Author Archives: Matt Moran

The VIX Term Structure and Launch of SPX Extended Weekly

Investors often are interested in risk management and volatility expectations over different time periods.   Below is an overview of the VIX term structure, and an update on the launch of SPX Extended Weekly options. 1. VIX TERM STRUCTURE The VIX® term structure illustrates, by maturity, expectations of market volatility conveyed by S&P 500 (SPX) stock […]

Several Volatility Indexes Rose More Than 35% Last Month

Several volatility indexes (including VXGOG, VIX, OVX, VXN, VXEEM, and GVZ) rose more than 35% last month www.cboe.com/volatility The S&P 500 Index (TR) declined by 6% in May. The BXM and PUT Indexes took in premium that helped cushion their downside moves in May. www.cboe.com/benchmarks * Please note that indexes are not directly investable. Options […]

VIX-related Instruments to be Discussed at Three Events in New York

Next week VIX-related benchmark indexes and investable instruments will be discussed at three events in New York: Tuesday, April 24th – NY QWAFAFEW event begins at 5:30 p.m. at 40 E. 43rd St. 6:20 p.m. presentation on “Tail Risk Management, The VIX®, and Benchmark Indexes” http://bit.ly/NY-Qwa-VIX Wednesday, April 25th – Capital Link Forum begins at […]

Options on OVX Index Launch Tuesday, April 10th – Risk Management and Implied Volatility for Options on Oil Fund

On Tuesday April 10th CBOE is launching trading of options on the CBOE Crude Oil ETF Volatility Index (ticker – OVX), a key measure of the market’s expectation of 30-day volatility of crude oil prices that applies the VIX® methodology to United States Oil Fund (USO) options spanning a wide range of strike prices. www.cboe.com/ovx […]

New VVIX Index Measures the Volatility of Volatility

Bonita Springs, Fla., March 14, 2012 – Today CBOE introduced the new “VIX of VIX® Index (ticker: VVIX(SM)). www.cboe.com/VVIX The new VIX of VIX Index tracks the expected volatility of the CBOE Volatility Index® (the VIX® Index), the world’s most widely-followed market volatility index. VVIX reflects the market’s consensus of expected volatility of the 30-day […]

New Paper on Key Tools For Hedging and Tail Risk Management

Bonita Springs, FL – March 12, 2012 – Today Mr. Mitch Boraz, Senior Consultant at the Asset Consulting Group of St. Louis presented a new paper — “Key Tools for Hedging and Tail Risk Management” — at CBOE’s 28th Annual Risk Management Conference (RMC) www.cboermc.com The study, the second of two ACG papers commissioned by […]

Recent Increased Interest in Risk Management with VIX-based Products

While the VIX Index has been below 24 so far in 2012, and the VIX closed at 16.80 last Thursday (Feb. 23), the trends in trading volumes in VIX-related products indicate that there could be more recent interest in using VIX-related products for purposes of risk management for investor portfolios. The average daily volume for […]

Managing Brazilian Volatility with Futures and Options on the VXEWZ Index

Over the next five years, some projections indicate that the annual GDP of Brazil could surpass that of both France and the United Kingdom, and that Brazil could rise to become the fifth largest economy in the world. More investors now are concerned with the issue of managing Brazilian volatility. Today CBOE Holdings announced today […]

Is Crude Oil More Volatile Than Stocks? Check Out the OVX Index

In recent years I often have heard the following questions: Are there other indexes that use the VIX® methodology to create implied volatility indexes for options on other asset classes and other stock indexes? How does the volatility of the S&P 500® Index compare to the volatility of other asset classes? The answer to question […]

The Relationship of the VIX Index and the Monthly Gross Premiums Generated by the BXM Index; Introducing the “Rule of 10”

Some investors who are new to options have asked these questions: How can I determine how much premium will be generated by a covered call strategy? Is a high VIX level related to high option premiums? If VIX is at a high level, does that mean that a covered call strategy will perform well? Many […]

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