• 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[...]

  • Cboe Benchmark Indexes | Feb 16, 2018, 2:18 PM

    Cboe’s PUT Index Generated Lower Volatility, Less Severe Drawdowns, More Income and Better Risk-Adjusted Returns

    Cboe’s PUT Index Generated Lower Volatility, Less Severe Drawdowns, More Income and Better Risk-Adjusted Returns

    The Cboe S&P 500 Putwrite Index (PUT) is designed to reflect a cash-secured put-writing strategy. The PUT strategy is designed to sell a sequence of one-month, at-the-money, S&P 500 (SPX) Index puts and invest cash at one- and three-month Treasury bill rates. The number of puts sold is limited so that the amount held in Treasury Bills can finance the loss from final settlement of the SPX puts. In recent years the PUT Index and the cash-secured put-write strategy have gained more interest[...]

  • VIX | Trader Talk | Cboe Benchmark Indexes | Jan 5, 2018, 1:49 PM

    Nine Charts Highlight Nine New Records for Cboe Index Products in 2017

    Nine Charts Highlight Nine New Records for Cboe Index Products in 2017

    A number of new volume and price records were set for Cboe index products in 2017, as customer demand for index options and volatility product solutions continued to grow. These records were remarkable in light of the fact that many experts said that that the markets appeared to be very complacent, as the Cboe Volatility Index® (VIX®) hit a record low in 2017. RECORD #1 – RECORD HIGH NOTIONAL VOLUME FOR SPX OPTIONS – MARKET CAPACITY When I am discussing the Cboe’s BXM and[...]

  • VIX | Cboe Benchmark Indexes | Cboe RMC | Dec 26, 2017, 2:19 PM

    SPX and VIX Option Market Discussion at Cboe RMC Asia

    SPX and VIX Option Market Discussion at Cboe RMC Asia

    The final presentation of the first day at Cboe RMC in Hong Kong matched Eric Frait, Vice President, Product Advancement and Strategy at Cboe Global Markets with Kristin Boyd a Director with Credit Suisse.  Their session was titled Sourcing Liquidity in Index Options.  Eric started out noting the continued growth of proprietary markets that trade at Cboe Global Markets, even in the low volatility environment.  He highlighted the rapid acceptance of SPX Weeklys (which may expire on[...]

  • VIX | Cboe Benchmark Indexes | Cboe RMC | Dec 15, 2017, 8:27 AM

    Volatility Based Indicator Discussion at RMC Asia

    Volatility Based Indicator Discussion at RMC Asia

    The second presentation on day one at Cboe RMC Asia paired John Hiatt, Director, Research/Quantitative Market Support at Cboe Global Markets with Tim Edwards, Senior Director of Index Investment Strategy at S&P Dow Jones Indices.  Their discussion focused on Interpreting and Navigating Volatility Based Benchmarks and Indicators.  John Hiatt started things off discussing the performance difference between at the money buy write and at the money put write indexes.  I’ve included[...]

  • VIX | Cboe Benchmark Indexes | Cboe RMC | Dec 12, 2017, 7:04 AM

    Cboe Benchmark Index Discussion at RMC Asia

    Cboe Benchmark Index Discussion at RMC Asia

    The opening presentation at the 3rd Annual Cboe RMC Asia matched Matt Moran up with Russell Rhoads (me) for a discussion covering Option Strategies and Option Strategy Benchmarks.  Matt and I both work in the Product Advancement area with Matt holding the title of Vice President and my title being Director.  I began things with a discussion of how different strategies are implemented.  This included an example of a cash secured put that replicated the transaction that would be dictated[...]

  • Cboe Benchmark Indexes | Nov 8, 2017, 11:41 AM

    Tech Sector Index is Top Performer in 2017, as Cboe Plans Launch of Options on Ten Select Sector Indexes

    Tech Sector Index is Top Performer in 2017, as Cboe Plans Launch of Options on Ten Select Sector Indexes

    One of the most frequent types of questions I receive from investors involves the topic of year-to-date performance.  Many investors are very interested in tracking how indexes have performed in the current year. As shown in the two charts below, of the ten S&P Select Sector indexes, the top and bottom performers in terms of price index returns in 2017 (through November 7) were the S&P Technology Select Sector Index (IXT), which was up 32%, and the S&P Energy Select Sector Index[...]

