Moran-Matt

Matt Moran

Matt Moran is vice president of business development for Chicago Board Options Exchange (CBOE), where he communicates with pension funds, mutual funds, and financial advisors. He has delivered more than 200 presentations worldwide on the topics of managing volatility and adding income with option-writing strategies. Previously, he served trust counsel at Harris Bank and vice president at Chicago Mercantile Exchange. He is an associate editor of two Institutional Investor publications — The Journal of Trading and The Journal of Index Investing. Mr. Moran holds JD and MBA degrees from the University of Illinois.

  • Market News | VIX | Jan 20, 2017, 11:04 AM

    CBOE SKEW Index Tops 140 Two Days in a Row, as Demand for Disaster Protection Increases

    CBOE SKEW Index Tops 140 Two Days in a Row, as Demand for Disaster Protection Increases

    The CBOE SKEW Index (SKEW) values, which are calculated from weighted strips of out-of-the-money S&P 500 options, generally rise to higher levels as investors become more fearful of a negative equity “black swan” event — an unexpected event of large magnitude and consequence. Key facts about recent SKEW values -- TWO DAYS IN A ROW. SKEW closed at 143.43 on January 18, and 141.03 on January 19 (the sixth time in its 27-year history that the index closed above 140 two days in[...]

  • VIX | Futures | 2016 Recap | Jan 9, 2017, 3:26 PM

    Record Volume and Open Interest in 2016 for CBOE Index Products

    Record Volume and Open Interest in 2016 for CBOE Index Products

    CBOE index products continue to attract growing interest from investors who wish to manage the income and volatility in their portfolios. A recent press release by CBOE Holdings noted that -- “… Several trading records were set [in 2016]. Total volume and average daily volume (ADV) in index options trading at CBOE reached new all-time highs for the fourth consecutive year in 2016 with 430.7 million and 1.7 million contracts, respectively, each up 6 percent from 2015. Total volume and[...]

  • Market News | 2016 Recap | Jan 4, 2017, 8:09 AM

    Higher Returns and Lower Volatility for BXMD and PUT Indexes Over 30½ Years

    Higher Returns and Lower Volatility for BXMD and PUT Indexes Over 30½ Years

    Investors now have access to price histories for several CBOE benchmark indexes that date back 30.5 years. The first two charts below show that since mid-1986 both the CBOE S&P 500 30-Delta BuyWrite Index (BXMDSM) and CBOE S&P 500 PutWrite Index (PUTSM) had higher returns than the S&P 500® Index, 30-Year Treasury Bond Index (Citi), MSCI EAFE® Index, and S&P GSCI Index. HIGHER RETURNS AND LOWER VOLATILITY The Annualized Returns and Standard Deviations bar graphs below show[...]

  • Market News | 2016 Recap | Jan 2, 2017, 11:26 AM

    18 Volatility Indexes in 2016: BPVIX Rose 277% before Brexit; VIX Futures Rose 55% on Election Night

    18 Volatility Indexes in 2016: BPVIX Rose 277% before Brexit; VIX Futures Rose 55% on Election Night

    CBOE offers more than 25 volatility indexes<http://www.cboe.com/micro/volatility/introduction.aspx> that can serve as valuable tools for investors who wish to gauge intra-day and long-term sentiment changes related to a variety of asset classes. In addition, investors take long and short positions in futures and options on key volatility indexes. The tables and seven graphs below provide an overview of the 2016 performance of 18 of CBOE’s volatility indexes and the CBOE SKEW Index. Key[...]

  • Cboe Benchmark Indexes | Dec 21, 2016, 11:48 AM

    BXRD Index Is Up 9% since Nov. 8 Election, as CBOE Benchmark Indexes Hit All-time Highs

    BXRD Index Is Up 9% since Nov. 8 Election, as CBOE Benchmark Indexes Hit All-time Highs

    More than fifteen CBOE strategy benchmark indexes (including BXD, BXM, BXMC, BXMD, BXMW, BXR, BXRC, BXRD, BXY, CLL, CLLR, CLLZ, CMBO, PUT, PUTR, RXM, VPD, VPN, and WPUT) hit all-time daily closing highs on December 20. BXRD INDEX As shown in the first graph and table below, the CBOE Russell 2000 30-Delta BuyWrite Index (BXRD) rose 9% since the November 8 U.S. election (through December 20). The relatively strong performance of the BXRD Index over the past five weeks possibly could be attributed[...]

