Today CBOE added three new expirations for options on both the MSCI Emerging Markets Index (MXEF) and on the MSCI EAFE Index (MXEA). There now are six expiration dates for options on the MXEF and MXEA indexes –
MXEF AND MXEA – PRICES AND IMPLIED VOLATILITY
Below are two charts with daily closing values for index prices and the 30-day at-the-money (ATM) implied volatility estimates from Bloomberg. This month, the[...]
This month I am planning to travel to the First Annual CBOE Risk Management Conference (RMC) Asia, which will be held on November 30 – December 1 at the JW Marriott Hotel, Pacific Place, 88 Queensway, Hong Kong. In my preparations for the trip, I am analyzing the skew charts for a number of option classes, including options on the S&P 500®, the CBOE Volatility Index® (VIX®), and the EEM and FXI ETFs.
SKEW CHART FOR SPX OPTIONS
As noted in the White Paper on the CBOE SKEW[...]
Interest rate concerns have been in the news this month. Please see the bottom of this Blog for information about interest rate presentations In Chicago this Monday, November 16.
A Nov. 4 news story on Bloomberg stated that – “Federal Reserve Chair Janet Yellen and New York Fed President William Dudley both said the central bank could boost interest rates as soon as next month, while Fed Vice Chairman Stanley Fischer voiced confidence that inflation isn’t too far below the central[...]
The CBOE Risk Management Conference is the premier educational forum for users of equity index options and volatility products. Now in its 31st year in the US and 4th year in Europe, CBOE is pleased to bring this experience to Asia. The First Annual CBOE Risk Management Conference Asia will be held on November 30 - December 1 at the JW Marriott Hotel, Pacific Place, 88 Queensway, Hong Kong.
Topics to be covered include –
Primer on Options and Volatility Strategies
Average daily volume for the new VIX® Weeklys options was a strong 25,042 contracts in October, the first month of trading for the products. Prior to last month, the VIX options had expirations only once a month, but now with VIX Weeklys options there usually are VIX options expirations in at least the first four weeks.
VIX OPTIONS CHAIN
A key feature of the new VIX Weeklys options is that they are in the same options chain as the standard-expiration VIX options. This screenshot below[...]
(My colleague Rick Rosenthal contributed text to this blog; Rick focuses on CBOE options on FTSE-Russell indexes).
On October 20 CBOE launched new cash-settled options on three indexes –
Russell 1000® Index (RUI) – is preferred by many investment managers as a broad-based index that represents approximately 92% of the total U.S. equity market.
Russell 1000® Growth Index (RLG) - measures the performance of those Russell 1000 companies determined to have higher price-to-book[...]
Yesterday (October 8) was the first day of trading for the VIX Weeklys options, with reported trading volume topping 1,000 contracts.
VIX OPTIONS CHAIN
A key feature of the new VIX Weeklys options is that they are in the same options chain as the standard-expiration VIX options. This screenshot below from Bloomberg on the morning of October 9 shows that there now are VIX options expirations on Oct 21, Oct. 28, Nov. 4, Nov. 18, and Dec. 16 (in addition, there are VIX options with longer dated[...]
On Tuesday, October 6, the CBOE options on the MSCI Emerging Markets Index (MXEF) had reported volume of 472 contracts (236 call options and 236 put options).
Why are several investors expressing more interest in the MXEF options that launched earlier this year? Below are four key reasons I have heard from investors.
BIGGER NOTIONAL SIZE FOR CASH-SETTLED INDEX OPTIONS
As shown in the chart below, many of the cash-settled index options have notional values that are much bigger than the notional[...]
On Wednesday, September 30, in Geneva, Switzerland at the Fourth Annual CBOE Risk Management Conference (RMC) Europe, two experts – (1) Maneesh Deshpande, Managing Director and Head of Equity Derivatives Strategy, Barclays, and (2) David Rogal, Director and Portfolio Manager, BlackRock-- engaged in a discussion of -
Focus on Interest Rate Volatility
VIX versus TYVIX CBOE/CBOT 10-year U.S. Treasury Note Volatility Index: Similarities and differences
Comparing volatility risk premia in rates[...]
Seven years ago several major stock indexes and commodity indexes suffered drawdowns of more than 50%, and since then there has been increased investor interest in managing tail risks.
On Wednesday, September 30, in Geneva, Switzerland at the Fourth Annual CBOE Risk Management Conference (RMC) Europe, two experts – (1) Julien Halfon, Principal - Financial Strategy Group, Mercer, and (2) Jean-Francois Bacmann, Portfolio Manager and Head of Volatility Strategies, Man AHL—delivered presentations[...]
During the first three decades of listed options trading (1973 – 2003) most exchange-listed options in the US (except FLEX options) had expirations on or near the third Friday of the month.
In the past decade S&P 500® Weekly options (SPXW) offered near-term expirations on Fridays other than the third Friday standard expirations. In 2015 new Weekly futures and options on the CBOE Volatility Index® (VIX®) are being introduced.
On Tuesday, September 29, at the Fourth Annual[...]
On Tuesday, September 29, in Switzerland at the Fourth Annual CBOE Risk Management Conference (RMC) Europe http://www.cboermceurope.com, two experts – (1) Maneesh Deshpande, Managing Director and Head of Equity Derivatives Strategy, Barclays, and (2) Scott Maidel, Senior Portfolio Manager / Trader, Equity Derivatives, Russell Investments -- engaged in a discussion of -
Vanilla But Not Boring: Fixed Strike Option Strategies
Volatility Risk Premia (VRP) alpha, equity replacement and overlay[...]
In my business travels to discuss the topic of options and volatility-based investment strategies, I often hear questions such as – “What funds are engaging in options and volatility-based investment strategies, and how is their performance?” Again I heard this question this past week in meetings with investors in Hong Kong and Shanghai.
On Monday, September 28 at the Fourth Annual CBOE Risk Management Conference (RMC) Europe http://www.cboermceurope.com, I delivered a presentation[...]
On Monday, September 28 at the Fourth Annual CBOE Risk Management Conference (RMC) Europe http://www.cboermceurope.com, a presentation on new CBOE strategy benchmark indexes that use index options was delivered by William Speth, Vice President, Research and Product Development, CBOE. (In 2002 CBOE introduced the first major option-based strategy benchmark index – the CBOE S&P 500 BuyWrite Index (BXM)). Names, tickers and descriptions for many of the new benchmark indexes are at the[...]
S&P 500® Weekly options (SPXW) offer near-term expirations on Fridays other than the third Friday standard expirations. Average daily volume for the S&P 500 Weekly options grew to 272,939 in 2014.
QUESTION ABOUT WEEKLY OPTIONS - Some options investors and commentators have asked questions such as – “Are the Weekly options merely tools for short-term speculation, or are they also used for prudent income enhancement strategies? Can CBOE create a benchmark index that uses Weekly[...]
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