Strong Growth for Key Cboe Index Products in 2017

An October 17 press release introduced a new name , “Cboe Global Markets, Inc. … identity and mission at the Futures Industry Association (FIA) Expo 2017 conference, currently taking place in Chicago.  The changes were made to better reflect the evolving nature and spirit of the company and follows the acquisition of Bats Global Markets (Bats) earlier this year.” www.cboe.com/aboutcboe.

Below is an update with ten charts that show growth in 2017 for some of the many index products offered by the marketplaces of Cboe Global Markets.

Below is an update with ten charts that show growth in 2017 for some of the many index products offered by the marketplaces of Cboe Global Markets.

  1. CAPACITY AND NOTIONAL VALUE OF SPX OPTIONS VOLUME

When I am discussing the Cboe’s BXM and PUT indexes with institutional investors, common questions I hear include – What about the capacity of the options markets? Can the options markets handle an influx of billions of dollars of new allocations by pension and endowment funds? In my answer to these questions, I usually present a chart on the notional value of average daily volume for the S&P 500® (SPX) options, which has more than doubled over the past five years.  The notional value of the SPX index options volume has been much higher than that of options on single stocks. www.cboe.com/SPX

  1. VIX OPTIONS VOLUME

In 2017 (through September) the average daily volume for options on the Cboe Volatility Index® (VIX®) was 738,810, which was about 26% higher than the average daily volume for the full year of 2016. This volume growth occurred despite the fact that the average daily closing value for the VIX Index in 2017 year-to-date is around 11.3. www.cboe.com/VIX.

  1. VIX FUTURES VOLUME

The average daily volume for VIX futures on Cboe Futures Exchange has grown every year in the past decade. www.cboe.com/VIX.

  1. SPXW WEEKLY OPTIONS AND TARGETED PORTFOLIO MANAGEMENT OPPORTUNITIES

Cboe Options Exchange now offers SPXW Weekly options with p.m.-expirations on Mondays, Wednesdays and Fridays. SPXW Weekly options can provide opportunities for investors to implement more targeted buying, selling or spreading strategies. Specifically, SPXW Weeklys may help investors efficiently take advantage of market events, such as earnings, government reports and Fed announcements. Average daily volume for SPXW Weekly options grew from 99,358 in 2012 to around 500,000 this year. www.cboe.com/SPXW.

  1. BENCHMARK INDEXES OVER THREE DECADES – BXMD, PUT AND BXM

Cboe Options Exchange offers dozens of benchmark indexes designed to show the hypothetical performance of strategies that use index options. As shown in the chart below, from mid-1986 through last month, the Cboe S&P 500 30-Delta BuyWrite Index (BXMD) rose 2313%, the Cboe S&P 500 PutWrite Index (PUT) rose 1910%, and the Cboe S&P 500 BuyWrite Index (BXM) rose 1350%. In addition, the BXMD, PUT, and BXM all had much less volatility than the S&P 500 and S&P GSCI indexes.

White papers and more information on Cboe benchmark indexes are at www.cboe.com/benchmarks.

  1. BENCHMARK INDEXES IN 2017

So far in 2017, Cboe benchmark indexes that gained  more than 13% include the BXY, VXTH, VPD, VPN, LOVOL , and BXMC indexes. To learn more about these indexes, please visit www.cboe.com.benchmarks.

  1. HIGHER SKEW INDEX IN 2017

In early 2017 the minutes of the U.S. Federal Reserve Board “expressed concern that the low lev7 el of implied volatility in equity markets appeared inconsistent with the considerable uncertainty …”, and several observers this year have noted that the VIX Index has been well below its long-term average in 2017. Is there too much complacency in the equity markets? One gauge, the Cboe SKEW Index, hit an all-time high of 154.34 on March 17, 2017, and the SKEW Index has been well above its long term average during most of 2017. A relatively high level of the SKEW Index indicates that there is investor fear of big future losses in the markets. www.cboe.com/SKEW.

MORE INFORMATION

Expert presentations on Cboe index products will be delivered at upcoming multi-day Cboe Risk Management Conferences in Hong Kong, Florida and Ireland. www.cboermc.com.

To learn more about index products, please visit –

 

The posts on this blog are opinions, not advice.
Please read our disclaimer for Indices.

Post a Comment

Thank you for submitting a comment. We ask you to use the comment guidelines to promote thoughtful and productive discussions. Your comment will be approved before it will be posted. Thank you for your patience.

Required fields are marked *

*

You may use these HTML tags and attributes: <a href="" title=""> <abbr title=""> <acronym title=""> <b> <blockquote cite=""> <cite> <code> <del datetime=""> <em> <i> <q cite=""> <s> <strike> <strong>

  • CATEGORIES

  • Recent Comments

  • Tags

  • authors

  •  

  • Quick Links

  • Blogroll

  • Follow Us

    RSSTwitterFacebookLinkedInYouTube
  • Archives