Monthly Archives: January 2012

CBOE / Bloomberg: Equity Index Option and Volatility Trading Symposium – Wednesday, Feb. 1

CBOE & Bloomberg present the 3rd Annual Equity Index Option and Volatility Symposium on quantitative strategies, market trends and the outlook for volatility in 2012. When: Wednesday, February 1, 2012, 3:00-7:00pm Where: Bloomberg. 731 Lexington Avenue, New York, NY 10022 To register email naseminar@bloomberg.net, with “2.1 CBOE” in the subject line or see “BU ” […]

Ask The Institute: 01/27/12

Watch this video to gain insight on how VIX expiration dates are determined and why they vary from month to month.  Hosted by Michelle Kaufman.

VIX Futures and the Hedging of Bond Portfolios

Equity volatility, as replicated by widely traded ETFs and ETNs linked to the S&P 500® VIX® Futures Index Series, is frequently used to hedge equity portfolios. But is it appropriate for bond portfolios? The bond market is broad and diverse, ranging from low-risk government bonds to relatively high-risk high-yield corporate bonds and emerging market bonds. […]

Exchange Traded Volatility Products in Europe

In Europe, ETFs and ETNs linked to the S&P 500 VIX Futures Indices and the VSTOXX Futures Indices collectively have nearly $380 million in assets ), as listed in Exhibit 1 (note: volume is the average daily volume in December 2011). Exhibit 1: Exchange Traded Volatility Products in Europe (Dec. 2011) Compared with the S&P […]

Why Are There Different Prices for VIX® Spot and VIX Futures?

Investors often inquire as to why the prices and the price movements for the VIX (spot) Index and the VIX tradable instruments (futures, options, and ETPs) often are different. For example, yesterday (Tuesday, January 17th) the VIX spot closed at 22.20 and the VIX March futures closed at 25.55 (delayed price quotes are available at […]

VXEEM Futures – 1,106 Trading Volume on the 3rd Day of Trading

Trading volume for security futures on the CBOE Emerging Markets ETF Volatility Index (VXEEM; futures ticker VXEM) was 1,106 contracts on January 11th, (the third day of trading).   In contrast, the trading volume for VIX® futures was 191 contracts on March 30, 2004, its 3rd day of trading.  In addition, options on the VXEEM Index […]

VIX ETPs Demystified – December 2011

Just like most humans (monozygotic twins excluded) are not created equals, most VIX futures based exchange-traded products (ETPs) are not equal (At the time of writing this post, there were 43 primary listed ETPs). While there are a number of distinctions and I will attempt to highlight the key areas, but first the few common […]

An Introduction to VIX

Volatility has emerged as an important asset class in its own right over the past decade. Book-ended by two equity bear markets, the past decade (2000 – 2010) saw heightened financial stresses and large losses in investment portfolios. The investment community’s need for tools and instruments to protect downside risks had never been more acutely […]

Diversification Properties of VIX Futures Indices

As in the VIX index spot, the S&P 500 VIX Futures Index Series and the S&P 500 tend to move in opposite directions or.  As shown in Exhibit 1, while the correlation between the spot VIX and the futures index series is not perfect, it is a healthy 89% for the short-term index and 80% […]

Volatility Benchmarks in Europe

In Europe, regional volatility indices have been developed and published to measure the implied volatility in local markets. VSTOXX, VDAX-NEW, VFTSE follow the CBOE VIX methodology and have become the investor fear gauge in the Europe, German and UK markets. Exhibit 1 shows that these indices are highly correlated. Since Jan. 2000, VSTOXX have been […]

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