In Case You Missed It: September 2021
Cboe Donation Makes a Difference on Chicago’s West Side
At the beginning of the coronavirus pandemic, Cboe committed $1 million to manufacture 70 isolation pods that provide safe transport of patients infected with COVID-19. The pods were distributed to several first responders and healthcare organizations in Chicago, New York and Kansas City, including Sinai Chicago, which operates Mount Sinai Hospital on the city’s West side.
A Welcome Note from Natan Tiefenbrun, Cboe’s Head of European Equities
After three months with Cboe, Natan Tiefenbrun, Head of European Equities, wrote a note to clients about his priorities and first impressions of Cboe. He also covers market resilience, European Consolidate Tape, regulation, a call to action on periodic auctions and what’s next.
Cboe and EuroCCP Debut New European Derivatives Markets
On September 7, Cboe Europe announced the successful launch of Cboe Europe Derivatives (CEDX), a new Amsterdam-based futures and options marketplace. Contracts traded on CEDX are cleared at EuroCCP, Cboe’s pan-European clearing house, allowing customers to benefit from efficiencies in trading and clearing.
Cboe Global Markets Reports August 2021 Trading Volume
Cboe reported August 2021 trading volume on September 7. In August, Cboe LIS, Cboe’s European block trading platform powered by BIDS technology, achieved a 30.6 percent market share and average trade size of €835,857 in notional value, becoming the largest trading venue of its type (by market share) for the first time ever. Average daily notional value (ADNV) in Non-Deliverable Forwards (NDFs) transacted on Cboe SEF reached $413 million during August, marking the fifth consecutive record month.
Cboe Global Markets’ Ed Tilly to Serve as Chairman of the World Federation of Exchanges
On September 9, Cboe announced that its Chairman, President and CEO Ed Tilly has been appointed Chairman of the World Federation of Exchanges (WFE), the global industry group for exchanges and clearinghouses (CCPs) around the world. The appointment comes after Tilly served as Vice Chairman of the WFE from 2018 to 2021.
Cboe FX to Launch Hosted Algo Service with XTX Markets
Cboe announced the launch of a hosted algorithmic execution service in collaboration with leading electronic liquidity provider XTX markets on September 14. This service will enable Cboe FX participants to access the XTX Markets Execution Algo (XTX Algo), designed to alleviate implementation shortfall, via the Cboe FX ECN.
Russell 2000 Index Seasonality and the Treacherous September – October Time Frame
Russell Rhoads, Head of Research and Consulting at EQDerivatives, analyzed Russell 2000 Index performance and strategies during its historically treacherous September to October time frame. Historically, the Russell 2000 Index has lost value in July, August, September and October. Rhoads looks back at performance and years prior and outlines potential strategies based on market history.
Interlisted Trading Trends and Opportunities
Cboe’s U.S. Equities Execution Consulting team analyzed the significant changes in the trading dynamics of Canada/U.S. interlisted stocks. Examining just under 200 interlisted stocks that were primarily listed on the Toronto Stock Exchange (TSX), the team found that the Canada/U.S. share of interlisted volumes has steadily diverged since mid-2020.
Inside Volatility Trading: Professional Sports, Global Equity Markets and Volatility
This month’s edition of Inside Volatility Trading is focused on index characteristics and volatility, index performance, distinct paths through implied volatility and repriced risk.
Discover the Benefits of Mini-SPX (XSP) Index Options
The Mini-SPX Index (XSP) options contract is 1/10 the size of the standard SPX™ options contract, providing greater flexibility for new index options traders, as well as traders managing an individual portfolio or portfolios for several accounts. Learn more about the benefits of XSP options, as well as use cases and strategies, on Cboe Insights.
Exploring the Benefits of Small-Cap Stocks and MRUT Options
Cboe’s Mini-Russell 2000 Index (MRUTSM) options are structured like standard Russell 2000 Index (RUTSM) options but feature a smaller contract that is one-tenth the size of the standard contract, making them the same size as comparable ETF options. Learn more about the benefits of MRUT Options, as well as the use cases and strategies that may be useful to both new and more experienced options traders.
Cboe Global Markets Announces Date of Third-Quarter 2021 Earnings Release and Conference Call
Cboe will announce its financial results for the third quarter of 2021 before the market opens on Friday, October 29, 2021. A conference call with remarks by the company's senior management will begin at 7:30 a.m. Central Time (CT).
