• Mar 10, 2017, 8:04 PM

    CBOE RMC Presentation: SPX Weeklys

    CBOE RMC Presentation:  SPX Weeklys

    Pravit Chintawongvanich from Macro Risk Advisors teamed up with RMC veteran Scott Maidel for a discussion titled SPX Weeklys:  Market Analysis and Long and Short Applications today at CBOE’s Risk Management Conference in Dana Point, CA.  Pravit’s presentation started out discussing event pricing of Weekly options.  He actually used Euro Stoxx 50 option premium differences before and after the pending French election.  This is a very timely example of how implied volatility[...]

  • Mar 10, 2017, 6:56 PM

    CBOE RMC Presentation: Focus on VIX Options

    CBOE RMC Presentation:  Focus on VIX Options

    Jeremy Attali from Captstone Investment Advisors, David Liebowitz from Aroya Capital, and Ramon Verastegui from Societe Generale divided up duties in a discussion at CBOE’s Risk Management Conference titled, “Focus on VIX Options”.  This session focused on a the evolution of VIX options as a speculative and risk management tool, discussed strategies for insurance, yield, or just having a particular market outlook, and what makes VIX options unique and how to deal with the special[...]

  • Mar 10, 2017, 6:46 PM

    CBOE RMC Presentation: Impact of Flows on Cash and Derivatives

    CBOE RMC Presentation:  Impact of Flows on Cash and Derivatives

    Maneesh Deshpande from Barclays and Tim Edwards from S&P Dow Jones Indices combined forces to deliver a presentation titled Impact of Flows on Cash and Derivatives Markets:  Myths and Realities.  I’ve always been a sucker for presentations that use the phrase Myths and Realities and this part of RMC lived up to my expectations. Deshpande started out talking about the impact of flows on the equity markets.  With respect to volatility target funds he stated that they are targeting[...]

  • Mar 10, 2017, 11:27 AM

    CBOE RMC Presentation: Panel on Predictive Analytics

    CBOE RMC Presentation:  Panel on Predictive Analytics

    The first session of day three at the 33rd Annual CBOE Risk Management Conference was a panel discussing covering predictive analytics in investing with a focus on social media commentary.   As the moderator, Angela Miles, Owner and Executive Producer of Business First AM, kicked things off using Donald Trump’s December 6th tweet as an example of the potential impact of social media commentary moving markets.  The panelists were a diverse group.  Joe Gits is CEO and Co-Founder[...]

  • Mar 9, 2017, 7:08 PM

    CBOE RMC Presentation: Cross Asset Volatility Trading

    CBOE RMC Presentation: Cross Asset Volatility Trading

    Today at CBOE Risk Management Conference John-Mark Piampiano from Seaport Global Securities and David Rogal from Blackrock split duties in a session titled Cross-Asset Volatility Trading: Relationships Between Credit Spreads, Fixed Income Volatility, and Equity Volatility.  Rogal started things off discussing the relationship between credit spreads and equity volatility.  He noted and demonstrated that credit spreads and equity volatility have exhibited a very close relationship over time. [...]

  • Mar 9, 2017, 5:37 PM

    CBOE RMC Presentation: Options Out of This Country

    CBOE RMC Presentation:  Options Out of This Country

    The Options Out of This Country session at CBOE RMC today focused on international indexes, the economics of dollar denominated ETF options, and FX equity correlations.  Rocky Fishman from Deutsche Bank, Ricardo Manrique from MSCI, and Yoav Sharon from Driehaus Capital Management split presentation duties for this discussion.  Manrique kicked things off discussing the growth of international markets.  One interesting statistic noted that in 1988 emerging markets represented 1% of[...]

  • Mar 9, 2017, 4:30 PM

    CBOE RMC Presentation: Panel on Sourcing Liquidity

    CBOE RMC Presentation: Panel on Sourcing Liquidity

    Henry Schwartz, President of Trade Alert led a panel discussion on sourcing liquidity at today’s Risk Management Conference in Dana Point, CA.  The panelists were William Bartlett from Parallex Volatility Advisors, Jean Cayla from Optiver, Michael Khouw of Optimize Advisors and Tradelegs, and Stephen Solaka from Belmont Capital Group. The session started off with a presentation covering trends in the option industry with respect to volume and order types.  One interesting statistic[...]

  • Mar 9, 2017, 4:09 PM

    CBOE RMC Presentation: Institutional Liabilities and How Options Straties Can Help

    CBOE RMC Presentation:  Institutional Liabilities and How Options Straties Can Help

    The final session of the first day of CBOE RMC was a panel discussion titled “Real Money:  Institutional Liabilities and How Options Strategies Can Help” moderated by Jon Havice from DGV Solutions.  The panelists were Neil Rue from Pension Consulting Alliance LLC, Adam J. Smith, CFA, CAIA, from Mercy Health, and David Warn from The University of Chicago Office of Investments.  Jon Havice started things off with a discussion of institutional liabilities in the form of defined[...]

  • 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 9, 2017, 11:55 AM

    CBOE RMC Keynote Presentation by Ed Thorp

    CBOE RMC Keynote Presentation by Ed Thorp

    The keynote speech at today’s CBOE Risk Management Conference in Dana Point, CA was delivered by a legend in the business, Edward O. Thorp.  Thorp’s discussion focused on Position Sizing and Relation to Risk Management.  Despite being an octogenarian, Thorp recently released a book that is a great mix of a memoir and sharing what he’s learned through his decades of experience with the financial markets.  I strongly recommend picking up a copy of A Man for All Markets. [...]

  • Mar 9, 2017, 11:47 AM

    CBOE’s Edward Provost on Exchange’s New Initiatives

    CBOE’s Edward Provost on Exchange’s New Initiatives

    2017 CBOE Risk Management Conference Options Hub Blog Edward Provost Remarks Thursday, March 9, 2017 Day Two of CBOE RMC U.S. kicked off with bittersweet final remarks from CBOE’s Edward Provost, who officially retired as President and COO last week. Provost began with the obvious: CBOE Holdings’ acquisition of Bats Global Markets. “We believe the CBOE-Bats combination will enable us to cement CBOE’s position as the go-to partner for developing cutting-edge trading and investment[...]

  • 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[...]

  • Market News | VIX | Trader Talk | Trade Ideas | Mar 6, 2017, 3:37 PM

    Tales from the Cross VIX Highway

    Tales from the Cross VIX Highway

    While traders of nothing but the Essenpee would find themselves sitting on a gain of 1.5% to nearly 2% from February 14th through today (or through Friday, March 3rd's closing price, thus the difference between quotes), traders like me who favor TVIX or UVXY would be sitting right where they started, whether short or long. See chart below for a short history of UVXY over the last nearly-three-weeks. My account performance shows a gain of several percent. How did I do that, when trading nothing[...]

  • Mar 6, 2017, 12:26 PM

    Market Volatility and FOMC Rate Hikes

    Market Volatility and FOMC Rate Hikes

    It appears we are approaching another well telegraphed rate hike at the conclusion of the FOMC meeting scheduled next Tuesday and Wednesday.  I got a question via email that got me digging into market volatility around the last two hikes.  Both were widely expected, but did occur in December (2015 and 2016).   The two charts below shows price action for VIX and TYVIX leading up to and following the last two FOMC meetings where a rate hike resulted.  VIX was two different[...]