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.

  • VIX | Election & VIX | 2016 Recap | Nov 9, 2016, 3:17 PM

    VIX Nov. Futures Shot Up by 55% on Election Night, but Later Retreated After Conciliatory Speech

    VIX Nov. Futures Shot Up by 55% on Election Night, but Later Retreated After Conciliatory Speech

    Four charts with big price moves over the past two days are presented in this blog. On the Tuesday election night in the United States, the reported prices for the November futures on the CBOE Volatility Index® (VIX®) rose from a low of 15.10 at 8:07 p.m. E.T., to a high of 23.46 at 10:27 p.m. E.T., an amazing rise of 55% over a 140-minute period (source: Bloomberg). Reported volume for VIX futures during non-U.S. trading hours topped 230,000 contracts both on June 24 (Brexit) and again[...]

  • Market News | VIX | Trader Talk | Trade Ideas | Election & VIX | 2016 Recap | Nov 7, 2016, 4:40 PM

    On Election Eve, Volatility Indexes for Stocks, Gold, Currencies & Volatility Fall By More than 8% (after Record 9-Day Up-Streak)

    On Election Eve, Volatility Indexes for Stocks, Gold, Currencies & Volatility Fall By More than 8% (after Record 9-Day Up-Streak)

    Last week I heard about quite a bit of new interest in portfolio protection strategies, and on November 4 the CBOE Volatility Index® (VIX®) rose on a ninth consecutive day (a new all-time record for the VIX Index over its price history dating back to January 1990). However, on November 7, the date before the U.S. national elections, the S&P 500® Index rose 2.2%, and the percentage changes for some key volatility indexes were as follows: ·         -16.9% [...]

  • Market News | Election & VIX | 2016 Recap | Nov 4, 2016, 2:11 PM

    Big Week for New Inquiries Re: Portfolio Protection, as Daily Volume Spikes for SPX Puts (992k), VIX Calls (590k), and VIX Futures (319k)

    Big Week for New Inquiries Re: Portfolio Protection, as Daily Volume Spikes for SPX Puts (992k), VIX Calls (590k), and VIX Futures (319k)

    This week has been a big week regrading new interest in tools for portfolio protection. We spoke with a Wall Street Journal reporter to provide information on the VIX and VVIX indexes that was used in a story entitled “Election Fear Creeps Into the Market.” In addition, I spoke with multiple investment advisers who said that this was the busiest week of the year in terms of new client inquiries on protective strategies. Both the VIX and CBOE VIX of VIX (VVIX) indexes have risen each[...]

  • Election & VIX | 2016 Recap | Nov 1, 2016, 2:38 PM

    Open Interest Rises to 9 Million for SPX Puts and 4.7 Million for VIX Calls, while Implied Vol is Higher for the Nov. 9 Index Option Expirations

    Open Interest Rises to 9 Million for SPX Puts and 4.7 Million for VIX Calls, while Implied Vol is Higher for the Nov. 9 Index Option Expirations

    Several recent news stories have covered this topic - how can investors protect their portfolios in the event of stock market moves during and after the U.S. election on November 8? For investors who are concerned that stock indexes could decline and volatility indexes could soar in future weeks, two of the simpler index option strategies to consider are (1) buying S&P 500 (SPX) protective put options, and (2) buying call options on the CBOE volatility Index (VIX). In the charts below, not that[...]

  • Market News | VIX | Trader Talk | Trade Ideas | Election & VIX | Oct 29, 2016, 9:08 AM

    VVIX Index Spikes 21% on News of Federal Investigation

    VVIX Index Spikes 21% on News of Federal Investigation

    OCT. 28 – On Friday afternoon a news story at wsj.com<http://blogs.wsj.com/moneybeat/2016/10/28/markets-rattled-by-fresh-fbi-review-of-clinton-email/?mod=djemalertMARKET> noted that – “Worries about a surprise election outcome resurfaced anew in financial markets on Friday afternoon after the Federal Bureau of Investigation uncovered new evidence in its investigation of Democratic presidential candidate Hillary Clinton‘s email server. … The news sent ripples through[...]

  • Election & VIX | Oct 25, 2016, 2:53 PM

    Election Week SPX Expirations on Monday, Wednesday and Friday, with Higher Implied Volatility for SPX Puts on Nov. 9

    Election Week SPX Expirations on Monday, Wednesday and Friday, with Higher Implied Volatility for SPX Puts on Nov. 9

    In the October 22 Striking Price column in Barron’s, Steve Sears wrote --“keep an eye on the CBOE Volatility Index, or VIX. Already, some investors are preparing for significant volatility around the Nov. 8 election. Investors recently bought about 6,000 VIX Nov. 30 calls and about 9,000 Nov. 17 calls.” IMPLIED VOLATILITY FOR S&P 500 PUTS  The table below shows samplings of implied volatility estimates for S&P 500 2100 options with select expiration dates. The Monday,[...]

