Tag Archives: PUT

March 22 Panel at CBOE on Accessing the Volatility Risk Premium with Cash-Secured Put Writing – by Matt Moran

Presentations and a panel discussion on the topic of – Accessing the Volatility Risk Premium with Cash-Secured Put Writing – will occur on Tuesday March 22, 2016 from 5:00 PM to 6:45 PM at Chicago Board Options Exchange (CBOE), 400 So. La Salle St., (enter on Van Buren Street), Chicago, 60605 http://bit.ly/CAIA-March22 PANEL MEMBERS Oleg […]

New Study by Black and Szado Analyzes Six Options-Based Benchmarks – BXM, PUT, BFLY, BXMD, CMBO, CNDR – By Matt Moran

A new study examines six benchmark indexes that write S&P 500® (SPX) index options, comparing their performances with those of traditional stock, bond and commodity benchmark indexes. The study, “Performance Analysis of CBOE S&P 500 Options-Selling Indices,” is the first comprehensive study that examines the performance of options-strategy benchmark indexes that incorporate iron condor and […]

Mid-Year Recap – Vol-selling Indexes Up; Big Jump for VIX and VVIX on June 29 – By Matt Moran

A recent Bloomberg story noted — “The S&P 500 drifted to an all-time high on May 21, before the Greece crisis overshadowed signs that a first-quarter slowdown in economic growth would prove transitory. The benchmark index tumbled 2.1 percent Monday, the most since April 2014 and erasing gains for the year, as Greece surprised investors […]

PUT Index Tops 1500 and Hits All-time Daily Closing High – By Matt Moran

On Friday, May 8, the CBOE S&P 500 PutWrite Index (PUTSM) closed at 1501.08, its highest all-time daily close and the first time the index closed above 1500. PUT is an award-winning benchmark index that measures the performance of a hypothetical portfolio that sells S&P 500® Index (SPX) put options against collateralized cash reserves held […]

33 Speakers at RMC Cover Skew, Vol of Vol, Options-Based Funds, etc.

At the 31st Annual CBOE Risk Management Conference (RMC) on March 4 – 6, 2015 in California, thirty-three expert speakers (see list below) spoke on a variety of subjects, including skew, volatility of volatility, and a new 2015 study with the first-ever list of publicly available list 119 Options-Based Funds. Speakers noted that Extended Trading […]

New Study Presents First-Ever List of 119 Funds That Use Options – By Matt Moran

A groundbreaking new study — “Highlights of Performance Analysis of Options-Based Equity Mutual Funds, CEFs, and ETFs” — analyzed SEC-regulated investment companies that focus on use of exchange-listed options for portfolio management (options-based funds). Key highlights of the study are summarized below, and for more analysis please visit www.cboe.com/funds. CO-AUTHORS of the CBOE-commissioned study (on […]

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 […]

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