Moran-Matt

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.

  • Market News | Mar 14, 2016, 2:38 PM

    Bracketology – Strong Returns for BXMD and CMBO Indexes Since Mid-1986

    Bracketology – Strong Returns for BXMD and CMBO Indexes Since Mid-1986

    While much of this month’s bracketology focus is on basketball tournaments, the chart below shows investment returns for eight benchmark indexes since mid-1986. The chart includes four benchmark indexes (introduced in 2015) that invest in S&P 500® (SPX) options.  In the chart the top two indexes in terms of annualized returns were the CBOE S&P 500 30-Delta BuyWrite Index (BXMD) and the CBOE S&P 500 Covered Combo Index (CMBO). DECCRIPTIONS FOR FOUR BENCHMARK INDEXES THAT[...]

  • Market News | Mar 11, 2016, 4:13 PM

    Open Interest for Options on MSCI Emerging Markets Index (MXEF) Grows to 9,855 Contracts

    Open Interest for Options on MSCI Emerging Markets Index (MXEF) Grows to 9,855 Contracts

    Open interest for options on the MSCI Emerging Markets Index (MXEF)<http://www.cboe.com/micro/msci/mxef/default.aspx> grew from 98 contracts in mid-January to 9,855 contracts yesterday. Over the past year several institutional investors have expressed to me their interest in the potential for a liquid MXEF options contract, particularly because the MXEF options contract is cash-settled and has a notional size that is about 24 times larger than options on the EEM ETF. KEY FEATURES OF MXEF OPTIONS Key[...]

  • Education | Strategy | Feb 23, 2016, 4:33 PM

    New Study by Black and Szado Analyzes Six CBOE Benchmarks – BXM, PUT, BFLY, BXMD, CMBO, CNDR – Since 1986

    New Study by Black and Szado Analyzes Six CBOE Benchmarks – BXM, PUT, BFLY, BXMD, CMBO, CNDR – Since 1986

    A new study examines six benchmark indexes that write S&P 500® (SPX) index options, comparing their performances with those of traditional stock, bond and commodity benchmark indexes. The study, “Performance Analysis of CBOE S&P 500 Options-Selling Indices,” is the first comprehensive study that examines the performance of options-strategy benchmark indexes that incorporate iron condor and iron butterfly strategies. Commissioned by CBOE and co-authored by Keith Black, Ph.D.,[...]

  • Market News | Feb 22, 2016, 3:29 PM

    SPX Wednesday Weeklys Begin Trading on Feb. 23

    SPX Wednesday Weeklys Begin Trading on Feb. 23

    Beginning Tuesday, February 23, CBOE will list for trading weekly options on the S&P 500 Index which expire on Wednesdays (“SPX Wednesday Weeklys”). Like other SPXW options, SPX Wednesday Weeklys are series of the SPX option class. Key features of the SPX Wednesday Weeklys include – SPX Wednesday Weeklys may expire on any Wednesday of the month, other than a Wednesday that coincides with an End-of-Month (“EOM”) expiration date. SPX Wednesday Weeklys are PM-settled;[...]

  • Market News | Feb 22, 2016, 2:20 PM

    Open Interest for Options on MSCI Emerging Markets Index (MXEF) Grows to 6,229 Contracts

    Open Interest for Options on MSCI Emerging Markets Index (MXEF) Grows to 6,229 Contracts

    Open interest for options on the MSCI Emerging Markets Index (MXEF) recently rose above 6,200 contacts for the first time. Over the past month the MXEF options open interest grew from 98 to 6,229 contracts. Over the past year several institutional investors have expressed to me their interest in the potential for a liquid MXEF options contract, particularly because the MXEF options contract is cash-settled and has a notional size that is about 24 times larger than options on the EEM ETF. VOLATILITY[...]

  • Market News | Futures | Strategy | Feb 11, 2016, 12:35 PM

    New Study on Six Russell 2000 Options-Based Benchmarks Finds Higher Premiums and Risk-adjusted Returns for Certain Indexes

    New Study on Six Russell 2000 Options-Based Benchmarks Finds Higher Premiums and Risk-adjusted Returns for Certain Indexes

    A newly published study examines six benchmark indexes that invest in Russell 2000® Index (RUT) options and compares their performances with those of traditional benchmark stock and bond indexes. This is the first comprehensive study that examines the performance of multiple options-strategy benchmark indexes that incorporate Russell 2000 Index options. Written by Mark Shore, an adjunct professor at DePaul University's Kellstadt Graduate School of Business, and sponsored by CBOE, the study,[...]

  • Market News | VIX | Education | Trade Ideas | Feb 10, 2016, 1:00 PM

    Record Open Interest of 2,333 Contracts for Options on MSCI Emerging Markets Index (MXEF)

    Record Open Interest of 2,333 Contracts for Options on MSCI Emerging Markets Index (MXEF)

    The open interest for options on the MSCI Emerging Markets Index (MXEF) recently rose to a record 2,333 contacts. Several institutional investors have expressed interest in the potential for a liquid MXEF options contract, particularly because the MXEF options contract is cash-settled and has a notional size that is about 24 times larger than options on the EEM ETF. IMPORTANT MSCI GLOBAL INDEXES In mid-2015 the total market capitalizations were $13 trillion for MSCI EAFE (MXEA) and $4 trillion for[...]

