• VIX | Apr 22, 2018, 8:41 AM

    Introducing the Cboe One-Year Volatility Index

    Introducing the Cboe One-Year Volatility Index

    April 2018 marks the 25th anniversary of the introduction of the Cboe Volatility Index® (VIX® Index) and during this month, information about the history of the VIX Index and the introduction of tradeable VIX products has been shared. Twenty-five years after the launch of the VIX Index (which measures 30-day expected volatility of the S&P 500 Index), Cboe introduced a new volatility index – the Cboe One-Year Volatility IndexSM (ticker: VIX1Y) – that measures that one-year[...]

  • Apr 17, 2018, 9:28 AM

    Cash-Secured Put Writing Webcast on April 18th

    Cash-Secured Put Writing Webcast on April 18th

    At 1:00 pm C.T. on Wednesday, April 18th, three speakers in a Cboe webcast will discuss Accessing the Volatility Risk Premium with Cash-Secured Put Writing. To register for the webcast, please visit - http://bit.ly/Webcst-PutWrite-Apr-2018 . Topics to be discussed include: • Is now a good time to consider option-writing? • Has there been a volatility risk premium that can facilitate enhanced risk-adjusted returns for index options-selling strategies? • Do put-selling strategies have[...]

  • VIX | Apr 13, 2018, 9:19 AM

    Volatility Linked ETPs Performance for 2018

    Volatility Linked ETPs Performance for 2018

    Earlier this week, ETF.COM posted an article identifying the best performing Exchange Trade Products for 2018 through April 10th.  The list is top heavy with volatility linked ETPs, including those that provide investors with long exposure to a volatility index strategy as opposed to a short strategy.  The Top 10 performers as of April 10th appear on the table below.   Source:  ETF.COM Click here to read Summit Roy’s summary of ETF / ETN performance for 2018 through[...]

  • VIX | Apr 6, 2018, 2:08 PM

    Cboe Declares April VIX Month

    Cboe Declares April VIX Month

    Cboe began publishing the Cboe Volatility Index (VIX Index) in April 1993. As part of our month-long celebration, we’re putting together special content highlighting the index. On Monday, we shared the 1993 press release announcing the real-time dissemination of the VIX Index. The April 1993 release ends by noting the 20th anniversary of Cboe, meaning this month, we’ll celebrate the company’s 45th anniversary! On Tuesday, we shared “Cboe VIX: By the Numbers,” which[...]

  • VIX | Apr 3, 2018, 8:38 AM

    Seven Charts for the 25th Anniversary of VIX Index

    Seven Charts for the 25th Anniversary of VIX Index

    This week Cboe is launching a month-long celebration of the 25th anniversary of the introduction of the Cboe Volatility Index® (VIX® Index), which Cboe began publishing in April 1993.  The creation of the VIX Index is one of the most significant innovations of the modern financial marketplace. Over the last 25 years, the VIX Index has grown to become the world’s accepted measure of market volatility, a gauge that is accessed day and night by investors worldwide. Below are seven[...]

  • VIX | Apr 2, 2018, 8:10 AM

    A Look Back at Volatility Across All Financial Markets

    A Look Back at Volatility Across All Financial Markets

    In what felt like the blink of an eye, the first quarter of 2018 is now behind us.  We finally got some excitement in the volatility space with VIX rising to levels not seen in a couple of years.  After the absolute dud that was 2017, as far as market volatility goes, this was a positive turn of events for those of us that had tired of talking about low volatility and how VIX was not broken, but just reflecting the market environment.  I spent last week on an actual vacation and as[...]

  • Mar 28, 2018, 9:46 AM

    Brackets and Defense – Indexes that Bought VIX Calls - LOVOL and VXTH - Had Lower Standard Deviations

    Brackets and Defense – Indexes that Bought VIX Calls - LOVOL and VXTH - Had Lower Standard Deviations

    Over the past two months, there has been increased interest in: (1) portfolio protection strategies (2) learning more about prudent uses of VIX® futures and options, and (3) following brackets. To tie all these topics together, below is a new bracket with 8 benchmark indexes that shows that two indexes that buy VIX call options (LOVOL and VXTH) had the lowest standard deviations over the past decade. DESCRIPTIONS OF FOUR CBOE BENCHMARK INDEXES THAT USE VIX FUTURES AND/OR VIX OPTIONS While the[...]

  • VIX | Trader Talk | Trade Ideas | Mar 17, 2018, 3:40 PM

    Weekend Review of VIX Options and Futures March 16th 2018

    Weekend Review of VIX Options and Futures March 16th 2018

    VIX gained a bit (about 8%) last week as the S&P 500 was under pressure.  The curve shifted in a pretty uniform manner with March adding just over 3% as contango was fairly steep on Friday the 9th.  As a friendly reminder, March contracts settle on the open this coming week.  Short volatility has gotten bad rap lately due to recent price action.  However, short volatility, when done in a risk controlled manner, can be a viable trading strategy all types of markets. [...]

