• Sep 12, 2018, 4:28 PM

    Presentation on Volatility-Related Indicators, including VIX, RVX, VVIX, SKEW, Correlation and Dispersion, at #CboeRMC

    Presentation on Volatility-Related Indicators, including VIX, RVX, VVIX, SKEW, Correlation and Dispersion, at #CboeRMC

    On September 12 at the 7th Annual Cboe European Risk Management Conference (RMC), Bill Speth, Global Head of Research on the Cboe Multi-Asset Solutions Team, delivered a presentation on Developments in Volatility-Related Indicators & Benchmarks. Bill’s presentation covered the following topics -- A look into the many volatility indicators that exist; how they were created and for what purposes VIX® Index, RVX Index (Russell 2000 vol), VVIX Index (VIX of VIX), SKEW Index, and[...]

  • Sep 11, 2018, 5:00 PM

    Futures on U.S. High Yield Corporate Bond Index launched September 10: Analysis with Seven Charts

    Futures on U.S. High Yield Corporate Bond Index launched September 10: Analysis with Seven Charts

    Cboe Global Markets, Inc. launched trading in Cboe® iBoxx® iShares® $ High Yield Corporate Bond Index (IBHY) futures on the Cboe Futures Exchange (CFE) Monday, September 10, 2018. The new futures are designed to allow users to hedge and mitigate high yield corporate bond credit risk, and more generally allow them to efficiently allocate to the corporate bond market and implement fixed-income trading strategies. The price of Cboe's IBHY futures is based on IHS Markit's iBoxx® iShares®[...]

  • Sep 7, 2018, 2:46 PM

    The Collar Strategy – Stay Long & Hedge

    The Collar Strategy – Stay Long & Hedge

    Investors increasingly question how to manage their equity risk exposure as the equity market continues to extend the 9.5 year rally.  Following the “Random Walk” theory, we know markets are subject to making unpredictable price movements and unlikely to go straight up.  Retreating from the recent all-time highs, investors are faced with potentially increasing exposure to equity risk.  There are several alternatives to be considered, such as accept current risk levels,[...]

  • Sep 6, 2018, 2:42 PM

    New Cboe Weeklys Options on MSCI EAFE and EM Indexes Launched on September 6

    New Cboe Weeklys Options on MSCI EAFE and EM Indexes Launched on September 6

    New Cboe Weeklys Options on MSCI EAFE and EM Indexes Launched on September 6  Cboe’s MSCI EAFE® Index (ticker MXEA) and MSCI Emerging Markets Index (ticker MXEF) options can provide investors with large-sized, cash-settled index tools to help efficiently manage global equity risk.  Cboe has made several enhancements to its MSCI product suite, including today’s launch of Friday-expiring Weeklys options.      NEW DEVELOPMENTS FOR MXEA AND MXEF OPTIONS NEW WEEKLYS[...]

  • Aug 29, 2018, 4:10 PM

    Strong Risk-adjusted Returns for Cboe’s CMBO Index That Sells SPX Calls and Puts

    Strong Risk-adjusted Returns for Cboe’s CMBO Index That Sells SPX Calls and Puts

    In recent years I have heard interest from pension fund sponsors in exploring the concept of selling both covered calls and cash-secured puts. In 2015 Cboe introduced the Cboe S&P 500 Covered Combo Index (CMBO), a benchmark index that sells S&P 500® (SPX) put options and call options, and that has more than 32 years of price history. A paper by the consulting firm Cambridge Associates - Highlights from the Benefits of Selling Volatility – noted that -- “Over the past 20 years,[...]

  • Aug 1, 2018, 8:59 AM

    Change to Final Trading Date for MSCI EAFE and MSCI Emerging Markets Index Options

    Change to Final Trading Date for MSCI EAFE and MSCI Emerging Markets Index Options

    In regard to the Cboe’s large-sized, cash-settled MSCI EAFE® and MSCI Emerging Markets Index options, Cboe recently issued two notices with changes for the index options: June 2018 - Cboe Notice on Selection of MSCI Lead Market-Maker July 2018 - Cboe Notice on Change to Last Trading Date and Symbol for MSCI EAFE and MSCI Emerging Markets Index Options Here are key excerpts from the July 2018 notice: KEY FEATURES OF MXEF & MXEA OPTIONS Key features of the global index options[...]

  • Jul 31, 2018, 8:44 AM

    RVX Index - Waze of the Future

    RVX Index - Waze of the Future

    After making 23 new highs and rallying over 10% in 2018, last Friday’s Russell 2000 price action was telling a story which caught my attention.  The Russell 2000 Index experienced a sharp -2% sell off and broke through the 50 day moving average on higher than normal volume.   Was this simply profit taking?  Cboe’s VIX Index is often times referred to as the “fear gauge” as a measure for the 30 day expected volatility in the S&P 500.  Similarly,[...]

  • Jul 27, 2018, 3:00 PM

    Updated Implied Volatility Charts for SPX, FB, AAPL, AMZN, & GOOG

    Updated Implied Volatility Charts for SPX, FB, AAPL, AMZN, & GOOG

    This past week the financial markets experienced some big earnings announcements, Facebook had the biggest one-day loss of market value by a single company in U.S. stock market history, and Cboe has received more interest in updated volatility charts and analysis. Cboe offers dozens of volatility indexes that serve as leading gauges of investor sentiment, including the VXZN, VXAPL, VXGOG, and VIX® indexes in the sixth chart below. VOLATILITY SKEW CHARTS FOR OPTIONS ON SPX, FB, GOOG, AMZN, &[...]

