The Weekly News Roundup is your weekly recap of CBOE features, options industry news and VIX Index and volatility-related articles from print, broadcast, online and social media outlets.
CBOE Launches S&P 500 Range-Bound Premium Income Index
On Tuesday, CBOE announced the launch of the CBOE S&P 500 Range-Bound Premium Income Index (SPRI). The index, which is designed to serve as a benchmark for investors aiming for consistent income distributions while taking the view that short-term equity returns will be range-bound, measures the performance of a hypothetical portfolio of short-term Treasury bills and exchange-traded FLexible EXchange® (FLEX®) options based on the S&P 500® Index (SPX).
For more information, visit www.cboe.com/SPRI
“Vest Eying Latest CBOE Target-Outcome Index” – Daniel O’Leary, EQ Derivatives
“CBOE Launches S&P 500 Range-Bound Premium Income Fund” -- Hedgeweek
CBOE S&P 500 PutWrite Index Closes at All-Time Highest Month-End Level
On Tuesday the CBOE S&P 500 PutWrite Index (PUT) closed at 1701.01, its all-time highest month-end closing level. The PUT Index is designed to represent a cash-secured SPX put option-selling strategy. Over the past three decades the PUT Index had higher returns and lower returns than many key indexes. In the past year some pension funds and an ETF provider began to use the PUT Index as a benchmark for performance of one of their portfolios.
VIX Fix: Fifty Shades of Vol
As the second week of the new Presidential administration ends, major market indicators closed higher after the Federal Reserve took no action on interest rates, a better than expected jobs report was released, and the President signed executives order to potentially scale-back some areas of financial regulation. The Dow Jones Industrial Average climbed past the 20,000 mark again on Friday, after a slip earlier in the week. Volatility, however, remains lower, as seen by the CBOE Volatility Index (VIX) closing below the 15 mark for more than 50 straight sessions, well below its historical average of 20. We’ll see what week three of the new administration has in store for the markets….
“Don’t Be Fooled by the VIX: 2017 Is Shaping Up as Volatile Year” – Newsmax Finance
“Mixed Signals Rattle Investors Short VIX Futures” – Daniel O’Leary, EQ Derivatives
“Term Structure Plays in Vogueas SPX Skew Declines” – Daniel O’Leary, EQ Derivatives
“Wall Street’s ‘Fear Index’ Jumps the Most in 3 Months as Trump Spooks Market” – Mark Decambre, Market Watch
“Dow Loses 20,000 as VIX Fear Gauge Spikes from Excessive Lows” – Ed Carson, Investor’s Business Daily
“Fear Picks Up as VIX Rises Most Since November” – Inyoung Hwang, The Wall Street Journal
“’50 Cent’ Volatility Buyer Has Options Insiders Asking 21 Questions”
Luke Kawa, Bloomberg
January 30, 2017