  • VIX | Trader Talk | Strategy | Trade Ideas | Cboe Benchmark Indexes | Nov 2, 2017, 4:14 PM

    Historic Volatility Recently Dropped Below 1.7 for Eight Cboe Benchmark Indexes

    Historic Volatility Recently Dropped Below 1.7 for Eight Cboe Benchmark Indexes

    In times of geopolitical uncertainties, many investors are searching for investments with low volatility and higher yields. Several news stories have noted that stock indexes recently had low volatility. On October 18 the 20-trading-day historic volatility for the S&P 500 (SPX) Index dropped to 3.4, its lowest level since 1969 (source: Bloomberg). There now is concern that with higher price-earnings ratios, the volatility of stock indexes could spike in coming months. EVEN LOWER HISTORIC VOLATILITY[...]

  • Cboe Benchmark Indexes | Sep 28, 2017, 8:06 AM

    Panel in NYC on Accessing the Volatility Risk Premium with Cash-Secured Put Writing

    Panel in NYC on Accessing the Volatility Risk Premium with Cash-Secured Put Writing

    Earlier this month CBOE and CAIA Association teamed up to present a panel discussion in New York City on Accessing the Volatility Risk Premium with Cash-Secured Put Writing. I was pleased to see great feedback on the event. SPEAKERS The panel discussion featured four speakers who are shown (left to right) in the above picture -- Derek Devens, Managing Director, Neuberger Berman Robert Specht, Portfolio Manager, Additive Advisory and Capital Tripp Zimmerman, CFA, Associate Director of Research,[...]

  • Harnessing Twitter Sentiment and the Volatility Risk Premium – Events in NYC on March 28th and in Chicago on April 5th

    Harnessing Twitter Sentiment and the Volatility Risk Premium – Events in NYC on March 28th and in Chicago on April 5th

    At the 33rd Annual CBOE Risk Management Conference in California last week, several speakers discussed ways to use sentiment analysis and the volatility risk premium in their quest to add alpha and enhance the risk-adjusted returns of their portfolios. I am pleased to report that two upcoming events will provide more details and analysis of the topics of developing investable and actionable intelligence from analysis of sentiment trends on social media, and generating attractive risk-adjusted returns[...]

  • 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[...]

  • 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[...]

  • Cboe Benchmark Indexes | Oct 26, 2016, 3:57 PM

    eVestment adds CBOE Strategy Benchmark Indexes

    eVestment adds CBOE Strategy Benchmark Indexes

    The following headlines appeared in the trade publications Pension & Investments…. “Hawaii assigns $1.6 billion total to 4 managers for options-based strategies” (March 21, 2016) “South Carolina allocates nearly $1.9 billion to equity options, infrastructure strategies” (April 21, 2016) The rationale for Hawaii and South Carolina’s interest in using options strategies to mitigate risk and enhance yields was outlined in the recent article in The Wall St. Journal… “In[...]

  • Strategy | Cboe Benchmark Indexes | Oct 3, 2016, 2:43 PM

    News Story by Pensions & Investments Highlights Put-write Strategy, PUT Index and New Wilshire Paper

    News Story by Pensions & Investments Highlights Put-write Strategy, PUT Index and New Wilshire Paper

    An October 3 news story - “Funds go exotic with put-write options to stem volatility” - in Pensions & Investments noted that put-write options strategies “are finding their way into more pension fund allocations to protect against volatility and, in some cases, take the place of fixed income as an income provider.”  The news story noted that a new paper by Wilshire -- Three Decades of Options-Based Benchmark Indices with Premium Selling or Buying: A Performance Analysis[...]

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