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matt_moran

Matt Moran

Head of Index Insights, Cboe Global Markets

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Jul 27, 2021

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…

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Jul 26, 2021

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….

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Jan 24, 2020

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…

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Jan 17, 2020

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…

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Dec 27, 2018

New All-Time Record – Open Interest for Cboe S&P 500 Options Surpasses 21 Million Contracts

While many investors are concerned about the fact that benchmark indexes for major investment classes are down year-to date, more investors are using S&P 500® options for goals related to risk management and income enhancement. On December 20 open interest for Cboe S&P 500 (SPX(SM) and SPXW) options surpassed 21 million for the first time…

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Sep 4, 2018

Strong Returns Over 32+ Years for BXMD Index That Writes OTM SPX Options

In recent years at many investment conferences I heard that many public pension plans face underfunding challenges, and they are very interested in investments with strong returns and moderate risk. While past performance is not a guarantee of future results, the Cboe S&P 500 30-Delta BuyWrite Index (BXMDSM) has shown higher returns and lower volatility…

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Jul 17, 2018

Growth in Use of S&P 500 Options at Cboe Over 35 Years

Thirty-five years ago, on July 1, 1983, Cboe® launched SEC-regulated S&P 500® (SPX) index options with posted volume of 350 contracts. Since 1983 there has been tremendous growth in SPX options volume, as many individual and institutional investors now use the contracts for purposes such as portfolio management, hedging, and income generation. Below are five…

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Feb 18, 2016

Paper by Professor Bondarenko Has Intriguing New Analysis of PUT and WPUT Indexes

Jan. 27, 2016 – A new 10-page study examines both the CBOE S&P 500 PutWrite Index (PUT) and the CBOE S&P 500 One-Week PutWrite Index (WPUT), comparing their performances with that of traditional benchmark stock and bond indexes. This is the first comprehensive published study that examines the performance of a benchmark strategy index that…

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