Category Archives: Performance

Ten New CBOE Benchmark Indexes – Tools for Risk Management and Yield-enhancement

Today CBOE® announced in a press release that it has created 10 new options-based strategy performance benchmark indexes that are designed to highlight the long-term utility of options as risk management and yield- enhancing investment tools. CBOE will disseminate intra-day values for the new benchmarks beginning August 3, 2015 at the page www.cboe.com/benchmarks. The new […]

Panel of Experts in NYC Discusses New VIX Weeklys Futures and Options — By Matt Moran

On July 16 in New York City, a panel of four volatility experts – Mark Chen, Managing Director, Citigroup; Joe Aiken, Managing Partner, Malachite Capital Management; Krag “Buzz” Gregory, Managing Director, Goldman Sachs; and Jim Lubin, Managing Director; CBOE Futures Exchange, LLC (CFE®), had a lively and upbeat discussion on the topic of Managing Portfolios […]

Last Week in TYVIX – 7/19/2015 by Catherine Shalen

TYVIX in the Aftermath of the October 15, 2014 Flash Crash On Monday, July 13, staff members from the U.S. Department of Treasury, the Board of Governors of the Federal Reserve System, the Federal Reserve Bank of New York, the U.S. Securities and Exchange Commission, and the U.S. Commodity Futures Trading Commission released a joint report […]

Last Week in VIX – 7/19/2015

VIX closed at 11.95 which is the low for 2015 on Friday and below 12.00 for the first time this year. The week over week drop for VIX was 29% which is the third biggest one week drop in the history of VIX. The curve shifted accordingly, but do note with only two trading days […]

Last Week in Volatility Indexes and ETPs – 7/19/2015

Last week VIX did what I guess it is supposed to do and moved to very low levels to reflect that we are in the summer doldrums.   VIX dropped in a way it usually rallies and was down 29% last week for the third biggest one week drop since 1990. VXST was down over 43% […]

Last Week in TYVIX by Catherine Shalen

Every day Brings a New Twist to TYVIX, Benchmark for Treasury Volatility The referendum in Greece on Sunday was a non-event for Treasury volatility. TYVIX opened at 6.70 on Monday, 1.82% above its closing value on July 2nd, but by 10:30, TYVIX was back to 6.58. Equity and FX volatilities were more reactive. VIX opened […]

Last Week in VIX – July 6 – July 10

Nothing on the week over week curve chart shows what really happened last week in the markets. VIX finished the week in line with the previous week’s closing price as did the S&P 500.   However, at one point during the week VIX was just over the psychologically significant 20 level or up 19.4% and the […]

Last Week in Volatility Indexes and ETPs – July 6 – July 10

From the pre-Independence day July 2nd close to this past Friday VXST was down 0.73, VIX was up by 0.04, VXV was 0.05 higher and VXMT finished 0.28 higher. VXST is sort of an anomaly as there is a 3-day weekend impact that pushes the index lower. As the week over week change does no […]

Reviewing a VIX Option Trade into Expiration

CBOE and the CBOE Futures exchange plan on launching VIX Weeklys options and futures respectively over the next couple of months. Usually when new markets start trading we have to do a little wait and see with respect to strategies that large traders are implementing. However, with VIX Weeklys we have over 100 expirations since […]

New VIX Weeklys Futures and Options – Enhanced Responsiveness with More Wednesday Expirations – By Matt Moran

CBOE Futures Exchange (CFE®) plans to list futures with weekly expirations on the CBOE Volatility Index® (VIX®) beginning Thursday, July 23, 2015, subject to regulatory review. VIX Weeklys options at CBOE are expected to follow on a later date, also subject to regulatory approval. The new VIX Weeklys futures and options will offer more expirations […]

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