Portfolio Hedging with Interest Rate Volatility
|
|
- Emory Cobb
- 6 years ago
- Views:
Transcription
1 Portfolio Hedging with Interest Rate Volatility CBOE RMC USA, 5 March 2015 Presented by Yoshiki Obayashi, Managing Director, Applied Academics LLC In collaboration with Prof. Antonio Mele, Swiss Finance Institute and CEPR 1
2 THE RICH WORLD OF FIXED INCOME VOLATILITY Realized(Vola+li+es((1(month(rolling)( 140" 120" USSW10" CDX" EDA" SPX" TYA"(right"axis)" 20" 18" 16" 100" 14" 80" 12" 10" 60" 8" 40" 6" 4" 20" 2" 0" 1/31/05" 3/31/05" 5/31/05" 7/31/05" 9/30/05" 11/30/05" 1/31/06" 3/31/06" 5/31/06" 7/31/06" 9/30/06" 11/30/06" 1/31/07" 3/31/07" 5/31/07" 7/31/07" 9/30/07" 11/30/07" 1/31/08" 3/31/08" 5/31/08" 7/31/08" 9/30/08" 11/30/08" 1/31/09" 3/31/09" 5/31/09" 7/31/09" 9/30/09" 11/30/09" 1/31/10" 3/31/10" 5/31/10" 7/31/10" 9/30/10" 11/30/10" 1/31/11" 3/31/11" 5/31/11" 7/31/11" 9/30/11" 11/30/11" 1/31/12" 3/31/12" 5/31/12" 7/31/12" 9/30/12" 11/30/12" 1/31/13" 3/31/13" 5/31/13" 7/31/13" 9/30/13" 0" Equity market volatility alone cannot describe uncertainty in the financial markets at large Hedging properties of VIX have been well-studied; what about those of interest rate volatility? 2
3 OPTION-IMPLIED VOLATILITY INDEXES 300" 90" 250" 200" CBOE"SRVX" BAML"MOVE" CS"CIRVE" CBOE"VIX"(right"axis)" CBOE"VXTYN"(right"axis)" 80" 70" 60" Normal)Vol)(bps)) 150" 50" 40" Lognormal)Vol)(%)) 100" 30" 20" 50" 10" 0" 1/2/03" 1/2/04" 1/2/05" 1/2/06" 1/2/07" 1/2/08" 1/2/09" 1/2/10" 1/2/11" 1/2/12" 1/2/13" 1/2/14" 0" Interest rate volatility measures take on different forms: price vs. yield & percent vs. basis point CBOE s unified volatility indexing methodology based on model-free variance swap pricing 3
4 CBOE VXTYN AT A GLANCE Index: CBOE/CBOT 10-year US Treasury Note Volatility Index Formula: Launch Date: May 2013 by Chicago Board Options Exchange Horizon and underlying tenor: Rolling 30-day forward on 10y T-Note futures Skew Points: All calls and puts with non-zero bids, except for those outside of two consecutive zero bids Data Sources: CBOT / CME Globex Publication: VXTYN Index <GO> on Bloomberg 4
5 DYNAMICS BETWEEN EQUITY AND RATES VOL 90" 16" 80" 70" VIX" VXTYN" 14" 12" 60" 50" 40" 10" 8" 30" 6" 20" 4" 10" 2" 0" 0" 1/1/03" 1/1/04" 1/1/05" 1/1/06" 1/1/07" 1/1/08" 1/1/09" 1/1/10" 1/1/11" 1/1/12" 1/1/13" 1/1/14" 1/1/15" Equity and interest rate volatilities react to different risk factors VXTYN has been jumpier than VIX since QE taper talk began 5
6 VXTYN AND BOND PORTFOLIO RETURNS Relationship between VXTYN and a diversified bond portfolio appears to strengthen in times of heightened concern specifically about the interest rate component of portfolio returns VIX appears to possess marginal explanatory power for other bond return factors 6
7 IF ONE COULD HEDGE WITH VXTYN INDEX RETURNS A naïve beta-weighted hedging strategy using returns on VXTYN index levels kicks in during major drawdowns to smooth bond portfolio returns During the same period, VIX has little to say about AGG 7
8 THE OPPOSITE HOLDS FOR S&P 500 A naïve beta-weighted hedging strategy using returns on VIX index levels kicks in during major drawdowns to smooth equity portfolio returns During the same period, VXTYN has little to say about SPX 8
9 BUT CHANGES IN INDEX LEVELS AREN T TRADABLE The S&P 500 volatility term structure is generally in contango The persistent roll-down of VIX futures makes naïve hedging strategies costly What might we expect for VXTYN futures? 9
10 NO-ARBITRAGE MODEL OF VXTYN FUTURES Mele, Obayashi, and Yang (2014) derive a no-arbitrage model of VXTYN futures and options Model parameters may be calibrated to the: level of VXTYN and the term structure of Treasury yields times series properties of realized TY volatility (levels, variation, and mean-reversion) term structure dynamics of option-implied TY volatility 10
