All Entries Tagged With: "CBOE"
Customized Volatility: A VIX For Everyone
If you think the world is VIX-y now, just wait, it’s about to get VIX-ier. This, from the CBOE. The Chicago Board Options Exchange (CBOE) today announced that it has filed for Securities and Exchange Commission (SEC) approval to list options based on recently-created volatility indexes that track individual stocks —Apple (AAPL), Amazon (AMZN), Goldman Sachs (GS), [...]
Skew That: A New CBOE Index
What would a month be in the options biz if we didn’t get some new volatility index or ETF to play with? Last month it was SKEW: Investors looking for Black Swans in the stock market may be able to find them in the latest offering from the Chicago Board Options Exchange. On Feb. 23, [...]
Single-Stock VIX Levels Compared to VIX and VXN
Friday’s sharp price action saw the S&P 500 shed nearly 1.8% and the NASDAQ fall by almost 2.5% – wiping out much of January’s gains. As for implied volatility, it spiked to highs for the month – at least as measured by two popular indices. The VIX, which measures implied volatility for S&P 500 index [...]
What About a VIX For Financials?
If there are new single-stock VIX indices now, why couldn’t you also have a “sector VIX”? As I mentioned in a previous post, the CBOE is now using its VIX methodology to provide an index of the one-month implied volatility for five individual stocks (AAPL, AMZN, IBM, GOOG, and GS). Only one of those stocks [...]
Single Stock VIX Values: A Longer-Term View
In a previous post I took a look at the new single-stock VIX-type indices that the CBOE is now publishing on five individual stocks. In theory, these indices should measure the hypothetical one-month implied volatility for options on these stocks (AMZN, AAPL, GOOG, GS, and IBM) – just as the VIX does for options on [...]
Single Stock “VIX” Levels: Comparing Two Sets Of Data
Bill Luby noted that the Chicago Board Options Exchange (CBOE) will be publishing “VIX index values” for these five individual stocks. Amazon (AMZN) Apple (AAPL) Google (GOOG) Goldman Sachs (GS) IBM (IBM) According to the CBOE, these single-stock “VIX-like” indices will measure implied volatility for options on these stocks in a similar way that the [...]
VIX to VXV Ratio Nears All-Time Lows
A few days ago I pointed out that while the VIX has fallen since late November, it’s certainly not nearing all-time lows (yet). And I agree with some who suggest that may not mean much. After all, those all-time VIX lows were set years ago before the financial crisis. But the ratio of the VIX [...]
Options Activity and Offerings Keep Growing (NDAQ, CBOE, OXPS)
Today, CBOE Holdings (NASDAQ: CBOE) is the exchange thought of by many as synonymous with options trading. In the past, it was the Philadelphia exchange. For the future, NASDAQ OMX Group (NASDAQ: NDAQ) may be trying to change that, but name recognition is not what really seems to matter right now. Regardless of which exchange [...]
Implied Correlation Drops From September Highs
Back in September, I wrote that implied correlation was at record highs for the year. Now it’s seems to have backed off from those highs. First, a brief explanation: The CBOE publishes two implied correlation indices. These compare the implied volatility of S&P 500 index options to the implied volatilities of individual stocks in that [...]
C2 Launch Already Claimed As Success By CBOE
Although the launch is only a couple of weeks old, CBOE Holdings (NASDAQ: CBOE) is already claiming success for its new electronic options trading venue C2. In a presentation this week at the Bank of America Merrill Lynch Banking and Financial Services Conference, CBOE’s CEO Bill Brodsky was outlining how he saw the success of [...]
