Tag Archives: SPX

Weekend Review – VIX Futures and Options – 4/17/2016

VIX fell to 13.62 as the S&P 500 put up some gains last week. The curve shifted lower, but is steep, even the expiring April contract finished the week at about a 1.50 premium to spot VIX.   I noticed that the S&P 500 was higher than the close two weeks ago and VIX was […]

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 […]

VIX Death Cross Update

This past week I got to attend CBOE’s Risk Management Conference in Florida and finished my week at Oklahoma State as a guest lecturer.  When I travel like this I am not watching the markets as closely as I would like and as I updated charts this morning I nervously scanned the numbers used to […]

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 […]

CBOE Risk Management is One Week Away

One the best parts of my job as Director of Education at The Options Institute is getting to attend each of the Risk Management Conferences offered by CBOE.  Back in the Fall the running theme at both the European and Asian versions of RMC seemed to be how the markets were shifting from a low […]

Is VIX Approaching a Death Cross?

began my week updating charts and tables as I am heading to Tampa, FL to speak on options and then I’m off to Trader’s Expo in New York to deliver a couple of presentations.  The chart below, depicting the rolling 1 year and 5 year average closing prices for VIX is a favorite of mine. […]

Be Cautious When Using VIX vs. Oil as a Market Indicator

I awoke this morning to an email from the matriarch of CBOE-TV Holly Goodhart.  She was preparing for her day with CNBC on in the background and something caught her eye.  The following comes directly from her email – I have CNBC on this morning, and they just spent a segment discussing this headline: “Markets […]

Is The Fed’s CCAR Pushing Up the SKEW Index and Driving More Demand for O-T-M SPX Puts? By Matt Moran

In a December 8 Bloomberg news report – “Who’s the Bear Driving Up the Price of U.S. Stock Options?” – Joseph Ciolli wrote – “For more than a year, dealers in the U.S. equity derivatives market have noted a widening gap in the price of certain options. If you want to buy a put to […]

Skew Charts to Prepare for CBOE Conference in Hong Kong – By Matt Moran

This month I am planning to travel to the First Annual CBOE Risk Management Conference (RMC) Asia, which will be held on November 30 – December 1 at the JW Marriott Hotel, Pacific Place, 88 Queensway, Hong Kong. In my preparations for the trip, I am analyzing the skew charts for a number of option […]

RMC Asia To Cover Worldwide Volatility, Options Skew, and Risk Management – by Matt Moran

The CBOE Risk Management Conference is the premier educational forum for users of equity index options and volatility products. Now in its 31st year in the US and 4th year in Europe, CBOE is pleased to bring this experience to Asia. The First Annual CBOE Risk Management Conference Asia will be held on November 30 […]

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