Tag Archives: Options

RMC Europe to Feature Speakers from BlackRock, Parametric, et al. – By Matt Moran

The 3rd Annual CBOE Risk Management Conference (RMC) Europe will be held at the beautiful Powerscourt Hotel, Enniskerry, County Wicklow, Ireland, on Sept. 3 – 5, 2014. The tentative agenda for RMC Europe is posted at http://www.cboermceurope.com/agenda, and a list of select speakers also is below in this Blog. The many topics to be covered […]

Panel Marks VIX Futures – 10 Years and 95 Million Volume

March 27, 2014 – A panel discussion yesterday at CBOE marked the tenth anniversary of the launch of futures on the CBOE Volatility Index® (VIX®). Four experts surveyed the development and promise of volatility products: Mike Edleson, Ph.D., CFA,  Chief Risk Officer,  Office of Investments, University of Chicago, Joanne Hill, Ph.D., Head of Investment Strategy, […]

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 […]

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 […]

New All-time Record — 736,445 Avg. Daily Volume for VIX Options in October – by Matt Moran

November 5, 2013 – Options on the CBOE Volatility Index® (VIX®) set a new all-time record for average daily volume in a month, with average daily volume of 738,445 in October. In early October many investors were concerned about the partial government shutdown and debt ceiling jitters, and the VIX Index rose from 15.54 on […]

Australia’s S&P/ASX 200 VIX Index Hits 3-Month High, as Futures to Launch on 21st October – By Matt Moran

Tuesday, 8 October 2013 – Today the S&P/ASX 200 VIX® Index hit an intraday high of 16.778 (its highest value in 3 months) and closed at 16.325. The S&P/ASX 200 VIX is a real-time volatility index that provides insight into investor sentiment and expected levels of market volatility in Australia. The index tracks S&P/ASX 200 index […]

Has the VIX Been “Low” or “High”? by Matt Moran

July 10, 2013 – As I have delivered presentations on the road, I recently have heard from investors that they are surprised that the CBOE Volatility Index® (VIX®) has been relatively low compared to its long-term average, especially in light of worldwide market uncertainties and press stories.  Since 1990 the average daily close for the […]

SPX Tops Its First 100-Point Milestone in 13 Years – By Matt Moran

An interesting way to look at trends in the S&P 500® (SPXTM) Index is to look at the dates on which it first closed above its 100-point milestones. As shown in the table below, the SPX first closed above 200 in Nov. 1985, above 500 in March 1995, above 1000 in Feb. 1998, and above […]

Strong Options Volume Growth for Both SPX (Up 22%) and VIX (Up 48%) By Matt Moran

Both the S&P 500® (SPX) and the CBOE Volatility Index® (VIX®) index options experienced strong volume growth in the 1st quarter of 2013 compared with the 1st quarter of 2012 – SPX options average daily volume rose to 809,067 (up 22%) and VIX options average daily volume rose to 633,811 (up 48%). PUT/CALL RATIOS It […]

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