Derivatives intelligence for the modern era

Derivatives Market Intelligence

Actionable insights and analysis on derivatives market themes and flows, with a focus on Cboe’s leading suite of volatility products. Explore an extensive library of market insights articles authored by our dedicated team, delivering ongoing commentary and expertise across the broader derivatives market.

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Meet the Team

Mandy Xu

Mandy Xu

VP, Head of Derivatives Market Intelligence

Mandy Xu leads Cboe’s Derivatives Market Intelligence team, spearheading long-term, data-driven research projects alongside real-time market commentary. Xu produces actionable insights and analysis on derivatives market themes and flows, with a focus on Cboe's leading suite of volatility products. Xu’s perspective is often sought in times of heightened volatility, and she is frequently cited in the financial media, including the Wall Street Journal, CNBC, Financial Times and Bloomberg News.

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Henry Schwartz

Henry Schwartz

VP, Derivatives Market Intelligence

Henry Schwartz provides thorough analyses of derivatives markets activity to identify key trends and trading behaviors. He delivers data-driven insights to a diverse range of clients, including banks, market makers, brokers, proprietary trading firms and retail-focused platforms. Schwartz applies his trading, market structure, and analytics expertise to help inform strategy, product development and internal decision‑making. Additionally, he frequently shares his market perspective at industry events and in the media.

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Ed Tom

Ed Tom

Sr. Dir., Derivatives Market Intelligence

Ed Tom leads the creation of content related to the Cboe Volatility Index product suite. Tom’s work primarily focuses on developing analytics and research that address trade structuring and implementation, managing risk exposures, identifying relative value opportunities, and optimizing portfolio performance under different market conditions. Additionally, he designs and implements the Derivatives Market Intelligence team’s quantitative analytics and infrastructure, including volatility models, surface construction, backtesting frameworks, and scenario analysis tools.

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Wei Liao

Wei Liao

Dir., Derivatives Market Intelligence

Wei Liao leads the development of Cboe’s Derivatives Market Intelligence content in the Asia Pacific (APAC) region, delivering impactful, data-driven insights tailored to clients’ needs. Liao regularly provides derivatives market commentary to media and external partners across the region, helping inform market participants about the current environment and providing actionable insights. Additionally, Liao drives robust client engagement through a variety of platforms, including workshops, panels, speaking events and webinars.

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Macro Volatility Digest

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A weekly macro commentary email focused on themes and notable moves in cross-asset volatility markets.

SPX® Realized Skew Inverts as Traders Focus on Right Tail
Macro Volatility Digest

SPX® Realized Skew Inverts as Traders Focus on Right Tail

Implied volatilities were mixed last week as oil prices continued to climb and the Fed came out more hawkish than expected. Brent oil prices briefly jumped to over $126/bbl – their highest level since the Iran conflict started – while oil volatility (OVX Index) remained elevated in the 88th percentile high. In contrast, the VIX® Index ended the week near a 3-month low of 16.9% as the SPX Index hit an all-time high on the back of better-than-expected earnings. Learn more in this week’s Macro Volatility Digest.

“Spot Up, 'VIX' Up” as Investors Hedge Record Highs in US Equities
Macro Volatility Digest

“Spot Up, 'VIX' Up” as Investors Hedge Record Highs in US Equities

Implied volatilities increased across asset classes last week amidst the geopolitical overhang created by the instability of commercial transit along the Strait of Hormuz and mixed signals from Iranian hard-liners undermining the country’s appetite for a resumption of peace talks. Equity, rates, credit, and FX implied volatilities all posted modest gains (see Exhibit 1), with the VIX® Index ending the week 1.25 pts higher to 18.7% - despite the fact that the S&P-500® has rallied to record highs for a YTD return of +4.7%. Learn more in this week’s Macro Volatility Digest.

SPX® Options Positioning Reverses as FOMO Sets In
Macro Volatility Digest

SPX® Options Positioning Reverses as FOMO Sets In

Implied volatilities normalized across asset classes last week as momentum built toward a peace deal between US and Iran. Equity, rates, credit, and FX implied volatilities all fell below their long-term averages. WTI 1M implied vol collapsed by nearly 30 pts wk/wk to 47% – though notably we still see strong demand for call options with oil skew remaining inverted. This suggests that despite widespread optimism of an imminent deal, oil traders still see elevated risk of a prolonged conflict – a prescient call given the weekend developments. Learn more in this week’s Macro Volatility Digest.

Volatility Insights

Ad hoc thematic pieces providing a targeted analysis on what is trending in the market.

SPX Options’ Expanding Lead vs. Eminis

A Tale of Two Markets

Over the past 5 years, trading in S&P 500 Index-linked derivatives has accelerated, with total notional ADV across the three most popular products – SPX Index options, SPY ETF options, and E-mini options on futures.

Examining the Key Drivers Behind Their Record Market Adoption

Cboe® iBoxx® Credit Futures Unpacked

The corporate bond market is undergoing a profound transformation, driven by electronification and a demand for more efficient, standardized instruments. Reflecting this evolution, Cboe® iBoxx® Credit Futures have recently experienced unprecedented growth in market adoption.

Positioning, Trends, and Market Impact

0DTEs Decoded

SPX zero day to expiry (0DTE) options trading have grown more than five-fold over the past 3 years, now averaging almost 2M contracts a day. What is driving that growth? Increased utility and wider adoption are two big drivers, with retail powering much of the increase. We estimate that retail now makes up around 50-60% of SPX 0DTE trading.

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