catherine-shalen

Catherine Shalen

Dr. Catherine Shalen has been Director of Research in the Product Development Group of the Cboe Global Markets since 2002. Previously, she worked as a Senior Economist in the research departments of the Chicago Board of Trade and the Chicago Mercantile Exchange. Prior to joining the Chicago exchanges, she was an assistant professor of finance at the University of Illinois in Chicago. She holds a PhD and an MBA from Columbia University Business School and a B.A. in mathematics from Harvard University. She has published in the Review of Financial Studies, the Journal of Futures Markets, as well as in financial industry periodicals and books.

  • VIX | Education | Futures | Mar 18, 2016, 12:57 PM

    VIX Volatility Indicators Cool as FOMC Joins the Dovish Bandwagon

    VIX Volatility Indicators Cool as FOMC Joins the Dovish Bandwagon

    CBOE’s indicators of expected volatility for Treasuries, equities and foreign exchange rate -- TYVIX, VIX, EUVIX, JYVIX, BPVIX) -- turned cooler this week. All but BPVIX are below their historical median values since 2003. The driver of the move was the decidedly more dovish tone of the FOMC’s announcement on Thursday. The Fed policymakers also announced their decision not to change (raise) the fed fund target rate – but that decision had been fully anticipated. The FOMC’s[...]

  • Market News | Blogging Options | Mar 11, 2016, 4:32 PM

    CBOE Weekly VIX Indexes Report

    CBOE Weekly VIX Indexes Report

    The Curious Effect of ECB’s Stimulus Package on the EUVIX Index On Thursday, ECB President Mario Draghi announced a cut in interest rates and purchases of corporate bonds. In the same breath, Mr. Draghi said he hoped there would be no further cuts.  The Euro promptly dropped to $1.08, then rebounded to $1.12 by the close.   Yet the CBOE/CME FX Euro Volatility Index (Ticker: EUVIX), the expected volatility of the EUR/USD rate, decreased from 12.28 to 10.85 (using closing values) on[...]

  • Market News | VIX | Futures | Strategy | Mar 4, 2016, 1:00 PM

    March 4, 2016 Weekly Report on CBOE VIX Index Suite

    March 4, 2016 Weekly Report on CBOE VIX Index Suite

    Can Fear Be Gone From the Market? All it took was a mildly positive non-farm payrolls report on Friday morning to drive the CBOE VIX Index below its median value of 17 (measured since 2003). Not only has U.S. equity volatility subsided, but so has the volatility of volatility measured by the VVIX Index and the CBOE SKEW, a measure of tail risk. Both suggest the probability of a significant crash in the U.S. equity market is dissipating. Figure 1. VVIX and SKEW since January 2015 So it appears[...]

  • Market News | VIX | Trader Talk | Education | Futures | Feb 26, 2016, 4:20 PM

    February 26, 2016 Weekly Report on CBOE VIX Index Suite

    February 26, 2016 Weekly Report on CBOE VIX Index Suite

    Foreign Exchange Volatility Remains a Hot Spot The chance of divergence between monetary policies and the impact of oil prices and China factors on international trade continues to sustain volatility in foreign exchange VIX indexes: CBOE/CME FX Euro Volatility IndexSM (Ticker: EUVIX); CBOE/CME FX Yen Volatility IndexSM (Ticker: JYVIX)  and CBOE/CME FX British Pound Volatility IndexSM (Ticker: BPVIX). In contrast, this week the CBOE VIX Index stabilized as stock markets rallied[...]

  • Market News | VIX | Futures | Feb 19, 2016, 2:25 PM

    February 19, 2016 Weekly Report on CBOE VIX Index Suite

    February 19, 2016 Weekly Report on CBOE VIX Index Suite

    Ebb and Flow of Financial Signals Increase Foreign Exchange Volatility Volatility has migrated to the foreign exchange markets, especially the dollar/yen exchange rate. After a significant rally in early February, equity and interest rate volatility have subsided -- along with a slide in interest rates and despite oil-driven fluctuations in equity values. This shift is highlighted by rescaling indexes to 100 as of the start of 2016 (Figure 1). Possible factors driving the increase in foreign exchange[...]

  • VIX | Education | Futures | Feb 12, 2016, 1:53 PM

    February 12, 2016 Weekly Report on CBOE VIX Index Suite

    February 12, 2016 Weekly Report on CBOE VIX Index Suite

    Volatility Sizzles As Markets Waver Despite sparse developments in global fundamentals, and relatively good vibes from U.S. economic indicators, fear overtook financial markets this week and energized VIX indicators. The CBOE/CBOT 10-year U.S. Treasury Note Volatility Index (ticker symbol: TYVIX), the gauge for interest rate volatility, reached a value of 8.53 near the open on Thursday and closed at 7.65 -- the TYVIX Index had not closed this high since January 2015. In addition, the intraday high[...]

  • Market News | VIX | Futures | Feb 5, 2016, 1:52 PM

    VIX Measures of Volatility Boosted by Muddled Economic Outlook

    VIX Measures of Volatility Boosted by Muddled Economic Outlook

    Figure 1. TYVIX, VIX and Foreign Exchange Volatility Indicators VIX volatility indicators for Treasury, equity and foreign exchange markets edged up this week as central bankers and investors appeared equally bemused by the crosscurrents in global economic news. Adding to ongoing concerns about China, low commodity prices, lack of inflation and lackluster growth, yields on sovereign bonds in Europe and Japan turned negative. Negative yields are sometimes viewed as a possible precursor to recession.[...]

