SPX Archives - Cboe Blogs

  • 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[...]

  • VIX | Education | Sep 11, 2017, 1:37 PM

    Timing Considerations for Short Volatility Strategies

    Timing Considerations for Short Volatility Strategies

    Luke Browne, Head of Investment Specialists from UBS Investment Solutions and Natasha Jhunjhunwala, Executive Director of Equity Derivatives Structuring at Goldman Sachs teamed up for a session titled Timing Considerations for Short Volatility Strategies today at RMC just outside of London Browne started things out talking about the differences in realized, implied and expected volatility before diving into the focus areas of volatility trading.  He touched on taking advantage of implied volatility[...]

  • VIX | Education | Sep 11, 2017, 9:16 AM

    New Developments in Options and Volatility Discussion at CBOE RMC Europe

    New Developments in Options and Volatility Discussion at CBOE RMC Europe

    The 6th Annual European version of CBOE’s Risk Management Conference kicked off with a presentation from Bill Speth, Vice President of Research and Product Development at CBOE and Tim Edwards, PhD, Senior Director of Index Investment Strategy for S&P Dow Jones Indices.  Tim kicked things off breaking down VIX in several ways and explaining what VIX tells us.  He referred to VIX as a crowd sourced projection of market volatility.  He noted that VIX is mean reverting and[...]

  • VIX | Trader Talk | Education | Aug 30, 2017, 12:31 PM

    ETH Liquidity Continues to Improve

    ETH Liquidity Continues to Improve

    CBOE’s Extended Trading Hours (ETH) offers trading in the Exchange’s flagship SPX, SPXW, and VIX® option products beginning at 8:00 a.m. London time.  CBOE made ETH available in March 2015 and has seen significant growth in 2017. Liquidity has continued to improve and has most recently dramatically increased with the entrance of two London-based dealers willing and able to commit capital to trades.  Average daily volume has jumped from 4,400 contracts in 2016 to 7,500[...]

  • VIX | Morning Call | Aug 1, 2017, 7:39 AM

    CBOE Morning Call 8/1/2017

    CBOE Morning Call 8/1/2017

    Big Picture About 3/4‘s of the companies in the S&P 500 that have already reported second quarter earnings beat their estimates.  This sounds impressive, but according the Bank of America Merrill Lynch the stock price reactions have been muted (despite the S&P 500 pushing the 2500 level).  Yesterday the Chicago PMI was lower than expectations, but Pending Home Sales was higher than expectations.  Nothing can go wrong if housing sales are strong, right?  We get[...]

  • Morning Call | Jul 31, 2017, 7:18 AM

    CBOE Morning Call 7/31/2017

    CBOE Morning Call 7/31/2017

    Big Picture There are over a hundred stocks with Weeklys reporting this week in what is probably the heaviest portion of the earnings calendar.  All eyes will be on AAPL’s report tomorrow after the close which as well as financials will probably give us some insight into product launches coming in the next few months.  The economic calendar is heavier this week than last week with Personal Income and ISM tomorrow, the ADP employment number Wednesday, Factory Orders and Services[...]

  • Morning Call | Jul 27, 2017, 6:28 AM

    CBOE Morning Call 7/27/2017

    CBOE Morning Call 7/27/2017

    Big Picture The FOMC didn’t offer up any surprises yesterday afternoon and the stock market reacted with a giant yawn.  VIX finally put in a new all-time intraday low hitting 8.84 as the FOMC announcement was just about to hit the tape.  Before the day was done VIX had worked its way up to 9.60.  The odds of a rate hike in December still remains at about 50%, but I’m taking the no hike side of that bet.  It will take very little in the form of negative news for the[...]