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Tag Archives: volatility

Index Evolution: Guillermo Cano Looks at the New Generation of Equity Indexes Financials,Interview,Options,Video

Russell Indexes has long been known as “the small-cap company,” due to the success of its flagship Russell 2000, which is comprised of the smallest 2000 stocks by market capitalization. These firms’ market caps range from roughly $129 million to $2.6 billion, as of May 2013, and represent the bottom two-thirds of the 3000 largest publicly held firms in the U.S. According to Guillermo Cano, Senior Product Manager at Russell Investments, the firm has evolved considerably since its start in 1984. In fact, equity indexes in general have come a long way in recent years. “The indexes we created in…

Happy 10th Anniversary, VIX Futures! Commentary,Options

Today is the 10 year anniversary of the launch of VIX futures, traded at the CBOE Futures Exchange (CFE). CFE has achieved tremendous success with these futures, based on its proprietary CBOE Volatility Index (VIX). It has also expanded into other volatility-based products, as volatility as an asset class has exploded in recent years. There are currently eight VIX-related contracts traded on the CFE. But the CBOE still thinks of VIX futures as a relatively new product, with much more to come in the near future. Jim Lubin, senior managing director of CBOE Futures Exchange, said the past few years…

Vol Spike: CBOE Futures Exchange’s Jay Caauwe Introduces the Short-term Volatility Index Interview,Options,Video

In February 2014, the CBOE Futures Exchange began listing contracts on the short term volatility index (VXST) – a 9-day variant of its flagship 30-day VIX futures. In an interview with John Lothian News Editor-At-Large Doug Ashburn, CFE’s Jay Caauwe discusses the launch of VXST, the rationale behind the listing of VXST futures and which participants and strategies will be prevalent. “There are volatility moments where the 30-day product does not get you the action or return you are looking for,” says Caauwe. “If we look at August 2011, when S&P downgraded the U.S., VXST spiked to the neighborhood of…

JLN Options: Look Out Vix, Treasury Volatility Falls on Speculation Fed to Maintain Policy, Implied Volatility and the Debt Ceiling Crisis Newsletter,Options

Lead Stories Look Out Vix, Here Comes a New Way to Measure Volatility Yahoo! Finance Scott Nations, founder and CIO of NationsShares has a new product coming that he says is a better tool for tracking volatility and the way people on Wall Street really think of it. VolDex is an exchange he’s created that strips away the more obscure derivatives and measure the meat and potatoes options linked to the S&P 500 itself using the SPDR ETF. http://jlne.ws/1akON4q***DA: I am dying to know how measuring the volatility of meat and potatoes will help me gauge the market. Treasury Volatility…

JLN Options: The Wilting Flower of VIX Newsletter,Options

Lead Stories The Wilting Flower of VIX Andrew Giovinazzi – The Options Insider Wither the VIX The market for volatility seems to be giving up its final breaths today.  If underwhelming earnings in GOOG and MSFT cannot push things lower I am running out of things to think of. http://jlne.ws/1bGyUW2 Everyone’s Talking About This Huge Stampede Of Cash Rushing Into The Stock Market Joe Weisenthal – Business Insider As the market sails to new highs, the floodgates have broken open. Money is pouring like crazy into stocks, which is of course classic investor psychology. Nobody buys low. People like to…

JLN Options: The Two Problems With the VXX Newsletter,Options

Lead Stories The Two Problems With the VXX Adam Warner – Schaeffer’s Investment Research The iPath S&P 500 VIX Short-Term Futures ETN (NYSEARCA:VXX) hit new lows yesterday! In other breaking news, it was hot and it was a Thursday and… we really need the MLB All-Star break to end, as this is clearly the worst sports week of the year. http://jlne.ws/1dKqh9x FX could move to financial settlement under clearing pressure – GFXD’s Lam Joel Clark – Risk Magazine More foreign exchange derivatives could move towards financial rather than physical settlement in the coming years if the market fails to find…

JLN Options: What Was Behind Yesterday’s Crazy S&P 500 Options Volume? Newsletter,Options

Lead Stories What Was Behind Yesterday’s Crazy S&P 500 Options Volume?   Adam Warner – Schaeffer’s Investment Research Strange volume in the S&P 500 Index (SPX) August puts yesterday, yowza. With the index in the 1,680 range, 29,000 of the August 1300 puts traded, 39,632 of the August 1250 puts traded, and 17,933 of the August 1200 puts traded. In fact, every put in the August series down to 1115 traded on the open. Even the August 500 puts traded! http://jlne.ws/17oraCY **Not sure where it all ended today but 2.5 hours into today’s trading 10 million options had been traded putting…

JLN Options: Investors Show Confidence That New Stock Market Calm Will Linger Newsletter,Options

Lead Stories Investors Show Confidence That New Stock Market Calm Will Linger Kaitlyn Kiernan – The Wall Street Journal With the stock market resuming its rally after a bout of indigestion caused by worries about the outlook for Federal Reserve policy, options investors appear to be thinking the calm will last. As stocks have pushed back into record territory and the Chicago Board Options Exchange’s Volatility Index has declined over the last three weeks, far fewer investors are placing bets that the quiet will be short-lived and the VIX will spike higher. http://jlne.ws/1dF8kJD **At last glance the VIX was down…

JLN Options: Know Your Options: If You Build It, They Will Come Newsletter,Options

Lead Stories Know Your Options: If You Build It, They Will Come Joy Rosenstein – Fidessa Corporation (via TABB Forum) As buy-side traders increasingly embrace options both as a profit-making strategy and as a way to hedge their portfolios, broker-dealers must add options-trading capabilities to remain competitive. Here are 5 questions firms must answer before building an options offering. http://jlne.ws/16EMpym ‘Bernanke Put’ is Back in Play Kaitlyn Kiernan – The Wall Street Journal The so-called “Bernanke Put” is back in play… The idea is that Mr. Bernanke and those policies will protect the market against downturns, much as put options,…