Matt Moran

Matt Moran is vice president of business development for Chicago Board Options Exchange (CBOE), where he communicates with pension funds, mutual funds, and financial advisors. He has delivered more than 200 presentations worldwide on the topics of managing volatility and adding income with option-writing strategies. Previously, he served trust counsel at Harris Bank and vice president at Chicago Mercantile Exchange. He is an associate editor of two Institutional Investor publications — The Journal of Trading and The Journal of Index Investing. Mr. Moran holds JD and MBA degrees from the University of Illinois.

  • Jul 24, 2017, 8:46 AM

    Strong Growth in Volume for Mini-SPX (XSP) Options

    A portfolio manager recently called me to discuss Mini-SPX (ticker XSP) options, and told me he is trading the XSP options and he liked several features about the XSP options, including the “no-early-call-away” feature, the tax treatment, the contract size, and the fact that the XSP options prices appeared to track pretty well the prices of the larger-sized options on the S&P 500® Index (ticker SPX).  GROWTH IN VOLUME FOR XSP OPTIONS As shown in the chart below, the average[...]

  • Jul 11, 2017, 12:00 PM

    Strong Volume for SPXW Options with Monday, Wednesday, Friday and Month-end Expirations

    The large-sized SPXW S&P 500 options with p.m.-settlement generated another strong figure of around 600,000 contracts for average daily volume in in June. Key points about SPXW options include – VOLUME. Average daily volume (a.d.v.) for SPXW options in June included 77,069 for the Monday expirations, 107,986 for mid-week expirations, and 267,955 for Friday expirations (see Exhibit 1 below); MANY EXPIRATIONS. SPXW options have expirations on 9 upcoming dates in July (see Exhibit[...]

  • Jun 30, 2017, 1:54 PM

    PUT Index and PUTW ETF Win Sharpe Indexing Award

    PUT Index and PUTW ETF Win Sharpe Indexing Award By Matt Moran On June 26 the CBOE S&P 500 PutWrite Index (PUT) and the WisdomTree CBOE S&P 500 PutWrite Strategy Fund ETF (PUTW) won the 2017 Index/ETF Product of the Year award at an annual ceremony that was presented by IMN and the Journal of Index Investing. The awards ceremony was held during the 22nd Annual Global Indexing and ETFs conference, a 3-day event with about 750 financial professionals (including reps of CBOE, Bats, and[...]

  • Jun 22, 2017, 1:55 PM

    Explore Options on the MSCI Emerging Markets Index (MXEF)

    On June 20 MSCI, Inc. issued an announcement that noted (in part) – “ … beginning in June 2018, it will include China A shares in the MSCI Emerging Markets Index and the MSCI ACWI Index. This decision has broad support from international institutional investors with whom MSCI consulted, primarily as a result of the positive impact on the accessibility of the China A market of both the Stock Connect program and the loosening by the local Chinese stock exchanges of pre-approval[...]

  • Jun 19, 2017, 3:20 PM

    Will China A-Shares Be Added to the MSCI Emerging Markets Index?

    For managers of global index portfolios this week, a big issue is whether or not MSCI will add China A-Shares to the MSCI Emerging Markets Index (MXEF). MSCI plans to announce its 2017 Market Classification Review on Tuesday, June 20, shortly after 4:30 p.m. EDT. A June 17 headline to a Barron’s story stated -- “Will China Gain Entry to MSCI Indexes? The giant indexer has said no three years in a row, but this time may be different. Approval would offer a nice boost to China’s[...]

  • Jun 14, 2017, 8:27 AM

    Volume Rises for S&P 500 Options with P.M.-Settlement on 3rd Fridays

    In regard to the popular S&P 500® options, on May 1, 2017, CBOE changed the symbol for existing SPXPM option series to option symbol SPXW. Beginning last month, CBOE is offering both SPX options with a.m.-settlement, and SPXW options with p.m.-settlement, on third Fridays of the month. This conversion was designed to allow greater ease of access for those looking to place spreads from week to week.  We have received some very positive feedback from institutional investors on this change[...]

  • Jun 2, 2017, 8:58 AM

    VIX Index Closes Below 10 Again, as Professor Called VIX Level the Biggest Financial Mystery

    On June 1st the CBOE Volatility Index® (VIX®) closed at 9.89. June 1st marked only the 14th day on which the VIX Index closed below 10 (its price history begins in 1990). Six of the 14 days on which the VIX Index closed below 10 occurred in 2017 (see Exhibit 1 below for a list of all 14 dates). REMARKS AT CFA ANNUAL CONFERENCE On May 21 through 24 I listened to several outstanding speakers 70th CFA Institute Annual Conference in Philadelphia. Speakers’ remarks that were among the most[...]

