CBOERMC Archives - Cboe Blogs

  • Market News | Strategy | Dec 9, 2015, 2:00 PM

    Is The Fed’s CCAR Pushing Up the SKEW Index and Driving More Demand for O-T-M SPX Puts?

    Is The Fed’s CCAR Pushing Up the SKEW Index and Driving More Demand for O-T-M SPX Puts?

    In a December 8 Bloomberg news report - “Who's the Bear Driving Up the Price of U.S. Stock Options?” - Joseph Ciolli wrote – “For more than a year, dealers in the U.S. equity derivatives market have noted a widening gap in the price of certain options. If you want to buy a put to protect against losses in the Standard & Poor’s 500 Index, often you’ll pay twice as much as you would for a bullish call betting on gains. New research suggests the divergence is[...]

  • Market News | Dec 1, 2015, 10:06 PM

    CBOE RMC Asia - Day 2 Recap

    CBOE RMC Asia - Day 2 Recap

    Day 2 of CBOE’s first Risk Management Conference is now history and I believe the quality of presentations and the discussion was on par with the more established European and US versions of the conference. The day started with welcoming remarks from Ed Tilly, CEO of CBOE Holdings.  He noted that CBOE is expanding education into Asia through a collaboration with the Singapore Exchange with the establishment of The Options Institute at SGX.  He also noted that CBOE plans to list options[...]

  • Market News | Dec 1, 2015, 2:56 AM

    Directional Options Strategies Discussion at RMC

    Directional Options Strategies Discussion at RMC

    Gus Dhothar from Goldman Sachs Investment Management and William Stephens from Deutsche Bank shared the stage for one for one of the final presentations of the day.  This was a true co-presentation as both Dhothar and Stephens went back and forth discussing each slide.  They covered five different topics – index strategies, single stock option trading, leveraging structured product flow, directional implementation, and finally how to trade China. With respect to index strategies the[...]

  • Market News | VIX | Trader Talk | Futures | Trade Ideas | Dec 1, 2015, 12:00 AM

    Hedge Funds and Volatility-Based Strategies Discussion at RMC Asia

    Hedge Funds and Volatility-Based Strategies Discussion at RMC Asia

    The first post-lunch presentation in Hong Kong was actually a hybrid presentation / discussion panel.  Things started off with the Chairman of Eurekahedge, Satoshi Iwanaga from Eurekahedge which created and calculates four indexes to measure the performance of different volatility oriented strategies.  This segmentation is logical since strategies that focus on volatility can vary greatly in their process. The four CBOE Eurekahedge Volatility Indexes are: CBOE Eurekahedge Short Volatility[...]

  • Market News | VIX | Trader Talk | Futures | Trade Ideas | Nov 30, 2015, 9:31 PM

    Volatility and the Allegory of the Prisoner's Dilemma

    Volatility and the Allegory of the Prisoner's Dilemma

    Chris Cole from Artemis Capital delivered a presentation with the title, Volatility and the Allegory of the Prisoner’s Dilemma.  In a nutshell the Prisoner’s Dilemma relates to game theory and explores why two rational individuals might not cooperate even if it appears that it is in their best interest to do so. There were three points that Cole wanted to get across during his presentation – Investors are trapped in a Prisoner’s Dilemma Volatility is the only real asset[...]

  • VIX | Trader Talk | Education | Futures | Trade Ideas | Nov 30, 2015, 8:03 PM

    Presentation Discussing the Current Volatility Environment at CBOE RMC Asia

    Presentation Discussing the Current Volatility Environment at CBOE RMC Asia

    Buzz Gregory, Equity Derivatives Strategist at Goldman Sachs, delivered a very informative session on VIX and SPX option trading today in Hong Kong.  His speech hit on a topic that was frequently mentioned at RMC Europe a couple of weeks ago, the current shift in volatility regimes. Highlights of Buzz’s presentation include – It was noted that both SPX and VIX option volumes continue to steadily grow with volume experiencing dramatic increases occurring around market events About[...]

  • Market News | Nov 30, 2015, 7:30 PM

    CBOE CEO Edward Tilly on New Initiatives, Expanding Customer Reach in Asia

    CBOE CEO Edward Tilly on New Initiatives, Expanding Customer Reach in Asia

    CBOE CEO Edward Tilly began day two of CBOE RMC Asia in Hong Kong with a tribute of sorts to the growth and expansion of CBOE’s Risk Management Conferences. Years of success in the U.S. and Europe have paved the road to CBOE’s inaugural event in Asia this year. Turning to product news, Tilly highlighted the recent launches of VIX Weeklys futures in July and VIX Weeklys options in October. “We worked closely with our VIX user base to develop a short-term volatility product that more[...]

  • Market News | VIX | Trader Talk | Education | Futures | Nov 30, 2015, 1:16 PM

    RMC Asia Day 1 Recap

    RMC Asia Day 1 Recap

    The first day of the inaugural CBOE Risk Management Conference in Asia was jam packed with information that has me with a new ‘to do’ list that’ll keep my spring intern hopping until May. The conference commenced with a primer on VIX delivered by me.  As I said in the original post, it’s a little strange blogging a recap of your own presentation.  I feel a bit like the Rickey Henderson of options if I speak about myself in the third person so I just can’t do[...]

