• Market News | VIX | Trader Talk | Futures | Trade Ideas | Mar 2, 2016, 9:08 PM

    CBOE RMC Day 3 Recap

    CBOE RMC Day 3 Recap

    The final day began at CBOE’s Risk Management Conference with a very timely address from Jim VandeHei President and CEO of POLITICO.  He offered extensive insight into the current presidential race and this was a timely presentation considering yesterday was Super Tuesday.  An interview with VandeHei appears at the CBOE RMC Video Highlights Page. There were two tracks today, one focusing on directional trading and the other focusing on volatility. The first directionally oriented[...]

  • Market News | VIX | Trader Talk | Education | Futures | Strategy | Trade Ideas | Mar 2, 2016, 5:29 PM

    Cross-Region Volatility Analysis for Investing and Hedging

    Cross-Region Volatility Analysis for Investing and Hedging

    The final presentation at CBOE’s Risk Management Conference in Bonita Springs, FL was a discussion of Cross-Region Volatility Analysis for Investing and Hedging.  Vishnu Kurella, Portfolio Manager at Caxton Associates and Ramon Verastegui, Managing Director, Head of Flow Strategy & Solutions Americas for Societe Generale.  Both are favorite presenters at RMC and drew a very large crowd. Their presentation covered a variety of important topics such as how natural derivative flows[...]

  • Market News | VIX | Trader Talk | Futures | Mar 2, 2016, 10:12 AM

    The Evolving Dynamics of VIX Futures Discussed at CBOE RMC

    The Evolving Dynamics of VIX Futures Discussed at CBOE RMC

    // Maneesh Deshpande and Samuel Vazquez Ph.D. teamed up at RMC for a presentation titled The Evolving Dynamics of VIX Futures.  Deshpande is a Managing Director and Head of Americas Equity Derivatives Strategy at Barclays and Vazquez is a Vice President and Quant Strategist from Capstone Investment Advisors. Deshpande started things off discussing the VIX Term Structure noting contango is more common than backwardation. [...]

  • Market News | VIX | Trader Talk | Education | Strategy | Trade Ideas | Mar 1, 2016, 8:30 PM

    CBOE RMC Day 2 Recap

    CBOE RMC Day 2 Recap

    When you attend a conference like CBOE Risk Management you hope to have the opportunity to hear a variety of speakers.  This has always been true for RMC.  However, there are usually market themes that persist from presentation to presentation.  For instance at RMC in Europe a few months ago there was a lot of discussion about the markets moving to a higher volatility regime.  What is interesting about this conference is that the variety of market outlooks matches the variety[...]

  • VIX | Trader Talk | Education | Futures | Mar 1, 2016, 4:19 PM

    Volatility of Volatility and Other Facets of VIX Options Discussed at CBOE RMC

    Volatility of Volatility and Other Facets of VIX Options Discussed at CBOE RMC

    One of the final discussions today at CBOE RMC focused on the Volatility of Volatility and Other Facets of VIX Options.  The three presenters were Joe Aiken, Portfolio Manager, Malachite Capital Management, Art Lu, Director, Equity Quant Trading Strategy, Citigroup, and a RMC favorite Dominic Salvino, VIX Specialist, Group One, LLC. Highlights for each speaker’s presentation appear below – Dominic Salvino He noted that VIX Weeklys seem to be catching on quite well with the futures[...]

  • Market News | VIX | Trader Talk | Education | Futures | Trade Ideas | Mar 1, 2016, 4:07 PM

    Risk Hedging Frameworks: Governance Concerns and Equity Derivative Strategies Discussion at RMC

    Risk Hedging Frameworks:  Governance Concerns and Equity Derivative Strategies Discussion at RMC

    // One of the final presentations during Day 2 of CBOE’s Risk Management Conference teamed up Ari Paul, CFA, Portfolio Manager at The University of Chicago Office of Investments and Rebecca Cheong, Head of Americas Equity Derivatives Strategy, UBS Securities.  They separately discussed aspects related to Risk Hedging Frameworks: Governance Concerns and Equity Derivative Strategies. Paul began listing sources of[...]

  • Market News | VIX | Trader Talk | Education | Trade Ideas | Mar 1, 2016, 2:59 PM

    Equities & Rates: Hybrid Options, Correlation and Risk Management Discussion at CBOE RMC

    Equities & Rates:  Hybrid Options, Correlation and Risk Management Discussion at CBOE RMC

    Rocky Fishman, CFA, Equity Derivatives Strategies from Deutsche Bank Securities and Philip Jones, SVP Quantitative Strategies Capital Markets Solutions, Ameriprise Financial teamed up for a session titled Equities and Rates: Hybrid Options Correlation, and Risk Management. Fishman started out noting that the correlation between interest rates and stocks changed about 15 years ago.  From the early 1960’s through 2000 there was a negative relationship, more recently it has been positive. [...]

