Tag Archives: Matt Moran

The VIX Term Structure and Launch of SPX Extended Weekly

Investors often are interested in risk management and volatility expectations over different time periods.   Below is an overview of the VIX term structure, and an update on the launch of SPX Extended Weekly options. 1. VIX TERM STRUCTURE The VIX® term structure illustrates, by maturity, expectations of market volatility conveyed by S&P 500 (SPX) stock […]

Several Volatility Indexes Rose More Than 35% Last Month

Several volatility indexes (including VXGOG, VIX, OVX, VXN, VXEEM, and GVZ) rose more than 35% last month www.cboe.com/volatility The S&P 500 Index (TR) declined by 6% in May. The BXM and PUT Indexes took in premium that helped cushion their downside moves in May. www.cboe.com/benchmarks * Please note that indexes are not directly investable. Options […]

New VVIX Index Measures the Volatility of Volatility

Bonita Springs, Fla., March 14, 2012 – Today CBOE introduced the new “VIX of VIX® Index (ticker: VVIX(SM)). www.cboe.com/VVIX The new VIX of VIX Index tracks the expected volatility of the CBOE Volatility Index® (the VIX® Index), the world’s most widely-followed market volatility index. VVIX reflects the market’s consensus of expected volatility of the 30-day […]

New Paper on Key Tools For Hedging and Tail Risk Management

Bonita Springs, FL – March 12, 2012 – Today Mr. Mitch Boraz, Senior Consultant at the Asset Consulting Group of St. Louis presented a new paper — “Key Tools for Hedging and Tail Risk Management” — at CBOE’s 28th Annual Risk Management Conference (RMC) www.cboermc.com The study, the second of two ACG papers commissioned by […]

VXEEM Futures – 1,106 Trading Volume on the 3rd Day of Trading

Trading volume for security futures on the CBOE Emerging Markets ETF Volatility Index (VXEEM; futures ticker VXEM) was 1,106 contracts on January 11th, (the third day of trading).   In contrast, the trading volume for VIX® futures was 191 contracts on March 30, 2004, its 3rd day of trading.  In addition, options on the VXEEM Index […]

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