  • Market News | VIX | Trader Talk | Trade Ideas | Nov 30, 2015, 2:28 AM

    Tim Edwards of SPDJI Covers Unique Performance of VIX-Based Benchmark Indices

    Tim Edwards of SPDJI Covers Unique Performance of VIX-Based Benchmark Indices

    At the First Annual CBOE Risk Management Conference (RMC) Asia in Hong Kong, Tim Edwards, Ph. D., Senior Director of Index Investment Strategy, S&P Dow Jones Indices, delivered a presentation on the design and performance of long, short and dynamic VIX-based benchmark indexes, and covered their utility for longer-term investors and shorter-term traders. While many investors are familiar with the price movements of the spot CBOE Volatility Index® (VIX®), we at CBOE receive many[...]

  • VIX | Trader Talk | Education | Futures | Nov 30, 2015, 12:18 AM

    Primer on Options and Volatility Trading at RMC Asia

    Primer on Options and Volatility Trading at RMC Asia

    The first presentation at the first ever CBOE Risk Management Conference to be held in Asia kicked off with a primer on options and volatility delivered by me.  I couldn’t figure out if I wanted to refer to myself in the third person or err on the side of possibly sounding presumptuous.  I decided to go with the latter. Over the course of 75 minutes I discussed several things that relate to the option market with a focus on volatility and VIX related derivatives.  My presentation[...]

  • Market News | Nov 24, 2015, 11:44 AM

    Discussion of Volatility of Volatility at RMC in Hong Kong on Dec. 1

    Discussion of Volatility of Volatility at RMC in Hong Kong on Dec. 1

    On December 1st in Hong Kong at the First Annual CBOE Risk Management Conference (RMC) Asia, two expert speakers - William Chan, Equity Derivatives Strategist, Bank of America Merrill Lynch, and Michael Fagan, Chairman, Levitas Capital - will discuss the topic of Volatility of Volatility, and (1) Historical observations and interpretations for "vol-of-vol" surfaces, (2) Trading and hedging applications, depending on client objectives, and (3) A case study approach. Below is some analysis[...]

  • Market News | Nov 18, 2015, 12:31 PM

    More Tools for Managing Global Exposure - Added Expirations for Options on MSCI Indexes

    More Tools for Managing Global Exposure - Added Expirations for Options on MSCI Indexes

    Today CBOE added three new expirations for options on both the MSCI Emerging Markets Index (MXEF) and on the MSCI EAFE Index (MXEA). There now are six expiration dates for options on the MXEF and MXEA indexes – Nov-20-2015 Dec-18-2015 Jan-15-2016 Mar-18-2016 Jun-17-2016 Sep-16-2016 MXEF AND MXEA – PRICES AND IMPLIED VOLATILITY Below are two charts with daily closing values for index prices and the 30-day at-the-money (ATM) implied volatility estimates from Bloomberg. This month, the[...]

  • Market News | Trader Talk | Education | Futures | Trade Ideas | Nov 11, 2015, 8:01 AM

    Five Things I'm Looking Forward to at RMC Asia

    Five Things I'm Looking Forward to at RMC Asia

    The air was cold this morning as I headed to the train which means two things.  Thanksgiving is just around the corner and right after that CBOE will be in Hong Kong for our first annual CBOE Risk Management Conference in Asia.  The schedule is out and I’m excited about the whole docket, but five things in particular have me counting the days to November 30th. Ed Tilly, CEO of CBOE Holdings, will be speaking at the beginning of the second day to welcome attendees and give an update[...]

  • Market News | Nov 3, 2015, 1:00 PM

    First Annual CBOE RMC Asia to Cover Many Topics, including Worldwide Volatility, Options Skew, and Risk Management

    First Annual CBOE RMC Asia to Cover Many Topics, including Worldwide Volatility, Options Skew, and Risk Management

    The CBOE Risk Management Conference is the premier educational forum for users of equity index options and volatility products. Now in its 31st year in the US and 4th year in Europe, CBOE is pleased to bring this experience to Asia. The First Annual CBOE Risk Management Conference Asia will be held on November 30 - December 1 at the JW Marriott Hotel, Pacific Place, 88 Queensway, Hong Kong. TOPICS Topics to be covered include – Primer on Options and Volatility Strategies ​Benchmark Indexes[...]

  • Market News | VIX | Trader Talk | Education | Oct 29, 2015, 10:52 AM

    2015 CBOE RMC Asia Schedule

    2015 CBOE RMC Asia Schedule

    Everyone at CBOE is looking forward to the first Asian version of the popular Risk Management Conference to be held November 30 to December 1 in Hong Kong.  Just today the preliminary schedule was just posted at www.cboermcasia.com which also works for registering to attend. Topics to be covered at the conference include volatility oriented trading strategies, option based portfolio management approaches, how to handle risk management in different volatility environments, and volatility oriented[...]