• Market News | Sep 28, 2016, 11:55 AM

    Presentation at CBOE RMC on Hedging with VIX Options

    Presentation at CBOE RMC on Hedging with VIX Options

    Rocky Fishman, Equity Derivatives Strategist from Deutsche Bank Securities and Andrew Warwick, Managing Director from Blackrock teamed up to discuss Hedging with VIX Option at CBOE’s Risk Management Conference in Ireland Tuesday. They focused on evaluating VIX option strategies, not just from implementation to expiration, but also looking at the behavior of positions over a multi-week period.  A comparison was made between SPX and VIX option hedging as well as looking at when it may be[...]

  • Market News | Education | Sep 28, 2016, 4:25 AM

    New Paper by Fund Evaluation Group Analyzes CBOE Russell Benchmark Index Suite with Strong Performance by PUTR Index

    New Paper by Fund Evaluation Group Analyzes CBOE Russell Benchmark Index Suite with Strong Performance by PUTR Index

    This week a new paper by Fund Evaluation Group (FEG) --  Evaluating Options For Enhanced Risk-Adjusted Returns: CBOE Russell 2000 Option Benchmark Suite and Case Studies on Fund Use of Options (2016) - was released and presented at the Fifth Annual CBOE Risk Management Conference (RMC) Europe. A link to the new 18-page paper is at www.cboe.com/benchmarks, and below in this blog are 6 of the 30 exhibits in the paper. DESCRIPTIONS OF INDEXES ANALYZED PUTR INDEX HAD HIGHEST GROWTH PUTR[...]

  • Market News | Sep 27, 2016, 2:02 PM

    Discussions Focusing on Short Volatility Strategies Today at RMC

    Discussions Focusing on Short Volatility Strategies Today at RMC

    Stephen Crewe from Fulcrum Asset management and Dhvani Gupta from Barclays shared the presentation duties during a session titled Implementing Systematic Short Volatility Strategies at the 5th Annual European CBOE RMC this afternoon. Dhvani Gupta started things off noting that the SPX Implied – Realized Volatility Premium has averaged 4.3% since January 1990 through present.  She noted that short volatility exposure has benefits beyond traditional diversification techniques so she suggests[...]

  • Market News | Sep 27, 2016, 1:04 PM

    Long Volatility Alternatives Discussed at RMC

    Long Volatility Alternatives Discussed at RMC

    Daniel Danon from Assenagon Asset management and Nicolas Vanhoutteghem from Argentiere Capital teamed up for a discussion around Implementing Long Volatility Exposures at CBOE RMC in Ireland this afternoon. Danon kicked things off with a discussion centering around creating an affordable volatility exposure.  This is a topic that we could probably have a single full day conference discussing as the flexibility around how to gain long volatility exposure without suffering the costs often associated[...]

  • Market News | Sep 27, 2016, 9:23 AM

    Panel Discussion on Volatility Based Investment Strategies at RMC

    Panel Discussion on Volatility Based Investment Strategies at RMC

    The first afternoon session at CBOE RMC Europe was a discussion titled Panel on Volatility-Based Investment Strategies.  The panel moderator was Chris Limbach, Managing Director Investments, PGGM Institutional Business.  The panelists were: Uri Geller, Co-Founder and CIO, Granite M.S.A LTD Roy Hoevenaars, PhD, Portfolio Manager, Blenheim Capital Management Fergus Taylor, Portfolio Manager, Arrowgrass Capital Partners Brendan Walsh, Multi Asset Fund Manager, Aviva Investors Global Services Some[...]

  • Market News | Sep 27, 2016, 8:49 AM

    Cross Asset Dislocations and Market Signals Presentation at RMC

    Cross Asset Dislocations and Market Signals Presentation at RMC

    Rebecca Cheong from UBS led a discussion titled Cross Asset Dislocations and Market Signals.  She also was the first of our presenters to utilize our instant poll app during her presentation.  More on that in a moment… Rebecca’s presentation was divided into three sections.  She initially covered market dislocations noting that some are temporary and others are structural, with the latter often lasting longer.  An example that we are probably all familiar with is the[...]

  • Market News | Sep 26, 2016, 3:35 PM

    Panel Discussion on Institutional Liabilities and Option Strategies

    Panel Discussion on Institutional Liabilities and Option Strategies

    The final session at CBOE’s Risk Management Conference in Europe today was a panel discussion that was titled Real Money:  Institutional Liabilities and How Options Strategies Can Help.  The moderator was Abhinandan Deb, Head of European Equity Derivatives Research, Bank of America Merrill Lynch.  The panelists were: Jon Havice, President and Chief Investment Officer, DGV Solutions Michael Holliger, Portfolio Manager, Swiss Life Asset Management AG Dan Mikulskis, Head of DB[...]