11 HEDGING WITH CALIBRATED VXTYN FUTURES Simulated hedging returns display an upward drift from a roll-up effect and perform even better than hedging with cash index returns Too good to be true? Let s take a look at market prices since VXTYN futures listing in Nov
12 THE PREDICTED BACKWARDATION IS REALIZED The front month contract started off in contango, then entered backwardation Most of the VXTYN futures term structure has been priced below the index level so far this year 12
13 TERM STRUCTURE DYNAMICS THROUGH TIME Market-observed VXTYN futures term structure has taken various shapes in a short period 13
14 FUTURE RESEARCH Devise more sophisticated hedging strategies based on VXTYN futures Explore portfolio hedging strategies using both VIX and VXTYN derivatives Research yield enhancement strategies based on VXTYN derivatives Implement a 3-factor model calibration for pricing VXTYN futures and options Contact: yoshiki.obayashi@appliedacademics.com Data Sources: CBOE and Bloomberg Important Disclaimer: The information contained in this presentationis provided foreducational purposes only, and doesnotconstituteinvestment, securities or trading advice. 14
CBOE/CBOT 10 Year Treasury Note Volatility Index (TYVIX SM Index) Compendium of Empirical Findings
CBOE/CBOT 10 Year Treasury Note Volatility Index (TYVIX SM Index) Compendium of Empirical Findings 30 April 2015 1 Scope of the Document This document is a compendium of various ad hoc studies conducted
More informationDevelopments in Volatility-Related Indicators & Benchmarks
Developments in Volatility-Related Indicators & Benchmarks William Speth, Global Head of Research Cboe Multi-Asset Solutions Team September 12, 18 Volatility-related indicators unlock valuable information
More informationThank you, Paul. And thanks to all of you for joining us for CBOE s 3 rd. Annual European Risk Management Conference.
Edward Tilly CBOE Chief Executive Officer Risk Management Conference Europe Opening Remarks Thursday, September 4, 2014 9:00 9:30 a.m. Thank you, Paul. And thanks to all of you for joining us for CBOE
More informationInterpreting Volatility-Related Indicators & Benchmarks
Interpreting Volatility-Related Indicators & Benchmarks William Speth, Head of Research Cboe Multi-Asset Solutions Team March 7, 18 Volatility-related indicators & benchmarks unlock valuable information
More informationS&P/JPX JGB VIX Index
S&P/JPX JGB VIX Index White Paper 15 October 015 Scope of the Document This document explains the design and implementation of the S&P/JPX Japanese Government Bond Volatility Index (JGB VIX). The index
More informationGuide to the CBOE / CBOT 10 Year Treasury Note Volatility Index (TYVIX SM Index) Part I: Introduction to the TYVIX Index
Guide to the CBOE / CBOT 1 Year Treasury Note Volatility Index ( SM Index) Part I: Introduction to the Index 1 Table of Contents I. Introduction to the Index II. III. IV. Index Calculation Conversion to
More informationBeyond VIX. Trading Volatility & Variance Across Asset Classes. CBOE RMC Europe October 2, 2013
Beyond VIX Trading Volatility & Variance Across Asset Classes CBOE RMC Europe October 2, 2013 Life after VIX Culture of Innovation Grow from core competencies Leverage experience, apply to other asset
More informationShort Volatility Trading with Volatility Derivatives. Russell Rhoads, CFA
Short Volatility Trading with Volatility Derivatives Russell Rhoads, CFA Disclosure Options involve risk and are not suitable for all investors. Prior to buying or selling an option, a person must receive
More informationVolatility as a Tradable Asset: Using the VIX as a market signal, diversifier and for return enhancement
Volatility as a Tradable Asset: Using the VIX as a market signal, diversifier and for return enhancement Joanne Hill Sandy Rattray Equity Product Strategy Goldman, Sachs & Co. March 25, 2004 VIX as a timing
More informationOptions and Volatility Benchmarks & Indicators Cboe Risk Management Conference Asia. John Hiatt
