Category Archives: Education

Day One of 31st Annual Risk Management Conference Agenda

CBOE’s 31st Annual Risk Management Conference (RMC) will be held March 4 – 6, 2015 at the Park Hyatt Aviara in Carlsbad, California.  RMC is the premiere financial industry conference designed for institutional users of equity derivatives and volatility products.  If you’re a financial professional interested in learning the latest risk management techniques and how […]

26 Volatility Indexes in 2014 – OVX (Oil VIX) Rose 183%; SKEW Index Averaged Highest-ever 129.8 – By Matt Moran

Dec. 31, 2014 – Highlights of the year 2014 in volatility include the following – In the 2nd half of the year crude oil prices fell, and the CBOE Crude Oil Volatility Index (OVX) rose 183% during the full year. While the average daily close for the CBOE Volatility Index® (VIX®) was 14.2 for the […]

Explaining VIX Price Behavior Using the Insurance Analogy

When we introduce aspiring option traders to the various pricing factors that determine the value of an option contract we often use an insurance analogy to describe implied volatility. The short version of the story is that implied volatility is the pricing factor that is closely associated with the risk of price movement in the […]

Oil VIX Is Up 209% and Brazil VIX Is Up 45% in 2014 Y-T-D – By Matt Moran

Dec. 22, 2014 – During the financial crisis of 2008, many investors bemoaned the fact many asset classes fell as the correlations among several asset classes rose. Since 2008 investors have searched for investments that have diversification potential in times of market stress. So far in 2014 (through December 22) – The CBOE Crude Oil […]

Hedging With Volatility Is Not Just For Stocks

The CBOE Volatility Index, or what many investors have come to know as VIX, is the index many follow as a volatility indicator for the stock market. The benefit besides printing the “implied” or expected volatility for prices over the next 30 days, giving a range of expected prices 30 days from now, is that it […]

OVX (Oil VIX) Rose Record 119%, GVZ (Gold VIX) Up 96% in Past 3 Months – By Matt Moran

Over the past three calendar months (September through November) — The CBOE Crude Oil ETF Volatility Index (OVX) rose 119%, the highest percentage rise for OVX over three calendar months since the inception of OVX price history in 2007. The OVX Index is a measure of the market’s expected future volatility of the United States […]

Gauges for Tools for Portfolio Protection – VIX, SPX, SKEW, and Term Structure – By Matt Moran

Nov. 17, 2014 – When I deliver presentations on portfolio risk management to groups of financial professionals, one of the most frequent questions is “What is a better hedge for a portfolio – VIX calls or SPX puts?” A 30-page paper by Morgan Stanley in June 2014 suggested that “VIX calls are best used to […]

Futures on Interest Rate Volatility Index (VXTYN) To Launch on Nov. 13 – By Matt Moran

Nov. 6, 2014 – A CBOE Holdings press release today noted that CBOE Futures Exchange (CFE) will launch futures trading on the CBOE/CBOT 10-year U.S. Treasury Note Volatility Index (VXTYN) on Thursday, November 13. Futures on the VXTYN Index offer customers a way to hedge pure interest rate volatility risk based on U.S. government debt […]

October Recap – Biggest One-Day Changes – VXTYN Up 22.3%; VXEWZ Down 46.2%; VXST Up 48.2% – By Matt Moran

This past month was one of the most volatile months of the past three years, as the CBOE Short-Term Volatility Index (VXST) rose 48.2% on October 9, and the CBOE Brazil ETF Volatility Index (VXEWZ) hit its all-time daily closing high of 72.83 on October 20 (before the re-election of Dilma Rousseff as President of […]

Options Average Daily Volume Up This Month – 1.3 Million for SPX and 1 Million for VIX – By Matt Moran

I recently showed a chart with the yearly growth in volume in options on the CBOE Volatility Index® (VIX®) to a senior executive at a financial services firm, and the executive said that the VIX options volume strong growth in recent years was hard for him to believe, in light of the fact that the […]

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