Category Archives: Research

VIX Weeklys Options Average Daily Volume Tops 25,000 in First Month of Trading – By Matt Moran

Average daily volume for the new VIX® Weeklys options was a strong 25,042 contracts in October, the first month of trading for the products. Prior to last month, the VIX options had expirations only once a month, but now with VIX Weeklys options there usually are VIX options expirations in at least the first four […]

RMC Asia To Cover Worldwide Volatility, Options Skew, and Risk Management – by Matt Moran

The CBOE Risk Management Conference is the premier educational forum for users of equity index options and volatility products. Now in its 31st year in the US and 4th year in Europe, CBOE is pleased to bring this experience to Asia. The First Annual CBOE Risk Management Conference Asia will be held on November 30 […]

Presentations in Mumbai and Kolkata to Discuss CBOE VIX Index and India VIX – By Matt Moran

Presentations on topics such as (a) the relationships among price movements of stock indexes, the CBOE Volatility Index® (VIX®), and the India VIX Index, and (b) new studies on fund use of options and volatility-based strategies, will be delivered by me to continuing-education meetings of the Indian Association of Investment Professionals (IAIP) in the cities […]

New VIX Weeklys – More Responsiveness in Recent Weeks – by Matt Moran

VIX® Weeklys futures began trading at CBOE Futures Exchange (CFE®) on July 23, 2015. VIX Weeklys options are expected to begin trading at CBOE® on October 8, 2015. One of the most important features of the new VIX Weeklys is the fact that these products have the potential to provide more trading precision and responsiveness […]

Record Volume Day for CBOE and SPX Options, as VIX Index Has Its Biggest One-Week Jump – By Matt Moran

This past week the CBOE Volatility Index® (VIX®) rose 118.5%, its largest move ever (in percentage terms) in one calendar week. On Friday CBOE®, C2 Exchange and the CBOE’s S&P 500® options all experienced record volume days, with estimated volume of 11 million options contracts traded on CBOE. A news report at Marketwatch noted – […]

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 The new […]

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 […]

Big Week for VIX re: Backwardation, Big Moves and Volume, ETH, Put/Call Ratio, and Bollinger Bands – by Matt Moran

After the news broke last Sunday (June 28) regarding the closing of banks in Greece, worldwide markets for stocks and oil plunged, and investors sought assets that could rise and serve as diversifiers. The VIX® July futures prices responded by rising from 14.525 on June 26 to 17.375 on the next trading day (June 29). […]

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 […]

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 […]


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