  • Market News | Sep 26, 2016, 2:25 PM

    Presentation on Volatility Risk Premia at RMC Today

    Presentation on Volatility Risk Premia at RMC Today

    The second presentation on the first day of RMC featured a discussion titled Constructing / Deconstructing Volatility Risk Premia Strategies delivered by Roni Israelov from AQR Capital Management.  This presentation centered around an article that appeared in the Financial Analysts Journal in 2015 titled Covered Calls Uncovered which may be found at www.aqr.com/library/journal-articles/covered-calls-uncovered This presentation started out with a discussion of Covered Calls with the CBOE S&P[...]

  • Market News | Sep 26, 2016, 1:25 PM

    RMC Presentation by Bill Speth and Matt Moran from CBOE

    RMC Presentation by Bill Speth and Matt Moran from CBOE

    The first session that kicked off the 5th Annual European version of CBOE’s Risk Management Conference involved a discussion titled New Developments in Options and Volatility-Based Benchmarks delivered by Bill Speth and Matt Moran. Bill kicked things off talking about some current and pending strategy based indexes created by CBOE.  The indexes discussed were: CBOE Russell 2000 Conditional BuyWrite Index CBOE S&P 500 Smile Index CBOE S&P 500 Buffer Protect Strategy Series CBOE[...]

  • Market News | Technical Analysis & Charts | VIX | Futures | Sep 26, 2016, 9:48 AM

    BigTrends.com Weekly Market Outlook - September 26, 2016

    BigTrends.com Weekly Market Outlook - September 26, 2016

    While the market may have ended last week on a sour note, a little pre-weekend profit-taking can't entirely come as a surprise. Once traders learned on Wednesday the Federal Reserve wouldn't be imposing a rate-hike this month, they celebrated in the form of a 1.7% advance that lasted all the way through Thursday's close. Friday's 0.6% lull didn't even drag any of the major indices back below their most important technical levels. Still, stocks could just as easily kick-start a pullback here as they[...]

  • Market News | VIX | Sep 25, 2016, 3:00 PM

    The Weekly Options News Roundup – 9/25/2016

    The Weekly Options News Roundup – 9/25/2016

    2016 Risk Management Conference Europe Tomorrow kicks off the 5th annual CBOE Risk Management Conference Europe at the Powerscourt Hotel in County Wicklow, Ireland.  The industry’s top traders, strategists and researchers will convene to discuss the latest products and strategies for managing risks, that enhance yields and lower portfolio volatility. For more information, see http://www.cboermc.com. “2016 CBOE Risk Management Conference Europe” – Hedgeweek http://bit.ly/2dahuti Options[...]

  • Market News | Trader Talk | Trade Ideas | Sep 25, 2016, 10:25 AM

    Weekend Review - Russell 2000 Options and Volatility - 9/19 - 9/23

    Weekend Review - Russell 2000 Options and Volatility - 9/19 - 9/23

    The relative performance of small caps to large caps has been phenomenal for those who picked the equity market bottom back in February.  This past week the Russell 2000 (RUT) almost doubled the performance of the large cap focused Russell 1000 (RUI) rising 2.56% versus 1.30%.  This places RUT at up 10.45% for 2016 while RUI is up a still respectable 6.06%.  The really amazing numbers shows up when we look at what RUT has done relative to RUI since February 11th of this year. [...]

  • Market News | VIX | Trader Talk | Futures | Trade Ideas | Sep 24, 2016, 5:18 PM

    Weekend Review - VIX Futures and Options - 9/19 - 9/23

    Weekend Review - VIX Futures and Options - 9/19 - 9/23

    VIX reacted to the post FOMC rally by giving up just over 20% last week.  The standard September contract went off the board leaving October to take over as the front month.  With a little time until October expiration (10/19) the result has been resumption of pretty steep contango.  Of course there are some potentially market moving events between now and the end of the year so VIX futures bracing for some sort of spike may be expected. As I wrote the previous paragraph[...]

  • Market News | VIX | Trader Talk | Trade Ideas | Sep 24, 2016, 5:05 PM

    Weekend Review - Volatility Indexes and ETPs - 9/19 - 9/23

    Weekend Review - Volatility Indexes and ETPs - 9/19 - 9/23

    Janet Yellen spoke and volatility dropped.  I wonder if she's the kind of guest that shows up and ruins parties like she dampens any moves in S&P 500 volatility. The table below has a ton of red, as would be expected following a week where VIX drops about 20%.  I did field a question on Friday regarding last week's drop in the context of history and it ranks in about the top 50 week over week drops out of 1400 weekly observations.  VVIX continues to be resilient.  In[...]

  • Cboe Benchmark Indexes | Sep 21, 2016, 3:48 PM

    New Heat Map Shows Less Downside for BXMD and PUT Indexes - Blog #1 on the Wilshire Paper

    New Heat Map Shows Less Downside for BXMD and PUT Indexes - Blog #1 on the Wilshire Paper

    Wilshire Associates recently was ranked as one of the world’s ten largest investment consultants due to the fact that it had more than $1 trillion in worldwide institutional assets under advisement, according to the survey published in the Nov. 30, 2015 issue of Pensions & Investments. A new study - “Three Decades of Options-Based Benchmark Indices with Premium Selling or Buying: A Performance Analysis” – was released this week. The study was commissioned by CBOE and authored[...]