Here are mid-year updates on benchmark indexes and volatility indexes at CBOE –
(1) Nine CBOE benchmark indexes all have had less volatility than key stock indexes over the last three decades;
(2) The highest daily closing values for select volatility indexes so far this year were 28.14 on Feb. 11 for the VIX Index, and 125.13 on June 24 for the VVIX Index. The CBOE/CME FX British Pound Volatility Index (BPVIX) rose prior to the Brexit referendum, and its daily closing values had a big range from 7.72 on January 8, to 29.1 on June 14.
(3) On June 24 VIX futures had record trading volume during non-U.S. trading hours (ETH).
See below for more details.
30 YEARS OF PRICE DATA FOR NINE BENCHMARK INDEXES
Nine CBOE benchmark indexes that invest in SPX options (with tickers BFLY, BXM, BXMD, CLL, CLLZ, CMBO, CNDR, PPUT, and PUT) have price histories that begin on June 30, 1986. The CBOE benchmark indexes have facilitated increased use of SPX options by mutual funds and pension funds in recent years. Over the past three decades, all nine of the benchmark indexes had less volatility than key stock indexes such as the S&P 500® and MSCI EAFE®, and the CBOE PUT and BXMD indexes also had higher returns than the key stock indexes.
So far in 2016, the BXMD Index is up 3.6%.
To learn more, please visit CBOE Benchmark Indexes webpage. Blogs on all nine indexes will be posted in the next week at the CBOE Options Hub.
VIX FUTURES VOLUME UP AFTER BREXIT ANNOUNCEMENT
As shown in the chart below, daily volume for VIX futures rose above 400,000 contracts on each of the three days after the Brexit announcement. On June 24 the CBOE Futures Exchange (CFE) announced record volume was set in non-U.S. trading hours (ETH) in VIX futures with an estimated 235,000 contracts changing hands. The June 24 record surpassed the previous single-day record of 140,811 contracts set on August 24, 2015.
VOLATILITY INDEXES IN FIRST HALF OF 2016
So far this year the peak daily closing price for the OVX Index was 78.97 on February 12. Note in the chart below that all three volatility indexes – OVX, VIX and BPVIX – peaked at different times.
The peak daily closing values were 43.43 on January 20 for the VXAPL Index, and 35.69 for the VXIBM Index
To learn more about the indexes above, please visit www.cboe.com/benchmarks and www.cboe.com/volatility.