• Jul 31, 2018, 8:44 AM

    RVX Index - Waze of the Future

    RVX Index - Waze of the Future

    After making 23 new highs and rallying over 10% in 2018, last Friday’s Russell 2000 price action was telling a story which caught my attention.  The Russell 2000 Index experienced a sharp -2% sell off and broke through the 50 day moving average on higher than normal volume.   Was this simply profit taking?  Cboe’s VIX Index is often times referred to as the “fear gauge” as a measure for the 30 day expected volatility in the S&P 500.  Similarly,[...]

  • Jul 27, 2018, 3:00 PM

    Updated Implied Volatility Charts for SPX, FB, AAPL, AMZN, & GOOG

    Updated Implied Volatility Charts for SPX, FB, AAPL, AMZN, & GOOG

    This past week the financial markets experienced some big earnings announcements, Facebook had the biggest one-day loss of market value by a single company in U.S. stock market history, and Cboe has received more interest in updated volatility charts and analysis. Cboe offers dozens of volatility indexes that serve as leading gauges of investor sentiment, including the VXZN, VXAPL, VXGOG, and VIX® indexes in the sixth chart below. VOLATILITY SKEW CHARTS FOR OPTIONS ON SPX, FB, GOOG, AMZN, &[...]

  • Jul 23, 2018, 11:56 AM

    Cboe’s SPX-Options-Based Benchmark Indexes, with Testimonial, 12 News Clips and White Papers - Catalysts for Growth in Use of Index Options

    Cboe’s SPX-Options-Based Benchmark Indexes, with Testimonial, 12 News Clips and White Papers - Catalysts for Growth in Use of Index Options

    When I worked at investment conferences around the year 2000 and asked attendees about use of listed options, many attendees would say they did not use listed options for a variety of reasons, including perceptions that options were too risky, too complex, too labor-intensive, and/or not well understood.  Since the 2002 launch of the Cboe BXM Index, there has been a tremendous increase in interest in and use of listed options by individual and institutional investors, and there now are more[...]

  • Trader Talk | Cboe Benchmark Indexes | Jul 6, 2018, 3:47 PM

    32 Years of Performance History for 10 Benchmark Indexes That Use S&P 500 Options – Lower Volatility and Enhanced Risk-Adjusted Returns

    32 Years of Performance History for 10 Benchmark Indexes That Use S&P 500 Options – Lower Volatility and Enhanced Risk-Adjusted Returns

    This is the 4th in a series of blogs at www.cboe.com/blogs to commemorate the 35th anniversary of the launch of SPX options on July 1, 1983. #SPX35 In 2001 some portfolio managers who engaged in strategies that used S&P 500® (SPX) options told me that pension fund sponsors suggested that the options industry should develop indexes that could serve as benchmarks for options-based performance. In 2002 Cboe worked with Professor Robert Whaley to introduce the first major benchmark index that[...]

  • Trader Talk | Trade Ideas | Cboe Benchmark Indexes | Jul 5, 2018, 8:06 AM

    Portfolio Protection with Cboe’s S&P 500 Options: Overview of Basic Concepts

    Portfolio Protection with Cboe’s S&P 500 Options: Overview of Basic Concepts

    Many investors are asking questions about how to protect their investment portfolios in light of a number of developments, including (a) the potential for global trade wars, (2) low interest rates for fixed income investments and high price-earnings ratios for key stocks, and (3) the most severe peak-to-trough drawdowns a decade ago were down 51% for the S&P 500 Index, down 62.7% for the MSCI Emerging Markets Index, and down 81% for the S&P GSCI Index.    Strategies using S&P[...]

  • Jul 3, 2018, 12:54 PM

    Growth in Use of S&P 500 Options at Cboe Over 35 Years

    Growth in Use of S&P 500 Options at Cboe Over 35 Years

    Thirty-five years ago, Cboe revolutionized the financial world with the introduction of options on broad-based stock indexes. On July 1, 1983, Cboe launched S&P 500® (SPX) index options with posted volume of 350 contracts. This year the average daily volume for S&P 500 options is around 1.4 million contracts, as many individual and institutional investors now use the contracts for purposes such as portfolio management, hedging, and income generation. Below are eight charts that related[...]