Options and Volatility Benchmarks & Indicators Cboe Risk Management Conference Asia John Hiatt December 5, 2017 Using options benchmarks & volatility indicators Using options for benchmarks & volatility
More informationTrading Volatility: Theory and Practice. FPA of Illinois. Conference for Advanced Planning October 7, Presented by: Eric Metz, CFA
Trading Volatility: Theory and Practice Presented by: Eric Metz, CFA FPA of Illinois Conference for Advanced Planning October 7, 2014 Trading Volatility: Theory and Practice Institutional Use Only 1 Table
More informationMANAGING OPTIONS POSITIONS MARCH 2013
MANAGING OPTIONS POSITIONS MARCH 2013 AGENDA INTRODUCTION OPTION VALUATION & RISK MEASURES THE GREEKS PRE-TRADE RICH VS. CHEAP ANALYSIS SELECTING TERM STRUCTURE PORTFOLIO CONSTRUCTION CONDITIONAL RISK
More informationCBOE Volatility Index and VIX Futures Trading
CBOE Volatility Index and VIX Futures Trading Russell Rhoads, CFA Disclosure In order to simplify the computations, commissions have not been included in the examples used in these materials. Commission
More informationJanus Hedged Equity ETFs SPXH: Janus Velocity Volatility Hedged Large Cap ETF TRSK: Janus Velocity Tail Risk Hedged Large Cap ETF
Janus Hedged Equity ETFs SPXH: Janus Velocity Volatility Hedged Large Cap ETF TRSK: Janus Velocity Tail Risk Hedged Large Cap ETF September 2014 The Janus Velocity Volatility Hedged Large Cap and Velocity
More informationETFs 304: Effectively Using. Alternative, Leveraged & Inverse ETFs. Dave Nadig. Paul Britt, CFA Senior ETF Specialist ETF.com
ETFs 304: Effectively Using Dave Nadig Chief Investment Officer ETF.com Alternative, Leveraged & Inverse ETFs Paul Britt, CFA Senior ETF Specialist ETF.com ETFs 304 - Questions 1. Do geared ETFs have a
More informationApplying the Principles of Quantitative Finance to the Construction of Model-Free Volatility Indices
Applying the Principles of Quantitative Finance to the Construction of Model-Free Volatility Indices Christopher Ting http://www.mysmu.edu/faculty/christophert/ Christopher Ting : christopherting@smu.edu.sg
More informationPortfolio Risk Management with RVX SM Futures
Portfolio Risk Management with RVX SM Futures 6 March 2018 Edward Szado, Ph.D., CFA Associate Professor of Finance, Providence College Director of Research, INGARM (Institute for Global Asset and Risk
More informationHSI Volatility Index ( VHSI )
HSI Volatility Index ( VHSI ) Daniel Wong Senior Vice President, Research & Development 24 March 2011 Contents Background of VHSI What is VHSI Measuring? Index Methodology Back History of VHSI Background
More informationVIX ETPs, Inter-Relationships between Volatility Markets and Implications for Investors and Traders
Not a Product of Research / Not for Retail Distribution Citi Equities I U.S. Equity Trading Strategy VIX ETPs, Inter-Relationships between Volatility Markets and Implications for Investors and Traders
More informationInteractive Brokers Webcast. VIX Trading Strategies Russell Rhoads, CFA Senior Instructor The Options Institute CBOE
Interactive Brokers Webcast VIX Trading Strategies Russell Rhoads, CFA Senior Instructor The Options Institute CBOE Disclosure Statement Options involve risks and are not suitable for all investors. Prior
More informationUsing Options to Manage Volatility
Using Options to Manage Volatility CBOE European Risk Management Conference Scott Maidel, CFA Senior Portfolio Manager OCTOBER 2013 Important information and disclosures Russell Investment Group is a Washington,
More informationIntro to Trading Volatility
Intro to Trading Volatility Before reading, please see our Terms of Use, Privacy Policy, and Disclaimer. Overview Volatility has many characteristics that make it a unique asset class, and that have recently
More informationRegulatory Circular RG14-040
