Tag Archives: BXM

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 […]

Is the VIX “Low”? SPX Historic Volatility Plunges to 7.88 – By Matt Moran

FRIDAY, MAY 30, 2014 – Lately I have heard inquiries from some stock investors as to whether the CBOE Volatility Index® (VIX®) recently has been at “low” levels; today it closed at 11.40. VIX is a reflection of the market’s expectations regarding future stock market volatility. To gain insights as to what expected volatility could […]

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 – […]

Portfolio Managers to Discuss VEQTOR and Options Benchmark Indexes on March 17 – By Matt Moran

On March 17 at the 30th Annual CBOE Risk Management Conference in Florida, I will participate in panel discussion of Historical Performance of Options-Related Strategies with these three investment management experts – Karl A. Schneider, CAIA, Vice President, State Street Global Advisors Doug Kramer, Chief Executive Officer, Horizon Kinetics    Theodore Samulowitz, Vice President – Portfolio […]

Yield Search — Y-T-D BXY Index Up 7.8%; VXTYN Up 75% – By Matt Moran

This year many investors are seeking for investments with higher yields and positive returns. However, some traditional fixed income instruments have had low yields and negative returns. For example, as of August 29, the Barclays Capital Long-term Treasury Index had a yield of 3.52% and a total year-to-date return of negative 11.46% (source: wsj.com). Many […]

All-time High Closing Values Today for VPD, VPN, and 6 Other Indexes By Matt Moran

March 28, 2013 – Below are the closing values and CBOE microwebsite addresses for eight indexes that hit their all-time daily closing highs today (the last trading day of the quarter) — 236.99                   VPD – CBOE VIX Premium Strategy Index            www.cboe.com/VPD 234.23                   VPN – CBOE Capped VIX Premium Strategy Index             www.cboe.com/VPN 158.11                   VXTH – CBOE VIX […]

VIX Futures – Record Volume Day and Year

Dec. 31, 2012 – Here is a year-end update on VIX and select options-based indexes — Futures on the CBOE Volatility Index® (VIX®) set a new single-day volume record of 212,800 contracts (estimated) today. The new daily record eclipsed the previous single-day record of 190,081 contracts traded on September 13, 2012. VIX futures are poised […]

Introducing the CBOE Low Volatility Index (LOVOL)

Nov. 29, 2012 – Today CBOE introduced the new CBOE Low Volatility IndexSM (ticker: LOVOL), a benchmark index designed for investors whose preferences have shifted from investing in riskier assets to lower-volatility assets. The LOVOL Index aims to provide investors with the ability to replicate an investment strategy that is subject to less downside volatility in a […]

25 Years Ago, the VXO Index Topped 150

Twenty-five years ago, on October 19, 1987, the S&P 500 Index (SPX) fell by 20.5%, and the CBOE S&P 100 Volatility Index (VXO) rose by 313% to close at an all-time daily closing high of 150.19. Below are key values for seven trading days in October 1987 — VXO INDEX – 25 YEARS AGO – […]

The Relationship of the VIX Index and the Monthly Gross Premiums Generated by the BXM Index; Introducing the “Rule of 10”

Some investors who are new to options have asked these questions: How can I determine how much premium will be generated by a covered call strategy? Is a high VIX level related to high option premiums? If VIX is at a high level, does that mean that a covered call strategy will perform well? Many […]

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