  • Market News | VIX | Trader Talk | Trade Ideas | Dec 16, 2016, 4:04 PM

    Panel on The Growing Role of Predictive Analytics in Investing

    Panel on The Growing Role of Predictive Analytics in Investing

    I had the pleasure of moderating a one-hour panel discussion for more than 60 attendees at CBOE on December 16 featuring these three experts: •        Joe Gits, CFA, CEO and Co-Founder - Social Market Analytics (SMA) •        Professor Koleman Strumpf, Professor of Business Economics - University of Kansas School of Business •        Dr. Wachi Bandara, Chief Research Officer – Pluribus Labs The panel[...]

  • Market News | Nov 21, 2016, 2:17 PM

    New Hedging Regime with Higher Levels for CBOE SKEW Index the Past 3 Years

    New Hedging Regime with Higher Levels for CBOE SKEW Index the Past 3 Years

    When the CBOE Volatility Index® (VIX®) drops below 14 (as it did in recent days), we sometimes hear questions such as – Is there still strong interest in portfolio hedging with index options? One metric that shows relative demand for out-of-the-money S&P 500® (SPX) put options is the CBOE SKEW Index (SKEW), with a daily price history that begins in 1990. Prior to 2014, the highest average daily closing value in a year for the SKEW Index was 122.5, but in each of the years[...]

  • Cboe Benchmark Indexes | Nov 15, 2016, 1:44 PM

    Yield-Hungry Investors Explore CBOE’s Option-Selling Benchmarks During Bond Market “Rout”

    Yield-Hungry Investors Explore CBOE’s Option-Selling Benchmarks During Bond Market “Rout”

    Here are some highlights from recent news stories on the bond markets – A Wall Street Journal story had the headline “Government Bond Rout Deepens on Trump’s Economic Plans,” A Barron’s story noted that Jeffrey Gundlach, CEO of DoubleLine Capital, sees “a rise in bond yields that could lift the yield on the 10-year Treasury note to 6% in the next four or five years.” A New York Times story stated that “From Indonesia to the United States, government[...]

  • VIX | Election & VIX | 2016 Recap | Nov 9, 2016, 3:17 PM

    VIX Nov. Futures Shot Up by 55% on Election Night, but Later Retreated After Conciliatory Speech

    VIX Nov. Futures Shot Up by 55% on Election Night, but Later Retreated After Conciliatory Speech

    Four charts with big price moves over the past two days are presented in this blog. On the Tuesday election night in the United States, the reported prices for the November futures on the CBOE Volatility Index® (VIX®) rose from a low of 15.10 at 8:07 p.m. E.T., to a high of 23.46 at 10:27 p.m. E.T., an amazing rise of 55% over a 140-minute period (source: Bloomberg). Reported volume for VIX futures during non-U.S. trading hours topped 230,000 contracts both on June 24 (Brexit) and again[...]

  • Market News | VIX | Trader Talk | Trade Ideas | Election & VIX | 2016 Recap | Nov 7, 2016, 4:40 PM

    On Election Eve, Volatility Indexes for Stocks, Gold, Currencies & Volatility Fall By More than 8% (after Record 9-Day Up-Streak)

    On Election Eve, Volatility Indexes for Stocks, Gold, Currencies & Volatility Fall By More than 8% (after Record 9-Day Up-Streak)

    Last week I heard about quite a bit of new interest in portfolio protection strategies, and on November 4 the CBOE Volatility Index® (VIX®) rose on a ninth consecutive day (a new all-time record for the VIX Index over its price history dating back to January 1990). However, on November 7, the date before the U.S. national elections, the S&P 500® Index rose 2.2%, and the percentage changes for some key volatility indexes were as follows: ·         -16.9% [...]