  • Mar 17, 2018, 1:29 PM

    Weekend Review of Russell 2000 Options and Volatility - March 16th 2018

    Weekend Review of Russell 2000 Options and Volatility - March 16th 2018

    The Russell 2000 (RUT) experienced a small shining moment to celebrate the first week of March Madness.  For the first time in recent memory RUT has the year to date performance lead over the large cap focused Russell 1000 (RUI).  This lead was created by small caps holding up better than large cap stocks last week as RUT dropped 0.69% and RUI was down over 1%.  The Russell 2000 Volatility Index (RVX) versus VIX relationship spent some time in uncharted territory for a while this[...]

  • Mar 16, 2018, 12:40 PM

    Ripple Effect: Volatility Spread Opportunity VIX® vs. RVX℠ Index Futures

    Ripple Effect: Volatility Spread Opportunity VIX® vs. RVX℠ Index Futures

    The Cboe Volatility Index® (VIX® Index) is widely considered the proxy for market sentiment in the U.S. equity market.  VIX measures the 30 day expected volatility on the S&P 500® Index (SPX).  Cboe’s Russell 2000 Volatility Index℠ (RVX℠) applies the same methodology for calculating 30 day anticipated volatility, but it uses Russell 2000 Index options. (RUT).  As such, RVX is considered the benchmark proxy for 30 day expected volatility of U.S. Small-caps. During[...]

  • Mar 12, 2018, 8:32 AM

    Money Flows Remain Robust into Stocks

    Money Flows Remain Robust into Stocks

    As the seasonally strong March period is now in full gear for stocks, I cannot help but wonder whether the highly volatile period of February will continue.  That is a big question, and has many on the sidelines wondering if the roller coaster ride may begin again.  As we watch the action day by day, we have seen some very choppy price movement, which is typical after such a volatile run. The market is trying to discover price, and with such dramatic movements and wide ranges it takes[...]

  • VIX | Trader Talk | Trade Ideas | Mar 11, 2018, 11:44 AM

    Weekend Review of VIX Options and Futures March 9th 2018

    Weekend Review of VIX Options and Futures March 9th 2018

    The 25% drop in VIX last week may seem extreme, but it isn’t even in the top 10 of weekly losses for VIX (it is 11th).  The all-time record was the last week in June 2016 with a 42% week over week loss.  Note the big drop in futures along with a return to contango.    And now a whale update.  Before getting into this trade here’s a little background. The first part of the story begins on Friday July 21st when a trade was initiated that sold 1 VIX Oct 12 Put for[...]

  • VIX | Trader Talk | Trade Ideas | Mar 11, 2018, 10:33 AM

    Weekend Review Russell 2000 Options and Volatility March 9th 2018

    Weekend Review Russell 2000 Options and Volatility March 9th 2018

    Stocks had a great week last week with the Russell 2000 (RUT) gaining over 4% and Russell 1000 (RUI) rising about 3.5%.  For the year RUT is up 4.01% while RUI is up 4.16%.  As you can see below small caps took the 2018 performance lead for a day last week.  The magnitude of the gain of over 4% for RUT this week is becoming commonplace.  Four of the nine weekly moves for RUT in 2018 have been outside of +/- 3% while there were no moves greater than +/-3% in 2017.  Welcome[...]

  • Cboe RMC | Mar 8, 2018, 6:32 PM

    Behavioral Finance Discussion at Cboe RMC

    Behavioral Finance Discussion at Cboe RMC

    Stacey Gilbert from Susquehanna and Ilya Feygin from WallachBeth Capital teamed up to talk about Behavioral Finance at Cboe RMC today in Bonita Springs, FL.  Stacey started out with an experiment discussing certain and probable wins and losses.  The point was to show that the expected rationality of decisions breaks down in certain situations.  She then mentions Prospect Theory which is basically the study of how people made decisions.  Specifically, she talked about loss aversion. [...]

  • Cboe RMC | Mar 8, 2018, 11:55 AM

    Louis Gave discusses China, the Dollar, and Recent Market Action at Cboe RMC

    Louis Gave discusses China, the Dollar, and Recent Market Action at Cboe RMC

    Louis-Vincent Gave from Gavekal in Hong Kong delivered a speech called Market Movers:  The Structure and the Cycle in 2018.  He starts out saying he’s often been depicted as a China perma-bull.  He notes that when considering an investment, you need to look into people’s incentives.  In China the recent party congress dictated that the focus is shifting from economic growth to being more aware of healthcare, housing, and the environmental impact of decisions. [...]

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