A new paper published today provides a new perspective on the active usage of products linked to S&P DJI indices, and illustrates the network of liquidity that has developed around the S&P 500® and other popular benchmarks. “Active” and “passive” are colloquial terms, and it can be hard to distinguish one from the other at Read more […]
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 Read more […]
The first half of 2019 saw one of the biggest rallies in the domestic market; the S&P 500® rose 18.54% on a total return basis despite concerns of slow economic growth, a trade war, and a possible rate hike. During the same period, the S&P 500 Low Volatility Index surprised the market and rose even Read more […]
Ever since its formation in response to the “Black Monday” crash of October 1987, the United States “Working Group on Financial Markets” has been accompanied by (persistently-denied) rumours that the group used government funding to make large equity purchases whenever the market fell – giving rise to its informal moniker of the “Plunge Protection Team”. Read more […]
The S&P DJI index strategy team has for several years produced a variety of monthly and quarterly index dashboards. Earlier this year, we began to provide a daily summary of what S&P DJI indices and research are telling us about the markets on a day-to-day basis. (The summary is e-mailed daily to subscribers; see the Read more […]
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 Read more […]
Global equity markets experienced a challenging February. A U.S.-led selloff triggered a spike in volatility; the Cboe Volatility Index (VIX) recorded its largest ever daily increase on February 5 to reach its highest level since August 2015. But is higher volatility here to stay? Towards the end of last year, we published a paper – Read more […]
In my previous blog, we compared a daily inverse index to a “true short” and discussed the increasing vega exposure in the S&P 500® VIX® Short Term Futures Inverse Daily Index over the past couple of years. In this blog, we analyze how the mechanics of a VIX futures index, a low volatility environment, and Read more […]
After a strong January 2018, the U.S. equity market started February with a roller coaster ride. The CBOE Volatility Index® (VIX®), which has been relatively quiet over the past couple years, spiked up and crossed the 50 mark intraday on Feb. 5, 2018. On the same day, the S&P 500® VIX Short Term Futures Inverse Read more […]
In recent years, strategies selling volatility (and VIX® futures in particular) garnered substantial attention due to the low levels of VIX and the eye-watering returns achieved by associated benchmarks such as the S&P 500® VIX Short-Term Futures Inverse Daily Index (we’ll call it the “short VIX index” here for convenience). At the end of last Read more […]