  • Market News | VIX | Futures | Jan 29, 2016, 1:51 PM

    January 29, 2016 Weekly Report on CBOE VIX Indexes

    January 29, 2016 Weekly Report on CBOE VIX Indexes

    Negative Japanese Interest Rates Revive JYVIX Index The JYVIX Index rose to 11.77 at the close on Thursday, ahead of the Bank of Japan’s move to press the Japanese short rate of interest into negative territory early Friday. It was the first time the Japanese central bank adopted a negative interest rate, and this unusual decision propped up global equities as well as the volatility index. The JYVIX Index measures the volatility of the Yen/Dollar rate of exchange. The action was the high note[...]

  • Market News | VIX | Trader Talk | Futures | Trade Ideas | Jan 22, 2016, 2:40 PM

    TYVIX Weekly Report - January 22, 2016

    TYVIX Weekly Report - January 22, 2016

      VIX Indexes Moderate Despite Little Closure on Global Economic Outlook The bleak outlook for world economic growth, oil prices and low inflation drove equity markets lower for most of this week, although stock prices trimmed losses Friday on a bounce in oil prices and talk of possible central bank easing in Europe and Japan. VIX benchmarks for volatility in equity, fixed income and currency rates moderated (with the exception of JYVIX). Figure 1.  Statistical update   Looking[...]

  • Market News | VIX | Futures | Jan 15, 2016, 1:34 PM

    Twists and Turns In VIX and TYVIX Indexes

    Twists and Turns In VIX and TYVIX Indexes

    The CBOE Volatility Index (VIX) and the CBOE/CBOT 10-year U.S. Treasury Note Volatility Index (TYVIX), benchmarks of volatility for the U.S. equity and Treasury markets, have had some interesting twists and turns this week after another decline in the Shanghai stock market pushed global equities lower and the price of crude oil dipped below $30 a barrel. The TYVIX Index has been heading up since December 24, 2015, but still shows no clear trend from a longer-run perspective. The VIX Index, on the[...]

  • Market News | VIX | Education | Futures | Jan 8, 2016, 2:40 PM

    It’s Déjà VIX All Over Again

    It’s Déjà VIX All Over Again

    The same up-and-down vibes that marked the end of 2015 lifted volatility in the first week of 2016. The Shanghai stock market plunged on Monday. Oil prices were on a downward trend all through the week, and on Friday the U.S. Labor Department reported an additional 292,000 nonfarm payroll jobs were added in December. On Thursday, the economic malaise in China pushed the CBOE Volatility Index (VIX) to a weekly high of 25.86, 42 percent higher than at the close of 2015. The upbeat job report on Friday[...]

  • Market News | Education | Futures | Strategy | Dec 31, 2015, 10:02 AM

    A Look Backward and Forward: CBOE VIX Indexes in 2015 and 2016

    A Look Backward and Forward: CBOE VIX Indexes in 2015 and 2016

    2015 Retrospective: There was no shortage of financial crises or investor alarm over central bank monetary policies, OPEC’s oil policy, and the generally anemic state of the global economy in 2015. Each CBOE VIX Index recorded the level of stress in its underlying sector. As the graphs below illustrate, different triggers struck panic across markets. VIX Index, Volatility Gauge for U.S. Equity Market: The uptrend in expected volatility of the U.S. equity market continued in 2015. The peak[...]

  • Market News | Dec 18, 2015, 3:13 PM

    TYVIX Weekly Report: FOMC Meeting Aftermath: Treasury Volatility Falls to Near Lows for Year

    TYVIX Weekly Report: FOMC Meeting Aftermath: Treasury Volatility Falls to Near Lows for Year

    The volatility of 10-Year Treasuries approached its lows for 2015 late Friday morning, December 18, when TYVIX fell to 4.68 on an intraday basis. On a closing basis, the TYVIX Index had not fallen this low since October 6, 2014, when it closed at 4.68. To put these numbers in perspective, the median TYVIX value since 2003 is 6.20. One might conclude that the Treasury market has settled down on assurances by the Federal Open Market Committee that additional increases in the target federal fund[...]

  • Market News | Dec 11, 2015, 1:21 PM

    TYVIX Weekly Review: Volatilities Drift Up to October Levels as Markets Await Tighter Monetary Policy Cycle

    TYVIX Weekly Review: Volatilities Drift Up to October Levels as Markets Await Tighter Monetary Policy Cycle

    The markets are pondering the effect the first target rate change in seven years will have on volatility (Fed rates have hovered between zero and one-quarter percent since December 2008). The Federal Open Market Committee meets on December 15-16 and is widely expected to announce a rate increase at the conclusion of the two-day meeting. Thus far, the imminent prospect of tighter monetary policy has made few waves.  In the equity market, the CBOE Volatility Index (VIX Index) is up for the week,[...]

  • Strategy | Dec 4, 2015, 12:25 PM

    Divergent Monetary Policies Widen Euro/U.S. Equity Volatility Spread, Bolster Euro Volatility

    Divergent Monetary Policies Widen Euro/U.S. Equity Volatility Spread, Bolster Euro Volatility

    Central banks made the headlines this week. On Wednesday, Federal Reserve Chair Janet Yellen affirmed that the U.S. appears ready for the first of a sequence of federal fund rate increases, while on Thursday, European Central Bank President Mario Draghi announced the ECB would ramp up quantitative easing. The divergence between transatlantic monetary policies has widened the spread between VSTOXX and VIX and increased the volatility of the Euro. Figure 1.  VSTOXX vs. VIX indexes  Figure[...]