Category Archives: Research

VXST Options to Launch April 10 – By Matt Moran

April 8, 2014 – CBOE plans to launch options on the CBOE Short-Term Volatility Index (VXST) on Thursday, April 10.  Below are points that can help in your analysis.  Much more information is available at www.cboe.com/VXST. 1.    VXST INDEX – The VXST Index is based on real-time prices of options on the S&P 500 Index […]

Bracketology – Biggest One-day Moves for VXST (up 81.7%) and GVZ (up 61.7%) – By Matt Moran

While many U.S. sports fans are bemoaning the fact that their NCAA basketball brackets have been demolished, options fans can always look to volatility indexes for intriguing comparisons that can help hone their trading and investment strategies. Below are two newly constructed brackets that use CBOE data. BIGGEST ONE-DAY MOVES One of the top reasons […]

The VIX Factor

After a strong 2013, the US equity market took a dive in January 2014 and dropped more than 3%. Is it a temporary market correction or something more substantial? Everyone has his own answer. Regardless of your outlook of the market, January has reminded us that market volatility is still one of the major risks […]

Record Volume Month for SPXW and VIX Options, and VIX Futures – By Matt Moran

In the month of January 2014, monthly volume records were established by S&P 500 Weekly options (SPXW), and by both options and futures on the CBOE Volatility Index® (VIX®). SPXW options had average daily volume of 278,537 in January. S&P 500 Weekly options are PM-settled on the last trading day, typically a Friday. As with […]

Today VXST Index Rose 47%, and SPX Weeklys Hit All-time High Volume – By Matt Moran

January 24, 2014 – Today the CBOE Short-term Volatility Index (VXST) rose 6.63 points to close at 20.84 (a 47% rise), and the CBOE Volatility Index (VIX) rose 32% Yesterday (Jan. 23) the daily volume for the S&P 500 Weeklys options (SPXW) hit an all-time high of 426,955 contracts. Today (Jan. 24) reported estimated volume […]

30th Annual RMC: Expert Speakers on March 17 – 19 in Florida

The agenda for the Thirtieth Annual CBOE Risk Management Conference (RMC) now is available at http://www.cboermc.com/agenda/ RMC is the premiere financial industry conference designed for institutional users of listed options and volatility products. The 30th Annual CBOE RMC will be held March 17 – 19 at the Hyatt Regency Coconut Point in Bonita Springs, Florida.  […]

Record Volume in 2013: VIX Futures Up 67%, and SPX Options Up 19% — By Matt Moran

JAN. 2, 2014 – Average daily volume for three key index contracts – options on the S&P 500 Index (SPX), and futures and options on the CBOE Volatility Index (VIX) — all rose to new record levels in 2013. VIX options established new record high levels for trading volume in each of the seven years […]

In 2013 GVZ “Gold Vol” Index Rose 50.6%, with 15,950 Futures Volume — By Matt Moran

JAN. 1, 2014 – While many stock indexes rose substantially in the year 2013, gold spot prices and the SPDR Gold Shares ETF (GLD) both fell 28% in the year, and the CBOE Gold ETF Volatility Index (ticker GVZ) rose 50.6%.    Viewing the chart above, the two biggest one-day moves in the year for the […]

Y-T-D GVZ is Up 38%, BXY is Up 20.5%, and VIX is Down 31.6% — By Matt Moran

Dec. 26, 2013 — Over the next week many investors will read year-end wrap-ups noting that some U.S. stock indexes recently hit all-time highs and have risen more than 30% in 2013.  This blog provides a year-to-date update on a number of other indexes and commodities that also are used in diversification and portfolio management […]

Sharpe Innovation Awards to ETF and Index That Use VIX Futures – By Matt Moran

On December 9, 2013, the annual William F. Sharpe Indexing Achievement Awards were presented at the Eighteenth Annual IMN Global Indexing and ETFs Conference in Scottsdale, Arizona.  Here are the first two awards that were presented – (1)   Indexing Innovation of the Year — S&P 500 Dynamic VEQTOR Index, which dynamically allocates long-only exposure between […]

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