After the results of the Brexit referendum were announced , the values of several volatility indexes at CBOE shot up, indicating that overall implied volatility had increased for many securities worldwide. A key issue for some cautious investors who want to hedge is – what are the implied volatilities for various out-of-the-money (O-T-M) put options that can be used to hedge my portfolio?
Below are Livevol skew charts for four key securities – SPX, RUT, EFA, and FXB –[...]
After the news of the results on the Brexit referendum were disclosed, implied volatility for many key securities worldwide rose, and the values of 14 volatility indexes at CBOE – (tickers: VXEFA, JYVIX, EVZ, VXO, VIX®, VXN, VXGS, VXXLE, VXD, EUVIX, VXIBM, VXST, VXGOG, and RVX) – rose by more than 10% by 9 am CT on Friday, June 23.
To see updates on price movements for 29 volatility indexes, visit www.cboe.com/volatility.
FUTURES ON VIX® INDEX
Reported trading volume in VIX[...]
On February 23, 2016, CBOE launched trading of weekly options on the S&P 500® Index which expire on Wednesdays.
The average daily volume for SPXW Wednesday-Expiring Weekly Options grew from 74,114 in May, to 105,768 so far this month (through June 14).
POTENTIAL BENEFITS – PRESS RELEASE
CBOE’s February press release noted –
"We are pleased to further expand our SPX product complex with the introduction of SPX Weeklys with Wednesday expirations," said CBOE Holdings[...]
A key topic for global investors today is whether Chinese A-Shares will be added to the popular MSCI Emerging Markets Index on June 14.
A recent news story in the Wall Street Journal noted that --
“MSCI is set to decide this month whether to include in its benchmarks the shares of companies listed on China’s domestic exchanges. U.S. options traders are ramping up bets on the outcome using the biggest exchange-traded fund linked to China. If the MSCI decides to include the stocks, known[...]
Futures on the CBOE Volatility Index® (VIX®), which launched in 2004, experienced some milestones regarding open interest in recent days –
* VIX futures open interest surpassed 500,000 for the first time on June 6;
* VIX Futures open interest hit a new all-time record high of 501,835 on June 7;
* VIX Futures open interest is up 98.7% year-to-date (through June 7).
VIX FUTURES VOLUME DURING EUROPEAN HOURS
VIX futures are available for trading more[...]
On Monday the CBOE/CME FX British Pound Volatility Index (BPVIX) closed at 22.59, its highest daily close since March 2009, and the BPVIX Index has risen 161.8% so far this year (through June 6). A number of news articles have noted that the implied volatility for British Pound has risen during the past month because of concern about the upcoming June 23 Brexit referendum.
Recent headlines for news stories included (1) “Pound Falls, Volatility Jumps as Polls Show Momentum for Brexit”[...]
In February CBOE launched S&P 500® Index (SPX) Wednesday-expiring WeeklysSM options. Last month the average daily volume for the "Wednesday Weeklys" rose to a record high of 72,957 contracts.
In the February press release CBOE Holdings CEO Edward T. Tilly said –
"We are pleased to further expand our SPX product complex with the introduction of SPX Weeklys with Wednesday expirations. Wednesday Weeklys, in addition to end-of-the-week expirations, will increase opportunities[...]
In a key development during the past week, Morningstar placed dozens of mutual funds in its new Option Writing category in its U.S Retail Category system.
LESS VOLATILITY FOR BENCHMARK INDEXES THAT WRITE SPX OPTIONS
Morningstar’s Category Index for the new Option Writing category is the CBOE S&P 500 BuyWrite Index (BXM). There are some people who still wonder if use of options usually adds to volatility, and if option writing strategies always have lower returns than equity indexes[...]
In my opinion, the launch of a new Option Writing category by Morningstar this week has tremendous potential to boost long-term interest in and acceptance of options-based strategies by portfolio managers, financial advisers, and consultants.
On April 29, 2016, Morningstar is adding 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).
BACKGROUND ON DEVELOPMENTS IN PAST YEARS
Over the past decade I have spoken to numerous[...]
Last week the first couple of trades were executed in the new CBOE FLEX® index options with Asian-style settlement. Open interest for the new CBOE Asian-style FLEX options has grown to more than 680 contracts, representing notional value of more than $6 million..
A recent article at EQDerivatives.com noted that –
“An insurance firm has traded the first listed Asia-style flexible exchange option, which were listed on the Chicago Board Options Exchange last month. Agency only broker[...]
Last week the open interest for call options on the CBOE Volatility Index® (VIX®) surged to more than 7.5 million contacts (see chart below).
In a recent article at Bloomberg.com, reporters Joseph Ciolli and Inyoung Hwang wrote –
“Going long market turbulence has surged in popularity in the last nine weeks, with investors sending an unprecedented $3.2 billion into securities that reap gains from wider price swings. That pushed shares outstanding on exchange-traded notes[...]
Here is an update on the status of fiduciary rules recently finalized by the Department of Labor (DOL).
PROPOSED DOL REGS IN APRIL 2015
The DOL proposed on April 14, 2015 sweeping new regulations governing retirement accounts and IRAs which would exclude listed options and futures as permissible investments.
FINAL DOL REGS IN APRIL 2016
On April 6, 2016, the DOL released its final Conflict of Interest Rule and related exemptions, which are available at http://www.dol.gov/ebsa/regs/conflictsofinterest.html.
In 2011 I received an email from an experienced options manager that stated --
“The introduction of BXM by the CBOE and the exchange’s continued support has created a new covered call asset class that fits well into the move to lower volatility equity products. BXM gives us a much better accepted benchmark than is available in the Low Vol equity world. We have been getting a lot interest, RFP’s etc. as consultants and institutional investors accept the notion of lower[...]
CHICAGO, IL -- April 13, 2016 -- Chicago Board Options Exchangeâ (CBOEâ) today announced it has created a series of 13 “Buffer Protect Indexes,” the first in a family of options-based strategy performance benchmarks that are designed to target the outcomes of specific investment strategies.
The CBOE S&P 500 Buffer Protect Indexes measure the performance of a hypothetical portfolio of S&P 500® Index (SPX) FLexible EXchange® (FLEX) options designed to provide[...]
Presentations and a panel discussion on the topic of - Accessing the Volatility Risk Premium with Cash-Secured Put Writing will occur on Tuesday March 22, 2016 from 5:00 PM to 6:45 PM at Chicago Board Options Exchange (CBOE), 400 So. La Salle St., (enter on Van Buren Street), Chicago, 60605 http://bit.ly/CAIA-March22
Issues to be discussed include –
Has there been a Volatility Risk Premium that can facilitate enhanced risk-adjusted returns for index options-selling[...]
Futures questions? Get answers at TD Ameritrade.Free futures education and specialists available day and night.
New TradeStation Pricing. $5/Trade + $0.50 Per Contract for Options. Open an Account.