  • Market News | Election & VIX | 2016 Recap | Nov 4, 2016, 2:11 PM

    Big Week for New Inquiries Re: Portfolio Protection, as Daily Volume Spikes for SPX Puts (992k), VIX Calls (590k), and VIX Futures (319k)

    Big Week for New Inquiries Re: Portfolio Protection, as Daily Volume Spikes for SPX Puts (992k), VIX Calls (590k), and VIX Futures (319k)

    This week has been a big week regrading new interest in tools for portfolio protection. We spoke with a Wall Street Journal reporter to provide information on the VIX and VVIX indexes that was used in a story entitled “Election Fear Creeps Into the Market.” In addition, I spoke with multiple investment advisers who said that this was the busiest week of the year in terms of new client inquiries on protective strategies. Both the VIX and CBOE VIX of VIX (VVIX) indexes have risen each[...]

  • Election & VIX | 2016 Recap | Nov 1, 2016, 2:38 PM

    Open Interest Rises to 9 Million for SPX Puts and 4.7 Million for VIX Calls, while Implied Vol is Higher for the Nov. 9 Index Option Expirations

    Open Interest Rises to 9 Million for SPX Puts and 4.7 Million for VIX Calls, while Implied Vol is Higher for the Nov. 9 Index Option Expirations

    Several recent news stories have covered this topic - how can investors protect their portfolios in the event of stock market moves during and after the U.S. election on November 8? For investors who are concerned that stock indexes could decline and volatility indexes could soar in future weeks, two of the simpler index option strategies to consider are (1) buying S&P 500 (SPX) protective put options, and (2) buying call options on the CBOE volatility Index (VIX). In the charts below, not that[...]

  • Market News | VIX | Trader Talk | Trade Ideas | Election & VIX | Oct 29, 2016, 9:08 AM

    VVIX Index Spikes 21% on News of Federal Investigation

    VVIX Index Spikes 21% on News of Federal Investigation

    OCT. 28 – On Friday afternoon a news story at wsj.com<http://blogs.wsj.com/moneybeat/2016/10/28/markets-rattled-by-fresh-fbi-review-of-clinton-email/?mod=djemalertMARKET> noted that – “Worries about a surprise election outcome resurfaced anew in financial markets on Friday afternoon after the Federal Bureau of Investigation uncovered new evidence in its investigation of Democratic presidential candidate Hillary Clinton‘s email server. … The news sent ripples through[...]

  • Election & VIX | Oct 25, 2016, 2:53 PM

    Election Week SPX Expirations on Monday, Wednesday and Friday, with Higher Implied Volatility for SPX Puts on Nov. 9

    Election Week SPX Expirations on Monday, Wednesday and Friday, with Higher Implied Volatility for SPX Puts on Nov. 9

    In the October 22 Striking Price column in Barron’s, Steve Sears wrote --“keep an eye on the CBOE Volatility Index, or VIX. Already, some investors are preparing for significant volatility around the Nov. 8 election. Investors recently bought about 6,000 VIX Nov. 30 calls and about 9,000 Nov. 17 calls.” IMPLIED VOLATILITY FOR S&P 500 PUTS  The table below shows samplings of implied volatility estimates for S&P 500 2100 options with select expiration dates. The Monday,[...]

  • Market News | Election & VIX | Oct 7, 2016, 1:04 PM

    Will VIX Futures Prices Move During the Sunday Night Debate?

    Will VIX Futures Prices Move During the Sunday Night Debate?

    On the night of September 26 a debate-record 84 million people tuned in to watch the first of three U.S. Presidential debates. During the debate there were movements in the prices of futures on the CBOE Volatility Index® (VIX®), S&P 500® futures, and the Mexican peso (see below for a chart and more information). If you would like to follow the movements of VIX futures during the upcoming Presidential debate from 8:00 to 9:30 p.m. CT this Sunday, October 9, here are three resources[...]