  • May 10, 2017, 2:05 PM

    SPXW Weekly Options A.D.V. Rises above 500,000, as 3rd Friday SPXW Options Now Are Available

    By Matt Moran This week I received inquiries about the trends in options volume. The large-sized SPXW Weekly options have successfully seen volume growth over each the past seven years. Key points about SPXW Weekly options include – VOLUME. Average daily volume (a.d.v.) in the first four months of 2017 was 500,964 contracts, (up 30% over the a.d.v. for the full year of 2016; see Exhibit 1 below); MANY EXPIRATIONS. SPXW Weeklys options have expirations on ten upcoming dates in May[...]

  • Mar 31, 2017, 12:17 PM

    Conversion of SPXPM Options to Symbol SPXW

    CBOE is planning a change to the symbol for existing SPXPM option series to option symbol SPXW in both the Regular Trading Hours (RTH) and Extended Trading Hours (ETH) session. The change is scheduled to be effective May 1, 2017. This conversion is designed to allow greater ease of access for those looking to place spreads from week to week.  We have received some very positive feedback from institutional investors on this change to the symbol SPXW. After the conversion, on standard expiration[...]

  • Harnessing Twitter Sentiment and the Volatility Risk Premium – Events in NYC on March 28th and in Chicago on April 5th

    At the 33rd Annual CBOE Risk Management Conference in California last week, several speakers discussed ways to use sentiment analysis and the volatility risk premium in their quest to add alpha and enhance the risk-adjusted returns of their portfolios. I am pleased to report that two upcoming events will provide more details and analysis of the topics of developing investable and actionable intelligence from analysis of sentiment trends on social media, and generating attractive risk-adjusted returns[...]

  • Feb 13, 2017, 11:13 AM

    CBOE Benchmark Indexes and More Interest in Mitigation of Drawdown Risk

    Investors recently have shown increased interest in protection from large peak-to-trough drawdowns in their portfolios.  In the 27 years from 1990 through 2016, the average value of the CBOE SKEW Index (SKEW) was 118.4, but in the 20 recent trading days since January 13, the SKEW Index averaged 134.5, and ranged between a low of 128.80 and a high of 146.33. A high SKEW Index value could be indicative of high demand for S&P 500® (SPX) protective put options. In the[...]

  • Feb 8, 2017, 3:28 PM

    Portfolio Protection, Tail Risk and 15 Histograms

    With U.S. stock market indexes recently hitting all-time highs, there is quite a bit investor uncertainty about the markets and there is high demand for protection from large market declines. One metric providing evidence of this high demand is the CBOE SKEW Index (SKEW). In the 27 years from 1990 through 2016, the average daily level for the SKEW Index was 118.4, and the average level of SKEW never topped 130 in any of those 27 years. In the year 2017 (through February 7) the average daily level[...]

  • Feb 8, 2017, 10:29 AM

    42% Rise for the SMLC Sentiment-Based Index That Analyzes Twitter Traffic

    In recent months many press stories have covered the topic of how Twitter tweets possibly could influence the prices of stocks or the direction of the economy. News reports indicate that there are hundreds of millions of tweets posted per day. One challenging question for investors could be – can useful actionable information be gleaned from Twitter postings to identify stocks that have positive bullish sentiment? One tool that has potential to be useful to investors is the CBOE-SMA Large Cap[...]

  • Market News | VIX | Jan 20, 2017, 11:04 AM

    CBOE SKEW Index Tops 140 Two Days in a Row, as Demand for Disaster Protection Increases

    The CBOE SKEW Index (SKEW) values, which are calculated from weighted strips of out-of-the-money S&P 500 options, generally rise to higher levels as investors become more fearful of a negative equity “black swan” event — an unexpected event of large magnitude and consequence. Key facts about recent SKEW values -- TWO DAYS IN A ROW. SKEW closed at 143.43 on January 18, and 141.03 on January 19 (the sixth time in its 27-year history that the index closed above 140 two days in[...]

  • VIX | Futures | 2016 Recap | Jan 9, 2017, 3:26 PM

    Record Volume and Open Interest in 2016 for CBOE Index Products

    CBOE index products continue to attract growing interest from investors who wish to manage the income and volatility in their portfolios. A recent press release by CBOE Holdings noted that -- “… Several trading records were set [in 2016]. Total volume and average daily volume (ADV) in index options trading at CBOE reached new all-time highs for the fourth consecutive year in 2016 with 430.7 million and 1.7 million contracts, respectively, each up 6 percent from 2015. Total volume and[...]