Tag Archives: CBOE
29 Years of VIX
In 1993, the Chicago Board Options Exchange (Cboe) announced the launch of the Cboe Market Volatility Index or VIX®, which provides market participants with a barometer to measure market sentiment. Since then, the index has become one of the most followed benchmarks. In commemoration for its 29th anniversary, we take a look at the evolution…
- Other Tags
A Hypothetical Look at 35 Years of Indexes that “Buy” SPX Options
35 Years of Hedging Indices Below are three Cboe S&P benchmark indices that theoretically “buy “SPX put options as part of their index methodology and have 35 years of back-tested performance history going back to June 30, 1986. As shown below, the three options indices were introduced in either 2008 or 2015, and the data…
- Categories Equities
- Other Tags
- Categories
- Equities
- Other Tags
A Hypothetical Look at 35 Years with Indices That Use SPX Index Options
Four Option Benchmark Indices In order to assess how hypothetical options strategies performed in various market regimes over the past 35 years, investors use some or all of these four key benchmark indices that sell S&P 500 options as part of the their index methodology and that have histories going back to June 30, 1986….
- Categories Equities
- Other Tags
- Categories
- Equities
- Other Tags
Volatility and Performance of Options-Related Indexes in the 2010s
As we enter the 2020s with interest in worldwide geopolitical volatility, here are some key points about volatility and the performance of options-related indexes the 2010s. How Did Equity Volatility in the 2010s Compare to Volatility in Previous Decades? The average of the daily closing values of the VIX® Index in the 2010s was 16.9…
Performance and Volatility for Sectors in the 2010s
As we enter the 2020s, here are some key points about the 2010s – The U.S. economy has expanded for a record 126 straight months, the longest time period in U.S. history, according to the National Bureau of Economic Research. The bull market in U.S. stocks has run about 10.7 years, one of the longest…
- Categories Equities
- Other Tags
- Categories
- Equities
- Other Tags
VIX® Dropped Below S&P 500® Realized Volatility
While everyone has been concerned about the inverted yield curve, the CBOE Volatility Index® (VIX) has been under the 21-trading-day realized volatility of the S&P 500 since Aug. 16, 2019. Since volatility traders care not only about what is expected but also what actually transpired, the spread between implied volatility and realized volatility is one…
- Categories Strategy
- Other Tags
- Categories
- Strategy
- Other Tags
Cboe S&P 500 Buffer Protect Indexes: First Outcome Period Recap
On June 28, 2019 the July Series of the Cboe S&P 500 Buffer Protect Indexes completed their first one-year outcome period (6/28/18 – 6/28/19). The Cboe S&P 500 Buffer Protect Indexes are designed to afford investors defined exposures to the S&P 500 Price Index, where the downside buffer levels, upside growth potential, and outcome period…
- Categories Strategy
- Other Tags
S&P 500 Cboe Target Outcome Indexes – Investor Applications
Many investments today target speculative returns, with uncertain levels of risk, over an uncertain period of time. While opportunistic, this approach to investing often brings a high degree of uncertainty. Outcome based investing encourages targeting a specific defined payoff profile, with an allowance for a specific defined level of risk, at a specific point in…
- Categories Strategy
- Other Tags
Access the S&P 500 with Built-in Buffers
Earlier in 2018 S&P Dow Jones Indices, Cboe Global Marketssm, and Milliman Financial Risk Management LLC collaborated to build four new series of Target Outcome Indexes, designed to reflect defined exposures to the S&P 500 Index, where the downside protection levels, upside growth potential, enhancement level, and outcome period are all pre-determined. Each Series consists…
- Categories Strategy
- Other Tags
Defensive “Buffer Protect” Option Strategies Can Help Investors Stay the Course
Equities have historically offered promising growth potential, but we have seen time and again how suddenly and severely the equity markets can be affected by events that are difficult to predict, and 2019 is not likely to be an exception. Losses can have a greater impact on portfolios than gains because the money remaining after…
- Categories Equities, Fixed Income, Strategy
- Other Tags
- Categories
- Equities, Fixed Income, Strategy
- Other Tags