Regulatory Circular RG14-040 Date: November 10, 2014 To: Trading Privilege Holders From: CBOE Research and Product Development Department CFE Business Development RE: CBOE/CBOT 10 Year Treasury-Note Volatility
More informationBuyer Beware: Investing in VIX Products
Buyer Beware: Investing in VIX Products VIX 1 based products have become very popular in recent years and many people identify the VIX as an investor fear gauge. Products based on the VIX are generally
More informationVIX Index Strategies Shorting volatility as a portfolio enhancing strategy
VIX Index Strategies Shorting volatility as a portfolio enhancing strategy A. Dondoni D.M. Montagna M. Maggi Universita degli Studi di Pavia, Banca IMI January 2018 Abstract In this paper we perform an
More informationManaging Tail Risks A Manager s Views CBOE Risk Management Conference Europe, Geneva 30 September 2015
For investment professionals only. Not for public distribution. Managing Tail Risks A Manager s Views CBOE Risk Management Conference Europe, Geneva 30 September 2015 September 2015 Important information
More informationRegulatory Circular RG15-006
Regulatory Circular RG15-006 Date: January 27, 2015 To: Trading Privilege Holders From: CBOE Research and Product Development Department CFE Business Development RE: CBOE/CBOT 10 Year Treasury-Note Volatility
More informationA guide to investing in exchange-traded products
A guide to investing in exchange-traded products What you should know before you buy Before you make an investment decision, it is important to review your financial situation, investment objectives, risk
More informationTAIL RISK HEDGING FOR PENSION FUNDS
OCTOBER 2013 TAIL RISK HEDGING FOR PENSION FUNDS Dan Mikulskis Redington Karim Traore Societe Generale THIS DOCUMENT IS FOR THE EXCLUSIVE USE OF INVESTORS ACTING ON THEIR OWN ACCOUNT AND CATEGORISED EITHER
More informationThe Macro Show. Hedgeye Risk Management LLC
Hedgeye Risk Management LLC LEGAL DISCLAIMER Hedgeye Risk Management is a registered investment advisor, registered with the State of Connecticut. Hedgeye Risk Management is not a broker dealer and does
More informationCBOE Equity Market Volatility Indexes
Interactive Brokers Webcast CBOE Equity Market Volatility Indexes March 26, 2014 Presented by Russell Rhoads, CFA Disclosure Options involve risks and are not suitable for all investors. Prior to buying
More informationIntroduction to VIX Futures. Russell Rhoads, CFA Instructor The Options Institute
Introduction to VIX Futures Russell Rhoads, CFA Instructor The Options Institute CBOE Disclaimer Options and futures involve risks and are not suitable for all investors. Prior to buying or selling options,
More informationInvestment Strategy On-Demand Webinar Series
Investment Strategy On-Demand Webinar Series Know Your Options Kevin Hrad, CAIA, Hewitt EnnisKnupp The Required Return Dilemma and the Need to Diversify Institutional investors return assumptions have
More informationRISK-FOCUSED INVESTING
RISK-FOCUSED INVESTING A Better Way to Invest Harold Y. Kim, Ph.D. haroldkim@neoriskinvestment.com November 2017 AGENDA Investing: Tradeoff of Risk vs Return The Difficulty with Returns A Better Way: Focus
More informationVolatility Jam Session
Volatility Jam Session Aligning Options Strategies with Volatility Dave Lerman Sr. Director, Marketing/Education CME Group David.lerman@cmegroup.com 312-648-3721 Disclaimer Futures trading is not suitable
More informationJ.P. Morgan Alternative Index Multi-Strategy 5 (USD)
J.P. Morgan Alternative Index Multi-Strategy 5 (USD) Structured Investments January 18, 2010 Benefit or brief highlights Important Information The information contained in this document is for discussion
More informationTrading the VIX spread (VX) at the CBOE Exchange
Trading the VIX spread (VX) at the CBOE Exchange CBOE Exchange disseminates their VIX spread (VX) price display different than most exchanges. CBOE exchange sends inverted prices on the spread, which is
More informationSecond Quarter 2013 Earnings Presentation. August 2, 2013
