• 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. [...]

  • Cboe RMC | Mar 8, 2018, 9:51 AM

    Highlights from Fireside Chat with Cameron and Tyler Winklevoss at RMC

    Highlights from Fireside Chat with Cameron and Tyler Winklevoss at RMC

    Paul Stephens from Cboe conducted a fireside chat with Cameron and Tyler Winklevoss covering their insights into Bitcoin and Bitcoin XBT futures that were listed at the Cboe Futures Exchange in December 2017.   They started out discussing Bitcoin and blockchain technology.  They often refer to Bitcoin as Gold 2.0 and noted that the CFTC has declared bitcoin as a commodity.  Some background was given with respect to the creation of the Gemini Trust, it was noted that it took[...]

  • VIX | Cboe RMC | Mar 8, 2018, 8:23 AM

    Cboe Chairman and CEO Ed Tilly Kicks Off Day Two of Cboe RMC, Provides Thoughts on VIX, Volatility and Risk Management

    Cboe Chairman and CEO Ed Tilly Kicks Off Day Two of Cboe RMC, Provides Thoughts on VIX, Volatility and Risk Management

    Day two of Cboe RMC U.S. 2018 kicked off with Ed Tilly, Chairman and Chief Executive Officer of Cboe Global Markets, welcoming approximately 300 attendees to this year’s event, the 34th annual Cboe Risk Management Conference. Given the recent return of volatility to the marketplace, Tilly focused his remarks on volatility, Cboe’s VIX Index and risk management.  February 5 was an extreme day in the market.  The Dow and VIX Index experienced record single-day moves.  Exchange[...]

  • Cboe RMC | Mar 7, 2018, 3:02 PM

    Interpreting Volatility-Related Indicators and Determining Courses of Action at Cboe RMC

    Interpreting Volatility-Related Indicators and Determining Courses of Action at Cboe RMC

    Bill Speth from Cboe Global Markets teamed up with Mandy Xu, Chief Equity Derivatives Strategist Credit Suisse, for a session titled Interpreting Volatility-Related Indicators, and Determining Courses of Action.    Bill started out noting that the recent market activity has shown that many people understand volatility, but just as many do not understand volatility.  Cboe is taking on the task of raising the bar to try to educate more market participants on volatility and VIX. [...]

  • Cboe RMC | Mar 7, 2018, 7:23 AM

    New Report Shows Growth Over 17 Years in Number of Funds Using Options

    New Report Shows Growth Over 17 Years in Number of Funds Using Options

    A newly released report found that the number of SEC regulated funds using options rose from 10 in 2000 to 157 in 2017, and that the aggregate amount of assets in the options-based funds has risen to more than $54 billion. The new study, “Performance Analysis of Option-Based Equity Mutual Funds, CEFs and ETFs: An Update” is now available at www.cboe.com/funds  The new white paper updates the original findings of 2014 study of SEC-registered option-based funds, which focus on broad-based[...]

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