  • Market News | Election & VIX | Oct 7, 2016, 1:04 PM

    Will VIX Futures Prices Move During the Sunday Night Debate?

    Will VIX Futures Prices Move During the Sunday Night Debate?

    On the night of September 26 a debate-record 84 million people tuned in to watch the first of three U.S. Presidential debates. During the debate there were movements in the prices of futures on the CBOE Volatility Index® (VIX®), S&P 500® futures, and the Mexican peso (see below for a chart and more information). If you would like to follow the movements of VIX futures during the upcoming Presidential debate from 8:00 to 9:30 p.m. CT this Sunday, October 9, here are three resources[...]

  • Strategy | Cboe Benchmark Indexes | Oct 3, 2016, 2:43 PM

    News Story by Pensions & Investments Highlights Put-write Strategy, PUT Index and New Wilshire Paper

    News Story by Pensions & Investments Highlights Put-write Strategy, PUT Index and New Wilshire Paper

    An October 3 news story - “Funds go exotic with put-write options to stem volatility” - in Pensions & Investments noted that put-write options strategies “are finding their way into more pension fund allocations to protect against volatility and, in some cases, take the place of fixed income as an income provider.”  The news story noted that a new paper by Wilshire -- Three Decades of Options-Based Benchmark Indices with Premium Selling or Buying: A Performance Analysis[...]

  • Market News | Education | Strategy | Election & VIX | Sep 30, 2016, 2:28 PM

    More SPXW and VIX “Election Spread” Expiration Dates for Targeted Strategies

    More SPXW and VIX “Election Spread” Expiration Dates for Targeted Strategies

    As the November 8 date for the U.S. Presidential election approaches, I have heard quite a bit of interest from investors in the use of SPX and VIX options and VIX futures with various expirations over the next six weeks.  Added expiration dates provide investors with the opportunity to implement more targeted buying, selling, hedging and spreading strategies. As shown in the two tables below, a September 28 CBOE Circular, and on cboe.com, by the end of next week there will be SPXW option expirations[...]

  • 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[...]

  • 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[...]

  • Market News | VIX | Futures | Aug 31, 2016, 4:21 PM

    Sept. 22 Webinar - Institutional Investors and Case Studies on Use of the VIX

    Sept. 22 Webinar - Institutional Investors and Case Studies on Use of the VIX

    On Thursday, September 22 at 2:00 p.m. E.T., S&P Dow Jones Indices and CBOE will co-host a complimentary webinar for financial professionals on the topic of -- How are Institutional Investors Using the VIX®?  Financial professionals who wish to register and see more information are welcome to visit this link -- http://bit.ly/VIX-Sep22. Featured institutional investor speakers will be: (1) John Burkhartzmeyer, State of Wisconsin Investment Board (SWIB); (2) Scott Maidel, CFA, CAIA,[...]

  • Market News | Futures | Strategy | Aug 17, 2016, 1:14 PM

    Successful Launch for New SPX Monday-Expiring Weeklys Options

    Successful Launch for New SPX Monday-Expiring Weeklys Options

    On August 15 CBOE launched trading of the new S&P 500® Index (SPX) Monday-expiring Weeklys options. Daily trading volume for the new SPX Monday Weeklys in the first two days was 4,334 on August 15, and 10,829 on August 16. Institutional investors have told me that the SPX Monday Weeklys could have potential to be very helpful to them in managing their over-the-weekend risk. SPX Weeklys are one of CBOE’s fastest-growing products, with volume in 2015 setting a 10th consecutive annual[...]

  • Market News | Aug 12, 2016, 12:43 PM

    VIX Futures Record Open Interest of 543,192, as VIX Index Hits 2-Year Low

    VIX Futures Record Open Interest of 543,192, as VIX Index Hits 2-Year Low

    On August 5 the CBOE Volatility Index® (VIX®) closed at 11.39 (its lowest daily close in more than two years) and the VIX futures established a new all-time record high open interest of 537,201. On August 9 the VIX Index closed at 11.66, and the VIX futures open interest hit a new all-time record of 543,192.  RELATIONSHIP BETWEEN VIX INDEX AND OPEN INTEREST While many market watchers believe that trading activity often picks up at times when volatility and the VIX Index rise, it[...]

  • Market News | Trader Talk | Aug 11, 2016, 4:54 PM

    New SPX Monday-Expiring Weeklys Options To Launch on August 15

    New SPX Monday-Expiring Weeklys Options To Launch on August 15

    CBOE plans to list S&P 500® Index (SPX) Monday-expiring Weeklys options, beginning August 15, pending regulatory approval. SPX Weeklys are one of CBOE’s fastest-growing products, with volume in 2015 setting a 10th consecutive annual record. With the expected introduction of SPX “Monday Weeklys,” CBOE will offer SPX options with Monday, Wednesday and Friday expirations. AVAILABLE EXPIRATIONS The table below shows the S&P 500 options expirations (through Sept. 9) that[...]