Second Quarter 2013 Earnings Presentation August 2, 2013 Agenda Strategic Review Financial Review Questions and Answers Edward Tilly Chief Executive Officer Alan Dean Executive Vice President, CFO and
More informationFinancial Derivatives: A hedging tool 6/21/12
Financial Derivatives: A hedging tool 6/21/12 Agenda We will explore 4 types of OTC and Exchange trades Point-to-point / Call Spread Digital / Binary Long-dated put Variance Swap / Variance Future For
More informationThe Evolving Dynamics of VIX Futures: Stylized Facts
The Evolving Dynamics of VIX Futures: Stylized Facts Erkki Silde, PhD Independent View The views and opinions expressed herein are those of the author and do not necessarily reflect the views of Independent
More informationEconomic Scenario Generator: Applications in Enterprise Risk Management. Ping Sun Executive Director, Financial Engineering Numerix LLC
Economic Scenario Generator: Applications in Enterprise Risk Management Ping Sun Executive Director, Financial Engineering Numerix LLC Numerix makes no representation or warranties in relation to information
More informationVelocityShares Equal Risk Weighted Large Cap ETF (ERW): A Balanced Approach to Low Volatility Investing. December 2013
VelocityShares Equal Risk Weighted Large Cap ETF (ERW): A Balanced Approach to Low Volatility Investing December 2013 Please refer to Important Disclosures and the Glossary of Terms section of this material.
More informationCalendar and Diagonal Spreads with Volatility ETPs
Interactive Brokers Webcast Calendar and Diagonal Spreads with Volatility ETPs November 19, 2014 Presented by Russell Rhoads, CFA Disclosure Options involve risks and are not suitable for all investors.
More informationControling investment risk in the commodity space
OSSIAM RESEARCH TEAM April, 4, 2014 WHITE PAPER 1 Controling investment risk in the commodity space Bruno Monnier April, 4, 2014, This is the submitted version of the following article : Controling investment
More informationRealVol Futures Overlay On an S&P 500 Portfolio Sixiang Li October 2012
RealVol Futures Overlay On an S&P 500 Portfolio Sixiang Li October 2012 The following study, and the research contained herein, was commissioned by The Volatility Exchange. The author is grateful to R.
More informationCME Direct 13.3 Release Notes. 24 Sept 2018
13.3 Release Notes 24 Sept 2018 Disclaimer Neither futures trading nor swaps trading are suitable for all investors, and each involves the risk of loss. Swaps trading should only be undertaken by investors
More informationE V O L U T I O N C A P I T A L
E V O L U T I O N C A P I T A L L i q u i d A l t e r n a t i v e S t r a t e g i e s Volatility: A New Return Driver? Evolution Capital Strategies Schreiner Capital Management Investors have traditionally
More informationRealVol Futures Overlay On an S&P 500 Portfolio
Investment New Product Strategies Developments RealVol Futures Overlay On an S&P 5 Portfolio Sixiang Li Quantitative Analyst The Volatility Exchange 46 Alternative Investment Analyst Review RealVol Futures
More informationFinancial Management
Financial Management International Finance 1 RISK AND HEDGING In this lecture we will cover: Justification for hedging Different Types of Hedging Instruments. How to Determine Risk Exposure. Good references
More informationA VIX for Canada. October 14, 2010
A VIX for Canada October 4, 00 PROPRIEARY. Permission to reprint or distribute any content from this presentation requires the written approval of Standard & Poor s. Copyright 00 Standard & Poor s Financial
More informationDisclosure 6/26/2017. TEXPERS Derivatives Symposium. 6/20/2017 Chicago Board Options Exchange (CBOE)
6/20/2017 Chicago Board Options Exchange (CBOE) TEXPERS Derivatives Symposium Kevin P. Davitt CBOE Options Institute davitt@cboe.com Disclosure Options involve risks and are not suitable for all investors.