  • Trader Talk | CBOE Memories | Jul 2, 2018, 10:50 AM

    35 Years of S&P 500 Index Options Trading at Cboe

    35 Years of S&P 500 Index Options Trading at Cboe

    Ten years after creating the listed options market in 1973, Cboe revolutionized the financial world once again with the introduction of options on broad-based stock indexes.  On July 1, 1983, Cboe launched trading on S&P 500 Index options (SPX).  In 35 years, Cboe’s SPX options have grown from a modest beginning to the most-actively traded index option in the U.S.         Despite less-than-impressive early volumes – a mere 350 contracts traded[...]

  • Jun 20, 2018, 1:24 PM

    Combining Short VIX Futures and Long VIX Call Options to Create Cboe’s VPN Index, with Performance over 14 Years

    Combining Short VIX Futures and Long VIX Call Options to Create Cboe’s VPN Index, with Performance over 14 Years

    This year we have seen increased interest in learning more about strategies that sell futures on the Cboe Volatility Index® (VIX®). Strategy benchmark indexes can shed light on how hypothetical strategies have performed in different past market environments. The Cboe Capped VIX Premium Strategy Index (VPN) is a strategy benchmark index that (1) sells VIX futures over a money market account, (2) buys VIX call options, and (3) has a price history that begins in June 2004. As shown in the first[...]

  • 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, 1:46 PM

    New Developments MSCI EAFE and EM Options at Cboe -- Tools for Global Portfolio Management

    New Developments MSCI EAFE and EM Options at Cboe -- Tools for Global Portfolio Management

    Investors who want large-sized cash-settled index tools that can help manage global equity risk are exploring use of listed options on the MSCI EAFE® Index (ticker MXEA) and on the MSCI Emerging Markets Index (ticker MXEF). NEW DEVELOPMENTS FOR MXEA AND MXEF OPTIONS Recent new developments include: 1.    NEW LEAD MARKET MAKER. On June 12 Cboe Options Exchange issued a notice stating that the exchange is “pleased to have selected Susquehanna Securities” as the Lead Market[...]

  • 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[...]

  • VIX | Jun 14, 2018, 1:58 PM

    VIX Index Summer Seasonality

    VIX Index Summer Seasonality

    Yesterday, I saw Andrew Thrasher on the TD Ameritrade network talking about VIX Index seasonality and the current level of the VIX Index.  That got me thinking about summertime and the VIX Index (because I think alot about the VIX Index).  It has been a while since I took a look at which months of the year tend to have higher and lower volatiltiy expectations than others.  And since I’d never looked at the summer months versus the rest of the year, I got to crunching some numbers. [...]

  • VIX | Trader Talk | Jun 6, 2018, 2:59 PM

    Bullish VIX Trades from Yesterday

    Bullish VIX Trades from Yesterday

    Yesterday VIX finished the day at 12.40 which is the lowest close since late January. The June VIX futures dropped 0.40 to 13.65 and the July contract closed at 14.50, down 0.25 on the day. With VIX at the lowest levels since before the market action in early February, we actually saw some bullish VIX spread trades come into the pit at the Cboe Options Market. Trade 1 – Fifteen minutes into the day VIX was at 12.59 and the June future at 13.90. There was a buyer of 4500 VIX Jun 14 Calls[...]

  • Market News | Trader Talk | Jun 1, 2018, 11:17 AM

    Russell Index Annual Reconstitution

    Russell Index Annual Reconstitution

    Considering there’s approximately $8.5 trillion in assets benchmarked to the Russell U.S. Indexes, the Russell Reconstitution is a major event.  Each year Russell Indexes are reconstructed to accurately reflect the U.S. equity market and its segments (market cap. & style). Designed to capture changes, the reconstitution accounts for new companies introduced via IPOs, market values of companies increasing/decreasing, share adjustments, etc. Once a year, equity portfolios benchmarked[...]

  • 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[...]

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