Education Archives - Cboe Blogs

  • Technical Analysis & Charts | Education | Mar 6, 2015, 2:30 PM

    Discussion of Risk Premia and Volatility Selling Strategies

    Discussion of Risk Premia and Volatility Selling Strategies

    Can volatility-selling strategies deliver superior risk-adjusted returns over the long term, particularly in light of the fact that index options generally have been richly priced? On Friday at the CBOE Risk Management Conference (RMC), presentations on Risk Premia and Volatility Selling Strategies were delivered by Donald Pierce, CFA, Chief Investment Officer, San Bernardino County Employees' Retirement Association, and Defina Maluki, Portfolio Manager, Barclays Wealth and Investment Management. BENCHMARK[...]

  • VIX | Trader Talk | Education | Mar 6, 2015, 2:00 PM

    Correlation Between Stocks and Sectors Discussion at RMC

    Correlation Between Stocks and Sectors Discussion at RMC

    Jason Goldberg, Portfolio Manager at PIMCO and Marko Kolanovic, Global Head of Quantitative and Derivatives Strategy from JP Morgan teamed up this morning atCBOE's Risk Management Conference (RMC) in Carlsbad, CA for a presentation billed as Correlation Between Stocks and Between Sectors. This presentation was a combination of educational and informative, discussing what traders can learn from trading in correlation and dispersion along with analysis of recent correlations across different markets. Jason[...]

  • Trader Talk | Education | Futures | Mar 5, 2015, 7:57 PM

    Plan Fiduciaries Discuss Trends in Institutional Options and Volatility Product Usage

    Plan Fiduciaries Discuss Trends in Institutional Options and Volatility Product Usage

    On Thursday at the 31st CBOE Annual Risk Management Conference in Carlsbad, Colin Bebee of Pension Consulting Alliance (PCA) moderated a Panel on Trends in Institutional Options and Volatility Product Usage. A pension fund sponsor on the panel noted that his fund made an allocation to the CBOE S&P 500 BuyWrite Index (BXM), and in the future his fund could consider cash-secured put writing. The Risk/Return Trade-off chart (from the January 2015 paper at www.cboe.com/funds) shows strong risk-adjusted[...]

  • The Art of Hedging Discussed at RMC

    The Art of Hedging Discussed at RMC

    The last presentation of the day today at CBOE’s Risk Management Conference also turned out to be one of the best. Boris Lerner, Head of US Quantitative and Derivative Strategies at Morgan Stanley and Arie Aboulafia, Senior Portfolio Manager from Capstone Investment Advisors teamed up to discuss “The Art of Hedging”.  Many market participants have forgotten that there is a non-quantitative aspect to investing and trading since the industry has become so quantitative. This session[...]

  • Technical Analysis & Charts | Education | Mar 5, 2015, 9:35 AM

    Options-Based Funds Had Lower Standard Deviation Over the Past 15 Years

    Options-Based Funds Had Lower Standard Deviation Over the Past 15 Years

    On Wednesday at the 31st Annual CBOE Risk Management Conference, a joint presentation on a new study was delivered by Keith Black, Ph.D., CAIA, CFA, Managing Director, Curriculum and Exams, Chartered Alternative Investment Analyst (CAIA) Association.  (Edward Szado, Assistant Professor of Finance, Providence College was scheduled to be on the panel with Dr. Black, but was delayed by weather on the East Coast and unable to attend). Early this year Dr. Black and Dr. Szado published their new groundbreaking[...]

  • Technical Analysis & Charts | VIX | Education | Mar 4, 2015, 8:15 PM

    BXY and PUT Indexes - Lower Standard Deviation and Higher Return Over the 26.5 Years

    BXY and PUT Indexes - Lower Standard Deviation and Higher Return Over the 26.5 Years

    On Wednesday at the 31st Annual CBOE Risk Management Conference, a presentation on a new study was delivered by Keith Black, Ph.D., CAIA, CFA, Managing Director, Curriculum and Exams, Chartered Alternative Investment Analyst (CAIA) Association.  (Edward Szado, Assistant Professor of Finance, Providence College was scheduled to appear with Dr. Black but was delayed by bad weather). Early this year Dr. Black and Dr. Szado published their new groundbreaking study - Performance Analysis of Options-Based[...]

  • Market News | VIX | Trader Talk | Education | Mar 4, 2015, 6:45 PM

    CBOE Risk Management Presentation - Arbitraging Volatility Estimates

    CBOE Risk Management Presentation - Arbitraging Volatility Estimates

    The 31st edition of the CBOE Risk Management Conference kicked off today with a very educational session from Bruno Dupire who is the Head of Quantitative Research at Bloomberg. His discussion centered on trading volatility which is a core theme of many presentations that will be given over the next few days here in Carlsbad. The timing of Dupire going first at the conference was perfect as his sessions are always as educational as they are informative.  (The Twitter handle for this conference[...]

