VIX Archives - CBOE Blogs

  • VIX | Trader Talk | Education | Futures | Strategy | Trade Ideas | Sep 16, 2017, 5:15 AM

    Weekend Review of VIX Futures and Options - 9/11/2017 - 9/15/2017

    Weekend Review of VIX Futures and Options - 9/11/2017 - 9/15/2017

    VIX threatened to close the week with a 9 handle, but managed to stay out of single digit territory.  Spot VIX was down over 16% and the standard September futures contract which goes off the board on the open Wednesday was down 16% as well.  There’s still a premium of 0.95 between spot and September VIX, but the gap that has persisted until recently is closing.  October, which will take over as the front month, remains at a premium of about 1.75.  Friday was fairly quiet,[...]

  • Weekend Review of Russell 2000 Options and Volatility - 9/11/2017 - 9/15/2017

    Weekend Review of Russell 2000 Options and Volatility - 9/11/2017 - 9/15/2017

    Small cap stocks had a great week last week with the Russell 2000 (RUT) rising 2.25% which the large cap focused Russell 1000 (RUI) was up about 1.6%.  For the year RUI still has just over a 6% lead on RUT. Small cap volatility as measured by the CBOE Russell 2000 Volatility Index (RVX) has spent most of 2017 at a historically high premium relative to large cap volatility, best depicted by VIX.  The chart below shows RVX basically crashing to the lowest levels seen in 2017 last week. [...]

  • 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 13, 2017, 4:08 AM

    Panel on Volatility ETPs at CBOE RMC

    Panel on Volatility ETPs at CBOE RMC

    Nick Cherney, Head of Exchange Traded Products at Janus Henderson and Pete Clarke, Global Head of Equity Derivatives Strategy at UBS split duties for a session titled Design and Trading of US and European Volatility Related ETPs at RMC today. Cherney kicked things off giving a history of VIX related ETPs and demonstrating the tremendous growth of these markets.  He also noted the VSTOXX futures market is growing, but that the size of that market is much smaller than the VIX futures market. [...]

  • Trader Talk | Education | Sep 13, 2017, 2:59 AM

    Panel on Long and Relative Value Volatility Trading and Tail Risk

    Panel on Long and Relative Value Volatility Trading and Tail Risk

    The first session on the final day at RMC was a panel discussion titled, Panel on Long and Relative Value Volatility Trading and Tail Risk.  The panel was moderated by Paul Leech from JP Morgan and panelists, who represented all major regions of the globe, were David Dredge CIO Convex Strategies at City Financial Investment Company Oleg Lugovkin, Portfolio Manager, Argentiere Capital Chris Rodarte, Portfolio Manager, Pine River Capital Management Pierre de Saab, Partner and[...]

  • Trader Talk | Education | Sep 12, 2017, 3:01 PM

    The Evolving Dynamics of VIX Discussion at CBOE RMC

    The Evolving Dynamics of VIX Discussion at CBOE RMC

    The Evolving Dynamics of VIX Futures was one of the most anticipated presentations today at RMC Europe and Alex Orus from Principalium Capital and Erkki Slide from Independent View met all expectations.  Slide noted the current low volatility environment and attributed a combination of the current equity market environment, low individual stock specific volatility, low correlations among S&P 500 constituents, and the trade-off between variance risk premium and tail risk as being factors[...]

  • 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 | Trader Talk | Education | Sep 12, 2017, 8:21 AM

    Volatility: Harvest Premia or Hedge Risk?

    Volatility:  Harvest Premia or Hedge Risk?

    Abhinandan Deb from Bank of America Merrill Lynch led a discussion with Roni Israelov from AQR and Neale Jackson from 36 South Capital Advisors to kick off the afternoon session at RMC today.  This was a unique session in that the panelists compared and contrasted either harvesting risk premium or hedging risk with volatility which was appropriately titled Volatility: Harvest Premia or Hedge Risk? An opening statement from Roni was that we are here learning about not losing money or manage risk[...]

  • Market News | Education | Sep 12, 2017, 6:49 AM

    The Current Volatility Environment Discussion at CBOE RMC

    The Current Volatility Environment Discussion at CBOE RMC

    Maneesh Deshpande from Barclays discussed The Current Volatility Environment today at CBOE RMC Europe.  In a wide-ranging talk, he covered the current low volatility regime, how VIX related ETPs may be impacting the derivatives markets and addressed the common question, “How low can VIX go?”.  He started out addressing the question, “Why is VIX low?”.  He noted that realized volatility has been very low, but this is common during market rallies.  He also[...]

  • 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, 2:53 PM

    Panel Discussion on Implementing Volatility Strategies Today at CBOE RMC

    Panel Discussion on Implementing Volatility Strategies Today at CBOE RMC

    Jack Hansen, Chief Investment Officer from Parametric in Minneapolis lead a panel discussion titled Implementing Volatility Strategies within Institutional Portfolios to close out the first day of CBOE’s Risk Management Conference.  The panel consisted of Mohamed Ellouze, Senior Multi-Asset Strategist, Universities Superannuation Scheme (USS) Simon Guyard, Portfolio Manager, Air Canada John St. Hill, Deputy CIO, NEST The panel discussion jumped from topic to topic and time[...]

  • 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[...]