  • Jul 23, 2018, 11:56 AM

    Cboe’s SPX-Options-Based Benchmark Indexes, with Testimonial, 12 News Clips and White Papers - Catalysts for Growth in Use of Index Options

    Cboe’s SPX-Options-Based Benchmark Indexes, with Testimonial, 12 News Clips and White Papers - Catalysts for Growth in Use of Index Options

    When I worked at investment conferences around the year 2000 and asked attendees about use of listed options, many attendees would say they did not use listed options for a variety of reasons, including perceptions that options were too risky, too complex, too labor-intensive, and/or not well understood.  Since the 2002 launch of the Cboe BXM Index, there has been a tremendous increase in interest in and use of listed options by individual and institutional investors, and there now are more[...]

  • Trader Talk | Cboe Benchmark Indexes | Jul 6, 2018, 3:47 PM

    32 Years of Performance History for 10 Benchmark Indexes That Use S&P 500 Options – Lower Volatility and Enhanced Risk-Adjusted Returns

    32 Years of Performance History for 10 Benchmark Indexes That Use S&P 500 Options – Lower Volatility and Enhanced Risk-Adjusted Returns

    This is the 4th in a series of blogs at www.cboe.com/blogs to commemorate the 35th anniversary of the launch of SPX options on July 1, 1983. #SPX35 In 2001 some portfolio managers who engaged in strategies that used S&P 500® (SPX) options told me that pension fund sponsors suggested that the options industry should develop indexes that could serve as benchmarks for options-based performance. In 2002 Cboe worked with Professor Robert Whaley to introduce the first major benchmark index that[...]

  • Trader Talk | Trade Ideas | Cboe Benchmark Indexes | Jul 5, 2018, 8:06 AM

    Portfolio Protection with Cboe’s S&P 500 Options: Overview of Basic Concepts

    Portfolio Protection with Cboe’s S&P 500 Options: Overview of Basic Concepts

    Many investors are asking questions about how to protect their investment portfolios in light of a number of developments, including (a) the potential for global trade wars, (2) low interest rates for fixed income investments and high price-earnings ratios for key stocks, and (3) the most severe peak-to-trough drawdowns a decade ago were down 51% for the S&P 500 Index, down 62.7% for the MSCI Emerging Markets Index, and down 81% for the S&P GSCI Index.    Strategies using S&P[...]

  • Jul 3, 2018, 12:54 PM

    Growth in Use of S&P 500 Options at Cboe Over 35 Years

    Growth in Use of S&P 500 Options at Cboe Over 35 Years

    Thirty-five years ago, Cboe revolutionized the financial world with the introduction of options on broad-based stock indexes. On July 1, 1983, Cboe launched S&P 500® (SPX) index options with posted volume of 350 contracts. This year the average daily volume for S&P 500 options is around 1.4 million contracts, as many individual and institutional investors now use the contracts for purposes such as portfolio management, hedging, and income generation. Below are eight charts that related[...]

  • Trader Talk | CBOE Memories | Jul 2, 2018, 10:50 AM

    35 Years of S&P 500 Index Options Trading at Cboe

    35 Years of S&P 500 Index Options Trading at Cboe

    Ten years after creating the listed options market in 1973, Cboe revolutionized the financial world once again with the introduction of options on broad-based stock indexes.  On July 1, 1983, Cboe launched trading on S&P 500 Index options (SPX).  In 35 years, Cboe’s SPX options have grown from a modest beginning to the most-actively traded index option in the U.S.         Despite less-than-impressive early volumes – a mere 350 contracts traded[...]

  • Jun 20, 2018, 1:24 PM

    Combining Short VIX Futures and Long VIX Call Options to Create Cboe’s VPN Index, with Performance over 14 Years

    Combining Short VIX Futures and Long VIX Call Options to Create Cboe’s VPN Index, with Performance over 14 Years

    This year we have seen increased interest in learning more about strategies that sell futures on the Cboe Volatility Index® (VIX®). Strategy benchmark indexes can shed light on how hypothetical strategies have performed in different past market environments. The Cboe Capped VIX Premium Strategy Index (VPN) is a strategy benchmark index that (1) sells VIX futures over a money market account, (2) buys VIX call options, and (3) has a price history that begins in June 2004. As shown in the first[...]

  • Jun 20, 2018, 9:56 AM

    Big Volume for VIX Futures during Global Trading Hours (GTH) on June 19

    Big Volume for VIX Futures during Global Trading Hours (GTH) on June 19

    Estimated volume for futures on the Cboe Volatility Index® (VIX®) during Global Trading Hours (GTH) rose to more than 79,000 contracts on June 19, making the GTH session one of the busiest on record. VIX futures often are used for portfolio management purposes in times of financial market uncertainties, and the financial markets recently have digested news about tariffs and possible trade wars, and a recent headline at wsj.com noted “Markets Begin to Take Threat of Trade War Seriously.” VIX[...]