This paper explores the use of the CBOE Volatility Index® (VIX)® in setting the risk charge (“fee”) for a variable annuity (VA) product guarantee, and will demonstrate the potential advantages – both to variable annuity carriers and to policy holders – of calculating the fee as a function of VIX. This paper will analyze the use of […]
Tag Archives: S&P Dow Jones Indices
In a recent podcast with Andrew Horowitz from The Disciplined Investor, I discussed what the VIX is, how it is structured and common misconceptions about the index. Click here to listen to the full podcast.
Besides commodities, volatility is another example of the application of futures-based indices. Spot volatility, as measured by the VIX, is not tradeable as the index represents the weighted average of implied volatilities of various options on the S&P 500. Prior to the introduction of VIX futures on the Chicago Board Options Exchange in 2004, equity […]
David Blitzer, Managing Director and Chairman of the S&P Index Committee, discusses Black Monday with CNBC. Watch the video clip
Yesterday I hosted a webcast for CBOE on trading exchange traded products that base their performance on VIX strategies. During the webcast Barb and I fielded several very good questions regarding VIX. A few highlights are below – Can you comment on the recent relatively low level of VIX? VIX has been under 20 and […]
John Spence, Web Editor at ETF Trends, states that “ProShares Ultra VIX Short-Term Futures ETF (NYSEArca: UVXY) will reverse split shares 1-for-10 after yesterday’s closing bell.” Click here to access the full article.