Tag Archives: SPX

Day One of 31st Annual Risk Management Conference Agenda

CBOE’s 31st Annual Risk Management Conference (RMC) will be held March 4 – 6, 2015 at the Park Hyatt Aviara in Carlsbad, California.  RMC is the premiere financial industry conference designed for institutional users of equity derivatives and volatility products.  If you’re a financial professional interested in learning the latest risk management techniques and how […]

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 […]

Last Week in VIX – 1/11/2015

This past week was one of those where the week over week change in the VIX term structure does no justice whatsoever to the price action. The S&P 500 dropped 0.65% from Friday to Friday. However, at the worst point the S&P 500 was down 3.2% and at the highest point the S&P 500 was […]

2014 VIX Review

In 2014 VIX managed to reach the highest levels seen in over two years.  This happened despite a fairly bullish year for the S&P 500 with the index achieving a record high more than fifty times.  also, as seen below most of the VIX action occurred in the 3rd quarter after a fairly quiet summer. Some […]

2014 Nasdaq-100 Volatility Review

Of the three broad based market indexes that have tradable volatility markets, the Nasdaq-100 (NDX – 4236.28) was the clear winner in 2014. NDX rose almost 18% on the year while the S&P 500 was up 11.4% and the Russell 2000 gained only 3.5%. With the tech and biotech sector in favor for most of […]

Explaining VIX Price Behavior Using the Insurance Analogy

When we introduce aspiring option traders to the various pricing factors that determine the value of an option contract we often use an insurance analogy to describe implied volatility. The short version of the story is that implied volatility is the pricing factor that is closely associated with the risk of price movement in the […]

Last Week in VIX – 11/24 – 11/28

The S&P 500 has now closed at record highs on 47 of the 230 trading days in 2014. Two of those records were set last week before the market dropped during the short post-Thanksgiving shorted session. The lone green bar below coincides with a 5 point drop in the S&P 500 on Friday. VIX ended […]

Gauges for Tools for Portfolio Protection – VIX, SPX, SKEW, and Term Structure – By Matt Moran

Nov. 17, 2014 – When I deliver presentations on portfolio risk management to groups of financial professionals, one of the most frequent questions is “What is a better hedge for a portfolio – VIX calls or SPX puts?” A 30-page paper by Morgan Stanley in June 2014 suggested that “VIX calls are best used to […]

October Recap – Biggest One-Day Changes – VXTYN Up 22.3%; VXEWZ Down 46.2%; VXST Up 48.2% – By Matt Moran

This past month was one of the most volatile months of the past three years, as the CBOE Short-Term Volatility Index (VXST) rose 48.2% on October 9, and the CBOE Brazil ETF Volatility Index (VXEWZ) hit its all-time daily closing high of 72.83 on October 20 (before the re-election of Dilma Rousseff as President of […]

Options Average Daily Volume Up This Month – 1.3 Million for SPX and 1 Million for VIX – By Matt Moran

I recently showed a chart with the yearly growth in volume in options on the CBOE Volatility Index® (VIX®) to a senior executive at a financial services firm, and the executive said that the VIX options volume strong growth in recent years was hard for him to believe, in light of the fact that the […]

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