Category Archives: Education

VIX Rose 32% on Thursday, as VIX Futures Now Offered Round-the-Clock – By Matt Moran

On Thursday the world experienced unsettling news as a plane was shot down in Ukraine, and there was violence in the Gaza Strip. There continues to be strong futures and options trading activity related to the recent rise in volatility indexes at CBOE. Long futures and long call options positions in volatility indexes are used […]

PUT Index Rose 1510% (with Lower Volatility) Over 28 Years — By Matt Moran

A 2013 paper by BlackRock on “VIX Your Portfolio – Selling Volatility to Improve Performance” noted that – “A strategy that systematically sells volatility on a diversified equity index should capture a positive risk premium over long horizons because it is similar to selling insurance.” One of the strategies highlighted by the paper was the […]

Mid-year Update: VPD Index is Up 7.6% Y-T-D, as SPX Historic Volatility Falls to 6.2 – By Matt Moran

JUNE 30, 2014 – As we reach the half-way point in 2014, here is an update on some key investment and volatility-related topics – 1. BENCHMARK INDEXES. In the first half of 2014, the CBOE VIX Premium Strategy Index (VPD) rose 7.6%. The VPD Index tracks the performance of a strategy that systematically sells 1-month […]

CBOE SKEW Index Rose to 143.26, Its Highest Level Since 1998 – By Matt Moran

The median of the daily closing values of the CBOE Volatility Index® (VIX®) so far this year has been 13.7, which is below the long-term median value of 18.3 for the VIX since 1990. The fact that the VIX lately has been below its long-term median has led some people to ask whether there now […]

VIX Futures Now Round-the-Clock, as ETH Volume Tops 1.68 Million Y-T-D — By Matt Moran

Futures on the CBOE Volatility Index® (VIX®) now are available nearly 24 hours a day, five days a week (see below for more details). Trading volume for VIX futures during Extended Trading Hours (ETH) has topped 1.68 million contracts so far in 2014. The charts below show key daily values in 2014 that you could […]

SPX Historic Volatility Falls To 6.89, Its Lowest Level Since Jan. 2011 – By Matt Moran

JUNE 23, 2014 – Today the 30-day historic volatility of the S&P 500® (SPX) Index fell to 6.89, its lowest level since January 2011, according to Bloomberg calculations. Chris Dietrierich of the Wall Street Journal wrote – “… The Dow Jones Industrial Average has gone 32 months without a 10% decline, the fifth-longest run on […]

RMC Europe to Feature Speakers from BlackRock, Parametric, et al. – By Matt Moran

The 3rd Annual CBOE Risk Management Conference (RMC) Europe will be held at the beautiful Powerscourt Hotel, Enniskerry, County Wicklow, Ireland, on Sept. 3 – 5, 2014. The tentative agenda for RMC Europe is posted at http://www.cboermceurope.com/agenda, and a list of select speakers also is below in this Blog. The many topics to be covered […]

VIX: Reverting to the Mode

In the article at this link, Bill Luby – VIX analyst extraordinaire – dispels a misconception I have heard repeated at conferences and in presentations. Very often, people refer to VIX as “mean reverting.” This is not correct in the strictest sense of that phrase. VIX is not inclined to return to its long-term average. […]

Record Highs for Nine CBOE Indexes – By Matt Moran

TUESDAY, MAY 27, 2014 — Here are the all-time record high daily closing values that were reached by nine CBOE benchmark indexes today – 256.68   VPD – CBOE VIX Premium Strategy Index 251.32   VPN – CBOE Capped VIX Premium Strategy Index 178.46   VXTH – CBOE VIX Tail Hedge Index 266.31   BXD – […]

Y-T-D Volume – VIX Options Up 28.7%; SPX Weeklys Up 37.6% – by Matt Moran

As shown in the charts below, key index products continue to have strong volume trends in 2014. Here are the percentage changes for average daily volume in the period of Jan. through April 2014 over the figures for the entire year of 2013 – Options on the CBOE Volatility Index® (VIX®) – Up 28.7% Futures […]

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