• Jun 20, 2018, 9:56 AM

    Big Volume for VIX Futures during Global Trading Hours (GTH) on June 19

    Big Volume for VIX Futures during Global Trading Hours (GTH) on June 19

    Estimated volume for futures on the Cboe Volatility Index® (VIX®) during Global Trading Hours (GTH) rose to more than 79,000 contracts on June 19, making the GTH session one of the busiest on record. VIX futures often are used for portfolio management purposes in times of financial market uncertainties, and the financial markets recently have digested news about tariffs and possible trade wars, and a recent headline at wsj.com noted “Markets Begin to Take Threat of Trade War Seriously.” VIX[...]

  • Jun 15, 2018, 11:32 AM

    Smoother Returns and Less Severe Drawdowns with VIX Call Options and the VXTH Index

    Smoother Returns and Less Severe Drawdowns with VIX Call Options and the VXTH Index

    Is there more interest in hedging and protecting portfolios in 2018? The May 31st Striking Price column in Barron’s noted -- “Investors Return to Hedging in Volatile Times.  Traders leery of sharp declines after a wild few months in the U.S. equity markets could spring for stock hedges through options.  …  This year, trade tensions and other geopolitical problems appear more likely to sway stocks, in sharp contrast to the placid markets of 2017.  … “ Investors[...]

  • May 22, 2018, 2:25 PM

    Spotlight: Russell 2000 Outperformance & Options Strategies

    Spotlight: Russell 2000 Outperformance & Options Strategies

    U.S. Small-caps vs. Large-caps U.S. small-cap stocks are leading the equity markets year-to-date.  The Russell 2000 Index, widely viewed as the bellwether for measuring the performance of small-cap stocks has risen 5.62% in 2018 compared to a rise of 1.54% for the U.S. large-cap Russell 1000 Index.  Several factors may potentially be contributing to the small-cap outperformance, including: Revenues – Majority of small companies derive revenues from domestic activities Trade[...]

  • 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[...]

  • Oct 23, 2017, 8:47 AM

    Volatility: VIX Shows As Much Greed as it Does Fear

    Volatility:  VIX Shows As Much Greed as it Does Fear

    Many call the VIX (volatility index) the 'fear gauge', but it is just as good at measuring greed.  For years the VIX has been in a solid downtrend, this can be tracked from the peak in 2008 when the fear gauge reached the 90's.  This indicator, created by Bob Whaley in the early 1990's had never reached that level, but some back-testing probably put the VIX at 150 during the crash in 1987 (this past week was the 30th anniversary of this 'momentous' event). So, when the VIX is in a solid[...]

  • Oct 2, 2017, 1:47 PM

    Current Dynamics of the VIX Market Discussed by Panel in NYC

    Current Dynamics of the VIX Market Discussed by Panel in NYC

    On September 27 in New York City, fifty financial professionals attended a panel discussion on Current Dynamics of the VIX Market. SPEAKERS I moderated the session that featured expert speakers Bob Dwyer of ProShares; Aymen Boukhari of Societe Generale, Joanne Hill of CBOE Vest Financial; and Vinit Srivastava of S&P Dow Jones Indices.     SOME OF THE TOPICS AND ISSUES DISCUSSED Among the topics discussed were investor strategies and recent volume records for VIX futures[...]

  • Sep 26, 2017, 3:51 PM

    New Daily Volume Record of 2.61 Million for VIX Options, as Investors Engage in Hedging and in Short VIX Futures Trades

    New Daily Volume Record of 2.61 Million for VIX Options, as Investors Engage in Hedging and in Short VIX Futures Trades

    On September 25th a new daily volume record of 2.61 million contracts was set for options on the CBOE Volatility Index® (VIX®), as the VIX Index rose 6.5% to close at 10.21 that day. TOP TEN VOLUME DAYS FOR VIX OPTIONS Four of the top ten days for VIX options volume occurred in 2017. NEWS COVERAGE OF TRADING ACTIVITY IN VIX OPTIONS AND VIX FUTURES Recent news coverage has highlighted investor use of both VIX options and VIX futures. A September 25 news story in Reuters entitled “VIX[...]

  • Apr 27, 2017, 2:08 PM

    Spring’s Blooming Int’l Equity Markets (2017)

    Spring’s Blooming Int’l Equity Markets (2017)

    Spring has arrived and our home town Chicago baseball teams (Cubs & White Sox) lead their respective Central Divisions.  Likewise the Chinese and Emerging equity markets have also taken an early lead in the global economic recovery this year. On April 18, 2017 IMF delivered their World Economic Outlook, a report which raised the global economic outlook in 2017 to 3.5% and 3.6% in 2018 citing “Stronger activity and expectations of more robust global demand…”  Their[...]

  • Mar 12, 2017, 2:05 PM

    The Weekly Options News Roundup – 3/12/2017

    The Weekly Options News Roundup – 3/12/2017

    The Weekly News Roundup is your weekly recap of CBOE features, options industry news and VIX Index and volatility-related articles from print, broadcast, online and social media outlets.      CBOE RMC U.S. Wrap-UP The 33rd annual CBOE Risk Management Conference (RMC) wrapped up another successful year. Over 300 financial professionals gathered in Dana Point, California to discuss the latest trends in equity derivatives, options and volatility trading, and risk management[...]