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- In particular, the inclusion of a security or other instrument within an index is not a recommendation to buy, sell, or hold that security or any other instrument, nor should it be considered investment advice.
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VIX® Index and VIX® Index Products
- The Cboe Volatility Index® (known as the VIX Index) is calculated and administered by Cboe Global Indices, LLC. The VIX Index is a financial benchmark designed to be a market estimate of expected volatility of the S&P 500® Index, and is calculated using the midpoint of quotes of certain S&P 500 Index options as further described in the methodology, rules and other information here.
- VIX futures and Mini VIX futures, traded on Cboe Futures Exchange, LLC, and VIX options, traded on Cboe Options Exchange, Inc. (collectively, “VIX® Index Products”), are based on the VIX Index. VIX Index Products are complicated financial products only suitable for sophisticated market participants.
- Transacting in VIX Index Products involves the risk of loss, which can be substantial and can exceed the amount of money deposited for a VIX Index Product position (except when buying options on VIX Index Products, in which case the potential loss is limited to the purchase price of the options).
- Market participants should put at risk only funds that they can afford to lose without affecting their lifestyles.
- Before transacting in VIX Index Products, market participants should fully inform themselves about the VIX Index and the characteristics and risks of VIX Index Products, including those described here. Market participants also should make sure they understand the product specifications for VIX Index Products (VIX futures, Mini VIX futures and VIX options) and the methodologies for calculating the underlying VIX Index and the settlement values for VIX Index Products. Answers to questions frequently asked about VIX Index products and how they are settled is available here.
- Not Buy and Hold Investment: VIX Index Products are not suitable to buy and hold because:
- On their settlement date, VIX Index Products convert into a right to receive or an obligation to pay cash.
- The VIX Index generally tends to revert to or near its long-term average, rather than increase or decrease over the long term.
- Volatility: The VIX Index is subject to greater percentage swings in a short period of time than is typical for stocks or stock indices, including the S&P 500 Index.
- Expected Relationships: Expected relationships with other financial indicators or financial products may not hold. In particular:
- Although the VIX Index generally tends to be negatively correlated with the S&P 500 Index – such that one tends to move upward when the other moves downward and vice versa – that relationship is not always maintained.
- The prices for the nearest expiration of a VIX Index Product generally tend to move in relationship with movements in the VIX Index. However, this relationship may be undercut, depending on, for example, the amount of time to expiration for the VIX Index Product and on supply and demand in the market for that product.
- Mini VIX futures contracts trade separately from regular-sized VIX futures, so the prices and quotations for Mini VIX futures and regular-sized VIX futures may differ because of, for example, possible differences in the liquidity of those markets.
- Final settlement Value: The method for calculating the final settlement value of a VIX Index Product is different from the method for calculating the VIX Index at times other than settlement, so there can be a divergence between the final settlement value of a VIX Index Product and the VIX Index value immediately before or after settlement. (See the SOQ Auction Information section here for additional information.)
Exchange Traded Products (“ETPs”)
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Cboe Strategy Benchmark Indices
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- Strategy Benchmark Indices are designed to measure the performance of hypothetical portfolios comprised of one or more derivative instruments and other assets used as collateral. Past performance is not indicative of future results. Strategy Benchmark Indices are not financial products that can be invested in directly, but can be used as the basis for financial products or managing portfolios.
- The actual performance of financial products such as mutual funds or managed accounts can differ significantly from the performance of the underlying index due to execution timing, market disruptions, lack of liquidity, brokerage expenses, transaction costs, tax consequences and other considerations that may not be applicable to the subject index.
Index and Benchmark Values Prior to Launch Date
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- Under section 1256 of the Tax Code, profit and loss on transactions in certain exchange-traded options and futures are entitled to be taxed at a rate equal to 60% long-term and 40% short-term capital gain or loss, provided that the market participants involved and the strategy employed satisfy the criteria of the Tax Code. Market participants should consult with their tax advisors to determine how the profit and loss on any particular option or futures strategy will be taxed. Tax laws and regulations change from time to time and may be subject to varying interpretations.
- Past performance of an index or financial product is not indicative of future results.
- Brokerage firms may require customers to post higher margins than any minimum margins specified.
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