More informationRussell 2000 Index Options
Interactive Brokers Webcast Russell 2000 Index Options April 20, 2016 Presented by Russell Rhoads, Senior Instructor Disclosure Options involve risks and are not suitable for all investors. Prior to buying
More informationS&P 500 Variance Futures: Exchange-Traded/OTC Conventions
S&P 500 Variance Futures: Exchange-Traded/OTC Conventions 2013 CBOE Risk Management Conference March 4, 2013 Presented by: John Hiatt Director, Research and Product Development Agenda Overview of CFE S&P
More informationWELCOME 2017 Annual Meeting of Stockholders. May 18, 2017
WELCOME 2017 Annual Meeting of Stockholders May 18, 2017 Edward Tilly Chairman and CEO Meeting Agenda Introduction of Board of Directors and Senior Executives Vote on Proposals Business Review and Update
More informationBuilding Hedge Fund Portfolios Capable of Generating Absolute Return within Stressful Market Environments
Building Hedge Fund Portfolios Capable of Generating Absolute Return within Stressful Market Environments Presented to: October 20, 2011 Paul Lucek SSARIS Advisors, LLC SSARIS Advisors, LLC Wilton Corporate
More informationTrading Volatility with VIX Futures and Options. Peter Lusk. Instructor The Options Institute at CBOE
Trading Volatility with VIX Futures and Options Peter Lusk Instructor The Options Institute at CBOE Disclosures In order to simplify the computations, commissions have not been included in the examples
More informationSecond Quarter 2016 Earnings Presentation. July 29, 2016
Second Quarter 2016 Earnings Presentation July 29, 2016 Agenda Strategic Review Financial Review Questions and Answers Edward Tilly Chief Executive Officer Alan Dean Executive Vice President, CFO and Treasurer
More informationUsing Leverage to Offset the Negative Carry of Tail Protection Across Different Markets
Using Leverage to Offset the Negative Carry of Tail Protection Across Different Markets November 212 Robert Gingrich Disclaimer: The methods, tests and results described herein represent exploratory investigations
More informationManaging a Market Correction in your Portfolio
Managing a Market Correction in your Portfolio October 2015 Gareth Ryan Founder & Managing Director Risk Disclosure Options are leveraged products that involve risk and are not suitable for all investors.
More informationCleared OTC Credit at CME Security. Neutrality. Transparency.
Cleared OTC Credit at CME Security. Neutrality. Transparency. Contents Why CME for CDS Clearing? CDS Margin Model & Benefits Cleared OTC CDS Product Scope Client Clearing Reporting & Tools Next Steps and
More informationTechnology Investment Overview: Trends and Cycles
Technology Investment Overview: Trends and Cycles September 215 Tech Investment Trends Overview: VC, IPOs, M&A, Public Markets The only constant is human nature; everything else is cyclical 2 # of Deals
More informationDebunking Five Myths about Cash-Secured PutWrite Strategies
Debunking Five Myths about Cash-Secured PutWrite Strategies A Cash-Secured PutWrite strategy sells a put option and fully collateralizes the option with cash or cash equivalents, i.e. the collateral balance
More informationIndex Information on Morgan Stanley SmartInvest Indices
INDEX SUPPLEMENT (To Prospectus dated November 19, 2014) Filed Pursuant to Rule 424(b)(2) Registration Statement No. 333-200365 GLOBAL MEDIUM-TERM SECURITIES, SERIES F Senior Securities Index Information
More informationRegulatory Circular RG15-022
Regulatory Circular RG15-022 Date: July 22, 2015 To: All Volatility Index Derivatives Market Participants From: Research and Product Development Department CFE Regulation Re: Modified HOSS Opening Procedures
More informationFuneral by funeral, theory advances. (Paul Samuelson)
A broad hint from the VIX: Timing the market with implied volatility. Chrilly Donninger Chief Scientist, Sibyl-Project Sibyl-Working-Paper, April 2013 http://www.godotfinance.com/ Funeral by funeral, theory
More informationPrincipal Listing Exchange for each Fund: Cboe BZX Exchange, Inc.
