The agenda for the Fifth Annual CBOE RMC Europe is available at http://www.cboermceurope.com/. The conference will be held Monday through Wednesday, September 26 - 28, 2016, at the Powerscourt Hotel<http://www.cboermceurope.com/hotel--travel.html>, County Wicklow, Ireland.
Jim VandeHei<http://www.cboermceurope.com/keynote-speaker.html>, Co-founder of POLITICO, will be a keynote speaker, delivering insights and predictions for the U.S. Presidential election.
The CBOE S&P500 95-100 Collar Index (CLL) invests in short S&P 500® (SPX) calls, long SPX puts and long stocks in order to gather premium income and manage downside risk.
The histogram with the S&P 500 and CLL indexes shows that the S&P 500 had 13 months with declines of worse than 8 percent, while the CLL Index had only 1 such month. Certain index options strategies can be used to help manage left tail risk.
The SPX puts at 95 moneyness did help mitigate the downside[...]
CBOE S&P 500 Iron Condor (CNDR) has a data history of more than 30 years, and it engages in call and put options positions in order to gather premium income and manage downside risk.
The histogram with the S&P 500 and CNDR indexes shows that the S&P 500 had 26 months with declines of worse than six percent, while the CNDR Index had 10 such months. Certain index options strategies can be used to help manage left tail risk.
The CNDR Index tracks the performance of a hypothetical option[...]
CBOE recently announced that it plans to list S&P 500® Index (SPX) Monday-expiring Weeklys options, beginning August 15, pending regulatory approval. With the expected introduction of SPX "Monday Weeklys," CBOE will offer SPX options with Monday, Wednesday and Friday expirations.
SPX Weeklys are one of CBOE's fastest-growing products, with volume in 2015 setting a 10th consecutive annual record. The chart below shows that SPX Wednesday-expiring weekly options set new volume[...]
On April 29, 2016, Morningstar added a new Option Writing category to its U.S Retail Category system, and the Category Index is the CBOE S&P 500 BuyWrite Index (BXM).
In the May 7, 2016, Striking Price column in Barron’s, Steve Sears wrote --
"...THE OPTIONS INDUSTRY has taken a major step onto Main Street. Morningstar, which millions of individuals rely upon to evaluate mutual funds, has created a category for options-trading funds. The significance of this can’t be overstated.[...]
A 2011 paper by the consulting firm Cambridge Associates - Highlights from the Benefits of Selling Volatility – noted that --
“Over the past 20 years, a strategy of systematically selling out of the money puts and calls on the S&P 500 Index (a short strangle portfolio) would not only have soundly beaten equity returns with lower volatility, but also offered similar returns to the median hedge fund manager tracked by Cambridge Associates, albeit with slightly higher volatility …”
[This is the fifth in a series of nine blogs to be published in early July at the CBOE Options Hub on nine CBOE benchmark indexes which have price histories that begin on June 30, 1986.]
In recent years I have heard from some money managers that the put-spread collar strategy is becoming more popular, and in 2015 CBOE introduced the CBOE S&P 500 Zero-Cost Put Spread Collar Index (CLLZ). The CLLZ Index now has more than 30 years of price history.
FEWER BIG DOWNSIDE MOVES FOR CLLZ
[This is the fourth in a series of nine blogs that are being published in early July at the CBOE Options Hub on nine CBOE benchmark indexes which have price histories that begin on June 30, 1986, more than three decades ago.]
Over the past thirty-year time period (ending June 30) the CBOE S&P 500 30-Delta BuyWrite Index (BXMD) rose 1955%, with higher returns and lower volatility than the S&P 500®, MSCI EAFE®, and S&P GSCI indexes.
Note in the line chart below that the BXMD index[...]
A recent piece in the Wall Street Journal noted that –
“The yield on the benchmark 10-year U.S. Treasury note fell to its lowest level ever Tuesday, a new milestone in a three-decade downward run that even veteran traders never thought would go so far or last so long. The yield closed below 1.4% for the first time … according to data going back to 1977. The question now is how low can they go. Investors buying Treasurys now are taking big risks, as prices of longer-term debt can[...]
[This is the third in a series of nine blogs to be published in early July at the CBOE Options Hub on nine CBOE benchmark indexes which have price histories that begin on June 30, 1986, more than three decades ago.]
When a novice investor asks me to describe an options strategy, I often use an insurance analogy – millions of people buy insurance policies and pay premiums to insure their autos and homes against disasters, and equity options investors pay premiums to mitigate downside equity[...]
This is the second in a series of nine blogs to be published in early July at the CBOE Options Hub on nine CBOE benchmark indexes which have price histories that begin on June 30, 1986, three decades ago.]
Over the past three decades the CBOE S&P 500 Iron Butterfly Index (BFLY) demonstrated the ability to help manage drawdowns and left tail risk.
The BFLY Index is designed to track the performance of a hypothetical option trading strategy that 1) sells a rolling monthly at-the-money (ATM) S&P[...]
[This is the first in a series of nine blogs to be published in early July at the CBOE Options Hub on nine CBOE benchmark indexes which have price histories that begin on June 30, 1986, three decades ago.]
The CBOE S&P 500 PutWrite Index (PUT) –
is an award-winning benchmark index for a strategy that has grown in popularity over the past decade;
arguably is the world’s best-known and leading gauge of the cash-secured put-writing strategy;
has facilitated increased use of cash-secured[...]
Here are mid-year updates on benchmark indexes and volatility indexes at CBOE –
(1) Nine CBOE benchmark indexes all have had less volatility than key stock indexes over the last three decades;
(2) The highest daily closing values for select volatility indexes so far this year were 28.14 on Feb. 11 for the VIX Index, and 125.13 on June 24 for the VVIX Index. The CBOE/CME FX British Pound Volatility Index (BPVIX) rose prior to the Brexit referendum, and its daily closing values had a big range[...]
On June 28 the CBOE SKEW Index rose to 153.66, the all-time high for its price history that began in January 1990.
Here are the relatively high values for the CBOE SKEW Index in recent days --
Volatility in the many worldwide markets shot up last week, which has left investors looking for the better ways to manage risk. Some investors still have the misconception that all options strategies are more risky than common stock and bond strategies, but the histogram analysis below shows that nine CBOE benchmark indexes have less left tail risk than the S&P 500® total return index since mid-1986. A total of 9 histograms were created, directly comparing the monthly returns of the PUT,[...]
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