  • Education | Trade Ideas | Feb 4, 2016, 9:46 AM

    Open Interest for Options on MSCI Emerging Markets Index (MXEF) Tops 600 Contracts

    Open Interest for Options on MSCI Emerging Markets Index (MXEF) Tops 600 Contracts

    This last week the open interest for options on the MSCI Emerging Markets Index (MXEF) rose above 600 contacts for the first time. Over the past year several institutional investors have expressed interest in the potential for a liquid MXEF options contract, particularly because the MXEF options contract is cash-settled and has a notional size that is about 24 times larger than options on the EEM ETF. VOLATILITY SKEW FOR MXEF OPTIONS The volatility skew chart below shows that Bloomberg has estimated[...]

  • Paper by Professor Bondarenko Has Intriguing New Analysis of the Premiums, Returns and Volatility of PUT and WPUT Indexes

    Paper by Professor Bondarenko Has Intriguing New Analysis of the Premiums, Returns and Volatility of PUT and WPUT Indexes

    A new 10-page study examines both the CBOE S&P 500 PutWrite Index (PUT) and the CBOE S&P 500 One-Week PutWrite Index (WPUT), comparing their performances with that of traditional benchmark stock and bond indexes. This is the first comprehensive published study that examines the performance of a benchmark strategy index that incorporates WeeklysSM options. Written by Oleg Bondarenko, professor of finance at the University of Illinois at Chicago, the study -- “An Analysis of Index Option[...]

  • Market News | Education | Futures | Jan 11, 2016, 1:00 PM

    VIX Weekly Futures Prices Rose 42% in First Week of 2016

    VIX Weekly Futures Prices Rose 42% in First Week of 2016

    The first week of 2016 was a challenging one for many financial markets worldwide, as (1) It was the worst opening week of the year in history for both the S&P 500®(SPX) and the Dow Jones Industrial Average, (2) The Shenzhen Composite Index of Chinese stocks fell 14.2%, (3) Crude oil futures (Feb. WTI) fell 10.5%, and (4) The U.S. dollar posted its biggest weekly loss vs. the yen since August 2013. Were there investable instruments that had diversification potential with double-digit[...]

  • Market News | Technical Analysis & Charts | VIX | Education | Jan 4, 2016, 2:11 PM

    Eight Charts to Recap 2015 – CNDR Index Rose 10.4%

    Eight Charts to Recap 2015 – CNDR Index Rose 10.4%

    End-of-the-year headlines noted “A Roller Coaster Year Ends with U.S. Markets Mostly Down” (New York Times) and “U.S. Stocks Post Worst Annual Losses Since 2008” (The Wall Street Journal). In this new year on Jan. 4, wsj.com noted “Weaker-than-expected manufacturing data and a falling currency triggered a 7% fall in mainland Chinese stocks that led authorities to halt trading there before the end of the session.” After reading these types of news stories, an inquisitive[...]

  • Market News | Strategy | Dec 9, 2015, 2:00 PM

    Is The Fed’s CCAR Pushing Up the SKEW Index and Driving More Demand for O-T-M SPX Puts?

    Is The Fed’s CCAR Pushing Up the SKEW Index and Driving More Demand for O-T-M SPX Puts?

    In a December 8 Bloomberg news report - “Who's the Bear Driving Up the Price of U.S. Stock Options?” - Joseph Ciolli wrote – “For more than a year, dealers in the U.S. equity derivatives market have noted a widening gap in the price of certain options. If you want to buy a put to protect against losses in the Standard & Poor’s 500 Index, often you’ll pay twice as much as you would for a bullish call betting on gains. New research suggests the divergence is[...]

  • Market News | VIX | Trader Talk | Trade Ideas | Nov 30, 2015, 2:28 AM

    Tim Edwards of SPDJI Covers Unique Performance of VIX-Based Benchmark Indices

    Tim Edwards of SPDJI Covers Unique Performance of VIX-Based Benchmark Indices

    At the First Annual CBOE Risk Management Conference (RMC) Asia in Hong Kong, Tim Edwards, Ph. D., Senior Director of Index Investment Strategy, S&P Dow Jones Indices, delivered a presentation on the design and performance of long, short and dynamic VIX-based benchmark indexes, and covered their utility for longer-term investors and shorter-term traders. While many investors are familiar with the price movements of the spot CBOE Volatility Index® (VIX®), we at CBOE receive many[...]

  • Market News | Trader Talk | Trade Ideas | Nov 28, 2015, 6:40 PM

    New Barron's Article and RMC Presentation on Funds' Use of Options

    New Barron's Article and RMC Presentation on Funds' Use of Options

    Use of options by funds has grown tremendously since the 2002 introduction of the first major benchmark for options-based performance - the CBOE S&P 500 BuyWrite Index (BXM). Below are some recent developments and updates re fund use of options that will be covered at the First Annual CBOE Risk Management Asia Conference, which launches on Nov. 30 in Hong Kong. 1. BARRON'S. On page M9 of the Nov. 30 issue of Barron's, Amey Stone devotes the entire column to a review of covered call funds, and[...]

  • Market News | Nov 24, 2015, 11:44 AM

    Discussion of Volatility of Volatility at RMC in Hong Kong on Dec. 1

    Discussion of Volatility of Volatility at RMC in Hong Kong on Dec. 1

    On December 1st in Hong Kong at the First Annual CBOE Risk Management Conference (RMC) Asia, two expert speakers - William Chan, Equity Derivatives Strategist, Bank of America Merrill Lynch, and Michael Fagan, Chairman, Levitas Capital - will discuss the topic of Volatility of Volatility, and (1) Historical observations and interpretations for "vol-of-vol" surfaces, (2) Trading and hedging applications, depending on client objectives, and (3) A case study approach. Below is some analysis[...]