EXCHANGE TRADED CONCEPTS TRUST Prospectus March 30, 2018 REX VolMAXX TM LONG VIX WEEKLY FUTURES STRATEGY ETF (VMAX) REX VolMAXX TM SHORT VIX WEEKLY FUTURES STRATEGY ETF (VMIN) Principal Listing Exchange
More informationCboe S&P 500 3x Up, 1x Down Enhanced Growth Index Series. Cboe S&P 500 3x Up, 1x Down Enhanced Growth Index Series
Cboe S&P 500 3x Up, 1x Down Enhanced Growth Index Series As of December 2017 Table of Contents Introduction... 1 Highlights... 1 Index Series Value and Return... 2 First Roll Date and Starting Values...
More informationNew Developments in Options and Volatility-Based Benchmarks
CBOE Risk Management Conference Asia New Developments in Options and Volatility-Based Benchmarks Bruce Traan, Director Research & Product Development November 30, 2016 Forward Looking Statements This presentation
More informationBNP PARIBAS CATALYST SYSTEMATIC ALPHA INDEX
BNP PARIBAS CATALYST SYSTEMATIC ALPHA INDEX The bank for a changing world INTRODUCING BNP Paribas Catalyst Systematic Alpha Index For more information about the index please visit: casaindex.bnpparibas.com
More informationCan We Lower Portfolio Volatility and Still Meet Equity Return Expectations?
Can We Lower Portfolio Volatility and Still Meet Equity Return Expectations? Richard Yasenchak, CFA Senior Vice President, Client Portfolio Manager, INTECH FOR INSTITUTIONAL INVESTOR USE/NOT FOR PUBLIC
More informationWisdomTree CBOE S&P 500 PutWrite Strategy Fund (PUTW) and CBOE S&P 500 PutWrite Index (PUT)
Q3 2017 WisdomTree CBOE S&P 500 PutWrite Strategy Fund (PUTW) and CBOE S&P 500 PutWrite (PUT) WisdomTree.com 866.909.9473 WisdomTree CBOE S&P 500 PutWrite Strategy Fund +Investment Objective: The WisdomTree
More informationShort-Term Trading with SPX Options
Short-Term Trading with SPX Options Interactive Brokers Webcast Russell Rhoads, CFA Disclosure Options involve risk and are not suitable for all investors. Prior to buying or selling an option, a person
More informationApplication of Gold Options in Enterprise Risk Management
Application of Gold Options in Enterprise Risk Management Paul Sacks, CIO, Aurum Options Strategies, LLC Shanghai Derivatives Market Forum May 29, 2014 Exciting Opportunity Extraordinary moment in time
More informationVelocityShares Equal Risk Weight ETF (ERW) Please refer to Important Disclosures and the Glossary of Terms section at the end of this material.
VelocityShares Equal Risk Weight ETF (ERW) Please refer to Important Disclosures and the Glossary of Terms section at the end of this material. Glossary of Terms Beta: A measure of a stocks risk relative
More informationCboe S&P % Buffer Protect Index Series. Cboe S&P % Buffer Protect Index Series
Cboe S&P 500 15% Buffer Protect Index Series As of December 2017 Table of Contents Introduction... 1 Highlights... 1 Index Series Value and Return... 2 First Roll Date and Starting Values... 2 Components...
