SPX Archives - Cboe Blogs

  • Mar 9, 2017, 2:02 PM

    CBOE RMC Presentation: Post Central Bank Volatility More Risk But More Alpha

    CBOE RMC Presentation:  Post Central Bank Volatility More Risk But More Alpha

    Benjamin Bowler, Global Head of Equity Derivatives Research at Bank of America Merrill Lynch delivered a talk titled “Post-Central Bank Volatility:  More Risk But More Alpha”.  The discussion noted how central bank actions have us in a different bubble type environment and noted that stocks continue to move up with very little volatility.  He also demonstrated that many markets have experienced high short term instability relative to recent price action and hedge fund performance[...]

  • Mar 8, 2017, 5:31 PM

    CBOE RMC Presentation: Decision Cycle for Downside Risk and Income Focused Strategies

    CBOE RMC Presentation:  Decision Cycle for Downside Risk and Income Focused Strategies

    Carlos Chujoy from the Employment Retirement System of Texas, Aashish Vyas from Swan Global Investments, and Joanne Hill from CBOE Vest Financial teamed up this afternoon for a session titled “The Decision Cycle for Downside Risk and Income-Focused Strategies”.  Aashish kicked things off with his part titled “Traders, Fishermen, and Big Data” which was a great analogy of fishing with being a trader.  After showing how fishing for a living and trading are similar[...]

  • Mar 8, 2017, 3:46 PM

    CBOE RMC Presentation: Funds and Use of Options Strategies

    CBOE RMC Presentation:  Funds and Use of Options Strategies

    The first session of the 33rd Annual CBOE Risk Management Conference featured Teri Geske from Wilshire Associates and Michael Oyster from Fund Evaluation Group.  Their presentation focused on white papers that discuss BuyWrite and PutWrite benchmark indexes that were created by CBOE. Michael Oyster went first noting that the long term trend for yields has been to the downside.  He then discussed the performance of benchmark indexes that utilize Russell 2000 (RUT) Index options.  The[...]

  • 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[...]

  • Feb 26, 2017, 3:00 PM

    The Weekly Options Roundup 2/26/17

    The Weekly Options Roundup 2/26/17

    The Weekly News Roundup is your weekly recap of CBOE features, options industry news and VIX Index and volatility-related articles from print, broadcast, online and social media outlets.      VIX Fix:  Three Down… Which Way to Go?     As President Trump continued to deliver on campaign promises this week, investor confidence in the markets remained high and the “Trump Rally” continued on.   The Dow Jones Index saw eleven consecutive[...]

  • Market News | Trader Talk | Feb 25, 2017, 5:22 PM

    Update on The Warren Buffett Put Trades

    Update on The Warren Buffett Put Trades

    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 2016. Back in 2008, as the financial world was falling apart,[...]

  • Market News | VIX | Trader Talk | Trade Ideas | Feb 7, 2017, 1:14 PM

    Finding Volatility in the US Equity Markets

    Finding Volatility in the US Equity Markets

    VIX is low, we all know VIX is low.  I type that and feel I need to stop channeling Dr. Seuss.  However, there are some pockets of volatility in the US equity markets, we just need to know where to look.  Since CBOE quotes several volatility indexes that are based on the US markets I went searching for places where the market is still pricing in a little concern about the future.  Two areas that stood out –  tail risk and small cap risk.  Let’s start with[...]

  • Market News | Feb 6, 2017, 8:55 AM

    The Weekly Options News Roundup – 2/5/2017

    The Weekly Options News Roundup – 2/5/2017

    The Weekly News Roundup is your weekly recap of CBOE features, options industry news and VIX Index and volatility-related articles from print, broadcast, online and social media outlets.        CBOE Launches S&P 500 Range-Bound Premium Income Index On Tuesday, CBOE announced the launch of the CBOE S&P 500 Range-Bound Premium Income Index (SPRI).  The index, which is designed to serve as a benchmark for investors aiming for consistent income distributions[...]

  • Market News | VIX | Trader Talk | Strategy | Trade Ideas | Feb 6, 2017, 7:44 AM

    Weekend Review of Russell 2000 Options and Volatility - 1/30 - 2/3

    Weekend Review of Russell 2000 Options and Volatility - 1/30 - 2/3

    Small caps continue to close the gap on large cap stocks as the Russell 2000 (RUT) gained 0.52% last week while the Russell 1000 (RUI) was up by 0.18%.  On the volatility front the CBOE Russell 2000 Volatility Index (RVX) remains at the historical high end of value relative to VIX.  This can be attributed to VIX hovering around multiyear lows as much as RVX not following VIX to the lowest end of the range.   On Monday, as the first trading day of the week came to a close one trader[...]