  • Technical Analysis & Charts | Education | Mar 4, 2015, 6:00 PM

    Berlinda Liu on Deciphering VIX Futures Term Structure

    Berlinda Liu on Deciphering VIX Futures Term Structure

    On Wednesday at the 31st Annual CBOE Risk Management Conference in California, Ms. Berlinda Liu, Director of Index Research and Design, S&P Dow Jones Indices, delivered a presentation entitled Deciphering VIX Futures Term Structure. In her presentation Ms. Liu noted that -- When VIX is in Contango, the term structure is upward sloping; Shorter-term futures are cheaper than longer-term futures; Long positions suffer from roll cost; and Short positions collect positive carry. When VIX is in Backwardation,[...]

  • Trader Talk | Education | Strategy | Mar 4, 2015, 5:30 PM

    Presentation on Backtesting Strategies at RMC Today

    Presentation on Backtesting Strategies at RMC Today

    This afternoon at the CBOE Risk Management Conference in Carlsbad, CA Amna Qaiser, Portfolio Manager from Goldman Sachs Asset Management and Olivier Sarfati, Head of US Trading Strategies from Citigroup teamed up to discuss backtesting strategies. Backtesting has always been a difficult subject for portfolio managers and traders as backtested results do not always work as well as hoped when the strategy goes live. Qaiser’s part of this session discussed potential pitfalls but also laid out[...]

  • Technical Analysis & Charts | Education | Mar 4, 2015, 3:52 PM

    Samuel Kadziela Delivers Primer on Volatility Analysis and Trading Strategies

    Samuel Kadziela Delivers Primer on Volatility Analysis and Trading Strategies

    On Wednesday at the 31st Annual Risk Management Conference (RMC) in California, Samuel Kadziela, Director of Education at Chicago Trading Company, delivered a presentation entitled Primer on Volatility Analysis and Trading Strategies. Mr. Kadziela noted that -- Realized volatility is the volatility of the underlying contract over some period of time; Implied volatility is derived from the prices of options in the marketplace, and reflects the marketplace’s consensus expectation of future volatility. Traditional[...]

  • Market News | Trader Talk | Education | Mar 4, 2015, 12:30 PM

    Author Zachary Karabell's Keynote Address at RMC

    Author Zachary Karabell's Keynote Address at RMC

    Zachary Karabell delivered the keynote address this morning at the 31st Annual CBOE Risk Management Conference in Carlsbad, CA. Karabell holds the position as President of River Twice Research but is also a prolific writer acting as a contributing columnist to Reuters, The Atlantic, Slate, The Washington Post, Time, and The Wall Street Journal. In the past Karabell has written on a wide variety of topics ranging from religion, history, and politics. His most recently book, The Leading Indicators:[...]

  • Education | Mar 3, 2015, 2:00 PM

    Why Does The Market Have to do 'Something'?

    Why Does The Market Have to do 'Something'?

    I often find myself hearing reasons or rationale for the stock market's movements, which really is just a collection of emotions all packaged together to form a result.  I have to ignore these comments, if I listen too carefully I may get swept up in trying to rationalize the action.   Without trying to be too obvious, too much fear and the market goes down, but too much optimism and the market goes higher.  We can see all of this played out on a chart too, I've said many times a technical[...]

  • Watching Closely Here - Weekly Market Outlook

    Watching Closely Here - Weekly Market Outlook

    Believe it or not, the S&P 500 (SPX) (SPY) lost ground last week. It was a "just barely" situation, and the Russell 2000 (RUT) (IWM) as well as the NASDAQ Composite (COMP) (QQQ) both ended the week higher even with Friday's pullbacks. The across-the-board weakness to close out the week, however, is something to think about even if it's not yet something to worry about. The odds are weighed below. Let's first dissect last week's economic numbers and preview what's coming up this week. Economic[...]

  • VIX | Trader Talk | Education | Futures | Feb 28, 2015, 7:47 AM

    The Week in Volatility Indexes and ETPs - 2/23 - 2/27

    The Week in Volatility Indexes and ETPs - 2/23 - 2/27

    Last week was fairly quiet despite the second revision of GDP coming in a little light. We may see a little more volatility action in the coming week as on Wednesday the ADP Employment Change report is released Wednesday before the open and then the government version of the employment report coming on Friday. Both of these reports are significant as they are a first look at economic activity for February. Despite the S&P 500 losing a little value last week, with Friday to blame, the VXST –[...]

  • Market News | VIX | Trader Talk | Education | Feb 27, 2015, 2:00 PM

    Extended Trading Hours in VIX Options Begin Monday 3.2

    Extended Trading Hours in VIX Options Begin Monday 3.2

    The question we have heard over the last several years was "CBOE VIX Futures have extended trading, when will VIX Options have Extended Trading Hours"? On Monday, March 2nd,  Extended Trading Hours (ETH) for VIX options will launch.  Trading hours will be from 2:00 a.m. to 8:15 a.m. Central Time (“CT”).  Regular VIX trading will resume at 8:30 a.m. and continue until 3:15 p.m. CT. Since June 2014, the trading hours for futures on the CBOE Volatility Index®[...]