes with SPX and CMG

    Wednesday I conducted a webinar for Interactive Brokers discussing ratio spreads.  During the presentation I was asked about initiating 1 x 2 and what expirations and strike combinations would result in a credit.  Another stipulation was that the trade would buy one at-the-money option and sell two out-of-the-money options.  I wasn’t asked for a call or put spread, so I did both with each expiration.  With so many moving parts to that question I responded that I would investigate[...]

  • VIX | Trader Talk | Nov 5, 2017, 1:18 PM

    Agenda Set for 3rd Annual Cboe RMC Asia - Dec 5 - 6

    Agenda Set for 3rd Annual Cboe RMC Asia - Dec 5 - 6

    Every job has the things you ‘have to do’ and those that you ‘get to do’.  I know I have worn this line out, but I cannot think of a better way to describe what the Cboe Risk Management Conferences mean to me.  The schedule for this year’s Asian version of RMC was posted on Friday and as always the lineup is very strong with respect to both the quality of speakers as well as the topics that will be covered in Hong Kong on December 5th and 6th.  Day[...]

  • 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[...]

  • VIX | Trader Talk | Education | Sep 13, 2017, 9:29 AM

    Panel on Sourcing Index Option Liquidity at RMC Europe

    Panel on Sourcing Index Option Liquidity at RMC Europe

    Henry Schwartz, President of Trade Alert led a panel discussion on Sourcing Liquidity in Index Options today at RMC in Europe.  The panelists were: Kristin Boyd, Director, Credit Suisse William Ellington, Managing Partner, X-Change Financial Access LLC Stacey Gilbert, Head of Derivatives Strategy, Susquehanna Sander van Zelm, Head of Institutional Trading, Optiver Henry started things off giving an overview of the US options industry.  He noted that indexes (specifically[...]

  • VIX | Trader Talk | Education | Sep 12, 2017, 10:45 AM

    RMC Panel on Market Structure

    RMC Panel on Market Structure

    Philip Stafford from the Financial Times moderated a panel on Market Structure for Equity, Equity-Related Options and Volatility Products and FX today at RMC Europe.  The panelists were: Bryan Christian, SVP, Head of US Sales, Bats Global Markets, CBOE Holdings Eric Frait, Vice President, Business Analysis, CBOE/CFE, CBOE Holdings Mark Hemsley, CEO, Bats Europe, CBOE Holdings Paul Millward, Head of FX Product Strategy, CBOE Holdings A topic of interest in Europe is the pending[...]

  • Market News | Education | Sep 12, 2017, 3:00 AM

    CBOE Update at RMC Europe

    CBOE Update at RMC Europe

    Chris Concannon, President and COO of CBOE Holdings offered a company update at CBOE’s Risk Management Conference today in London.  He started off noting that it has been just over a year since the CBOE-Bats deal was announced and six months since the close of the deal.  Significant progress has been made in the integration of the two companies.  Specific for European traders, Chris noted that liquidity and volume is strong for SPX options as well as VIX options and futures[...]

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