• 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[...]

  • Education | Sep 12, 2017, 8:36 AM

    Options on Ten S&P Select Sector Indices To Launch

    Options on Ten S&P Select Sector Indices To Launch

    On September 12 CBOE Holdings, Inc. announced plans to expand its suite of product offerings tied to S&P Dow Jones Indices with the planned launch of options on the 10 S&P Select Sector Indices that comprise the S&P 500 Index, a key benchmark of the U.S. equities market.   Options will be available on 10 sectors that comprise the S&P 500, pending regulatory approval.   The new options are expected to hold particular market appeal for European investors[...]

  • 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[...]

  • Sep 3, 2017, 3:30 PM

    The Weekly Options News Roundup – 9/3/2017

    The Weekly Options News Roundup – 9/3/2017

    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.      VIX Fix:  Markets Texas Tough   Equity markets have proven to be amazingly resilient even as macro and geopolitical events continue to take center stage.  Increasing tensions between the U.S. and North Korea, along with the devastating flooding of Houston, have failed to shake investor[...]

  • 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[...]

  • Aug 27, 2017, 3:30 PM

    The Weekly Options News Roundup – 8/27/2017

    The Weekly Options News Roundup – 8/27/2017

    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.       VIX Fix:  Volatility on Ice   Markets ended the week mixed after a steep drop on more geopolitical fears. Now that tough talk between President Trump and North Korea has simmered, markets have since rebounded.  The CBOE Volatility Index (VIX) saw a pop early in the week to over[...]

  • Aug 25, 2017, 3:46 PM

    Record Days for VIX Futures and Options Volume and Open Interest This Month

    Record Days for VIX Futures and Options Volume and Open Interest This Month

    Despite the fact that the average daily closing value of the CBOE Volatility Index® (VIX®) is about 11.5 so far this year, VIX futures and options both had record days for volume and for open interest this month. OPEN INTEREST RECORDS. VIX futures hit a new record for open interest with more than 673,000 contracts on August 7, and VIX options reached a new record for open interest with 14,783,380 contracts open on August 15. VOLUME RECORDS. August 10 was an all-time record volume day[...]

  • Aug 25, 2017, 8:39 AM

    Open Interest Grows for CBOE Options on EAFE and EM Indexes

    Open Interest Grows for CBOE Options on EAFE and EM Indexes

    Investors who wish to explore large-sized cash-settled index tools that can help manage global equity risk are taking a look at CBOE’s options on the MSCI EAFE® Index (ticker MXEA) and on the MSCI Emerging Markets Index (ticker MXEF). These index options have the potential to generate more income by receiving options premiums, and to help protect a portfolio from damaging huge drawdowns.  The combined aggregate open interest for MXEA and MXEF options grew from around 3,200 contacts[...]

  • Aug 21, 2017, 12:36 PM

    Earnings and Confidence Make For a Powerful Combination, But...

    Earnings and Confidence Make For a Powerful Combination, But...

    Since the election the stock market has been on a roll, and even bonds have shown strength.  We are just about finished with second quarter earnings reports and we have seen some solid surprises to the upside, a near 10% gain in earnings over 2016.  This follows another double digit gain from first quarter, and some estimates have the second half of 2017 coming in with double digit gains.  This will help buoy the markets until the earnings cycle inflects to the downside.  That[...]

  • Education | Aug 18, 2017, 1:26 PM

    Demand for Disaster Protection Increases as CBOE SKEW Index Tops 142 Each Day This Week

    Demand for Disaster Protection Increases as CBOE SKEW Index Tops 142 Each Day This Week

    The CBOE SKEW Index (SKEW) topped 142 on each of the first four trading days this week. The long-term daily average for the SKEW Index (since January 1990) is 118.8, but the daily average for the SKEW Index in 2017 (through August 17) is a much higher 134.5. CBOE SKEW Index values, which are calculated from weighted strips of out-of-the-money S&P 500 options, often rise to higher levels as investors become more fearful of a “black swan” event — an unexpected event of large magnitude[...]