3rd Party Research

This portion of the site is intended for research papers and market commentaries of interest to institutional options investors.

Note: Your use of 3rd Party Research is subject to the Terms and Conditions of CBOE Websites.

Reports

Active Trader
"The VIX Reality Check" (May 2010)


Aon Hewitt
"Harvesting the Equity Insurance Risk Premium: Know Your Options" (December 2014)


Artemis Capital Management
"Dennis Rodman and the Art of Portfolio Optimization" April 2016)
"Volatility at World's End - Research Paper" (April 2012)
"Volatility at World's End - Volatility Visualization Video" (April 2012)


Asset Consulting Group
"An Analysis of Index Option Writing for Liquid Enhanced Risk-Adjusted Returns" (January 2012)
"Key Tools for Hedging and Tail Risk Management" (February 2012)


Berenberg Asset Management
NEW! - "The Rising Use of Short Volatility Strategies: Separating Fact from Fiction" (August 2017)


Cambridge Associates, LLC.
"Highlights from the Benefits of Selling Volatility" (2011)


CBOE Options Institute / Option Pit
NEW! - "A Leveraged Portfolio Management Approach Applying The CBOE S&P 500 2% OTM BuyWrite Index" (March 2017)


Credit Agricole Asset Management
"Volatility Exposure for Strategic Asset Allocation" (Nov 2008)


Employees Retirement System of Texas
NEW! - "Use of Option Strategies to Improve Risk-Adjusted Returns on a 60/40 Investment Portfolio." (July 2016)


Feldman, Barry, and Dhruv Roy
"Passive Options-Based Investment Strategies: The Case of the CBOE S&P 500 BuyWrite Index." (Summer 2005)


Fund Evaluation Group
"Evaluation of BuyWrite and Volatility Indexes: Using the CBOE DJIA BuyWrite Index (BXD) and the CBOE DJIA Volatility Index (VXD) for Asset Allocation and Diversification Purposes" (Jan 2007)


Gladius Capital Management LP
NEW! - "A Lot of VIX Noise" (May 2017)
NEW! - "Low Volatility Environment" (June 2017)
NEW! - "Volatility Strategy Effects on the US Implied Volatility Surface" (July 2017)


Hewitt EnnisKnupp
"Evaluating the Performance Characteristics of the CBOE S&P 500 PutWrite Index" (Dec 2008)
"The CBOE S&P 500 BuyWrite Index (BXM) - A Review of Performance" (2012)


Ibbotson Associates
"Highlights from Case Study on BXM Buy-Write Options Strategy" (Aug 2004)


IPS Strategic Capital
"A Study in Portfolio Diversification with the use of VIX Options" (April, 2015)


JP Morgan
"Cross-Asset Hedging with VIX" (Jan 2012)
"Rise of Cross-Asset Correlations" (May 2011)
"Why We Have a Correlation Bubble" (Oct 2010)


Parametric Portfolio Associates
"Insights and Research"


Russell Investments
"Strategy Spotlight Considerations in Volatility Trading" (May 2014)
"Capturing the Volatility Premium through Call Overwriting." (December 2010)


Schneeweis, Thomas, and Richard Spurgin
"The Benefits of Index Option-Based Strategies for Institutional Portfolios" The Journal of Alternative Investments, (Spring 2001), pp. 44-52.


SG Americas Securities
"VIX 2008 - 2009: What Happened, What's Changed, and What to Expect" (Jan 2009)


SIGLO Capital Advisors
"Rebalancing Using Options" (Mar 2014)


Standard & Poor's
"Capturing the Index Effect via Options" (June 2008)


University of Massachusetts
"VIX Futures and Options-A Case Study of Portfolio Diversification During the 2008 Financial Crisis" (Full version)" and 2-page summary


Whaley, Robert
"Risk and Return of the CBOE BuyWrite Monthly Index" The Journal of Derivatives (Winter 2002), pp. 35-42.


Links for More Information and Reports

Benchmark Indexes (BXM, PUT, etc.) and Key Papers
Bibliography of Articles on BuyWrites and Other Options Strategies
Bibliography of Articles on VIX, and Volatility and Variance Swaps