  • Market News | VIX | Education | Strategy | Mar 1, 2016, 1:09 PM

    CBOE RMC - Differentiating and Benchmarking Volatility-Based Investment Strategies

    CBOE RMC - Differentiating and Benchmarking Volatility-Based Investment Strategies

    The first session after lunch at today’s Risk Management conference was a combination presentation and panel discussion.  The first part of the session featured Chris DeMeo from Nu Paradigm Investment Partners, LLC who discussed the CBOE EurekaHedge Volatility Indexes which were introduced in August of 2015.  These indexes addressed the lack of an appropriate benchmarks for analyzing volatility based strategies. The indexes are divided into four categories – Long Volatility Short[...]

  • Market News | VIX | Trader Talk | Education | Mar 1, 2016, 8:13 AM

    CBOE Holdings President and COO Edward Provost on Exchange’s New Initiatives

    CBOE Holdings President and COO Edward Provost on Exchange’s New Initiatives

    CBOE Holdings President and COO Edward Provost kicked off Day Two of CBOE RMC U.S. with an update on recent CBOE developments, highlighting numerous CBOE initiatives designed to create new trading opportunities for investors. Provost began by announcing CBOE’s plans to launch FLEX index options with Asian and Cliquet style settlement, citing their relevance to RMC participants working in the insurance field. “Asian and Cliquet FLEX index options are designed to give insurers an alternative[...]

  • Market News | VIX | Education | Strategy | Feb 29, 2016, 3:38 PM

    Intersections Between Macroeconomic Conditions and Volatility Levels

    Intersections Between Macroeconomic Conditions and Volatility Levels

    The final session on the first day of Risk Management was titled Intersections Between Macroeconomic Conditions and Volatility Levels.  Benn Eifert, Ph.D., Former Portfolio Manager from Mariner Coria and Stacey Gilbert, Head of Derivatives Strategy at Susquehanna teamed up for a very informative and educational session. Eifert started things off discussing the relationship between the economy and equity market volatility which is an area that the markets are very focused on for 2016.  His[...]

  • Technical Analysis & Charts | VIX | Education | Strategy | Feb 29, 2016, 12:10 PM

    Weekly Market Outlook - Bullish, But Not Yet Firmly So

    Weekly Market Outlook - Bullish, But Not Yet Firmly So

    Last week wasn't a no-holds-barred kind of bullish week, but stocks did manage to follow-through on the prior week's rebound effort, breaking above some semi-important resistance levels.  There still a tough road to travel, however, if the bulls are going to get anything going for the long haul. We'll take our usual look at the market's upside and downside below, after dissecting some of this week's and last week's more important economic data. Economic Data Last week was pretty busy in terms[...]

  • Market News | VIX | Trader Talk | Futures | Trade Ideas | Feb 27, 2016, 12:36 PM

    Weekend Review - VIX Options and Futures - 2/22 - 2/26

    Weekend Review - VIX Options and Futures - 2/22 - 2/26

    For the past few years I’ve struggled with things to write when there has been a parallel shift in the curve.  This week we got the first normal curve change of 2016 so there’s that to say.  Kevin Davitt, who is relatively new to The Options Institute keeps noting that the far end of the curve is as flat as he’s ever seen it.  I have to agree and when he inquire how I read things like that I noted that when the curve is flat it indicates a ton of uncertainty and these[...]

  • Market News | VIX | Trader Talk | Education | Futures | Strategy | Feb 27, 2016, 7:00 AM

    Weekend Review - Volatility Indexes and ETPs - 2/22 - 2/26

    Weekend Review - Volatility Indexes and ETPs - 2/22 - 2/26

    This was probably the calmest week we had in the markets in 2016, which is good for the long term investors, but makes my job sort of tough.  VIX put in a 2016 closing low but do note that VXST rose last week.  This past week didn’t really have a lot of the known unknowns such as major economic numbers so short term volatility was pretty tame.  Next week we get an employment number on Friday and I am attributing the rise in VXST to that event. The long funds continued to give[...]

  • Weekend Review - Russell 2000 Options and Volatility - 2/22 - 2/26

    Weekend Review - Russell 2000 Options and Volatility - 2/22 - 2/26

    Small caps played some catch up again last week with the Russell 2000 (RUT) gaining about 2.7% while the large cap oriented Russell 1000 (RUI) was up 1.75%.  There is still more work for RUT to do as it is underperforming RUI by about 3.6% in 2016. VIX made a new 2016 low last week while the CBOE Russell 2000 Volatility Index (RVX) did not.  This is surprising since small cap stocks outperformed large cap stocks last week, but I’m learning that how RVX and VIX interrelate[...]

  • Market News | VIX | Trader Talk | Education | Futures | Feb 26, 2016, 4:20 PM

    February 26, 2016 Weekly Report on CBOE VIX Index Suite

    February 26, 2016 Weekly Report on CBOE VIX Index Suite

    Foreign Exchange Volatility Remains a Hot Spot The chance of divergence between monetary policies and the impact of oil prices and China factors on international trade continues to sustain volatility in foreign exchange VIX indexes: CBOE/CME FX Euro Volatility IndexSM (Ticker: EUVIX); CBOE/CME FX Yen Volatility IndexSM (Ticker: JYVIX)  and CBOE/CME FX British Pound Volatility IndexSM (Ticker: BPVIX). In contrast, this week the CBOE VIX Index stabilized as stock markets rallied[...]

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