More informationZekuang Tan. January, 2018 Working Paper No
RBC LiONS S&P 500 Buffered Protection Securities (USD) Series 4 Analysis Option Pricing Analysis, Issuing Company Riskhedging Analysis, and Recommended Investment Strategy Zekuang Tan January, 2018 Working
More informationSecond Quarter 2012 Earnings Presentation. August 2, 2012
Second Quarter 2012 Earnings Presentation August 2, 2012 Agenda Strategic Review William Brodsky Chairman and CEO Financial Review Alan Dean Executive Vice President, CFO and Treasurer Questions and Answers
More informationRegulatory Circular RG17-002
Regulatory Circular RG17-002 Date: February 6, 2017 To: Volatility Index Derivatives Market Participants From: Regulatory Division Research and Product Development Department Re: Modified HOSS Opening
More informationVolatility Management & Options Overlay. Protect Assets. Differentiate Returns. Enhance Solutions. For Financial Professional Use Only
Volatility Management & Options Overlay Protect Assets Differentiate Returns For Financial Professional Use Only Enhance Solutions ABOUT ARIN RISK ADVISORS, LLC Arin Risk Advisors, LLC (Arin) is a fee-only,
More informationUnderstanding. Volatility, and How to Manage It. Dave Gilreath, CFP Co-Founder & Chief Investment Officer FPA INDIANA AUGUST 2018
FPA INDIANA AUGUST 2018 Understanding Dave Gilreath, CFP Co-Founder & Chief Investment Officer Volatility, and How to Manage It CFP CE credit available Insurance credit available Today s Objectives Market
More informationGeneral Introduction. Time The Market Using Volatility. Trade Volatility ETFs For Profit
General Introduction Time The Market Using Volatility Trade Volatility ETFs For Profit S&P 500 1957: The Market is the S&P 500 Index 263 1983: SPX Options Market Launched 1993: SPDR S&P 500 ETF SPY - Launched
More informationVolatility By A.V. Vedpuriswar
Volatility By A.V. Vedpuriswar June 21, 2018 Basics of volatility Volatility is the key parameter in modeling market risk. Volatility is the standard deviation of daily portfolio returns. 1 Estimating
More informationExploring Volatility Derivatives: New Advances in Modelling. Bruno Dupire Bloomberg L.P. NY
Exploring Volatility Derivatives: New Advances in Modelling Bruno Dupire Bloomberg L.P. NY bdupire@bloomberg.net Global Derivatives 2005, Paris May 25, 2005 1. Volatility Products Historical Volatility
More informationNew Developments in Options and Volatility-Based Benchmarks
CBOE Risk Management Conference Europe New Developments in Options and Volatility-Based Benchmarks William Speth, VP Research & Product Development September 26, 2016 Forward Looking Statements This presentation
More informationAnnuity Risk Management with Options: Investment and Hedging Perspectives. Alex Zeng
Equity-Based Insurance Guarantees Conference Nov. 5-6, 2018 Chicago, IL Annuity Risk Management with Options: Investment and Hedging Perspectives Alex Zeng SOA Antitrust Compliance Guidelines SOA Presentation
More informationCBOE HOLDINGS REPORTS FEBRUARY 2015 TRADING VOLUME
News Release For Immediate Release CBOE HOLDINGS REPORTS FEBRUARY TRADING VOLUME ADV of 4.7 Million Contacts Down 13 vs uary Total Volume of 88.5 Million Contracts Traded CHICAGO, IL -- March 2, -- CBOE
More informationImplied Volatilities
Implied Volatilities Christopher Ting Christopher Ting http://www.mysmu.edu/faculty/christophert/ : christopherting@smu.edu.sg : 6828 0364 : LKCSB 5036 April 1, 2017 Christopher Ting QF 604 Week 2 April
More informationRISKDATA LIQUIDITY RISK
RISKDATA LIQUIDITY RISK September 2015 Contents 1. Overview 3 2. Liquidity profile 4 2.1. Selling speed constraint 4 2.2. Maximum liquidation cost constraint 5 3. Stress tests 6 4. Interfaces 6 5. Methodology
More informationCBOE HOLDINGS, INC. Second Quarter 2015 Earnings Call - Prepared Remarks July 31, 2015 Debbie Koopman
CBOE HOLDINGS, INC. Second Quarter 2015 Earnings Call - Prepared Remarks July 31, 2015 Debbie Koopman Good morning and thank you for joining us for our second quarter 2015 earnings conference call. On
More informationCboe S&P 500 2x Up, 1x Down, 10% Buffer Protect Index Series. Cboe S&P 500 2x Up, 1x Down, 10% Buffer Protect Index Series
Cboe S&P 500 2x Up, 1x Down, 10% Buffer Protect Index Series As of December 2017 Table of Contents Introduction... 1 Highlights... 1 Index Series Value and Return... 2 First Roll Date and Starting Values...
More informationCBOE Press Breakfast at FIA Boca Raton, FL March 11, 2015
CBOE Press Breakfast at FIA Boca Raton, FL March 11, 2015 Edward Tilly, Chief Executive Officer John Deters, Chief Strategy Officer Bill Speth, Vice President, Research 1 Forward-Looking Statements This
More informationVolatility Monitor. 3 rd Quarter 2012 OCTOBER 11, John W. Labuszewski
Volatility Monitor 3 rd Quarter 2012 OCTOBER 11, 2012 John W. Labuszewski Managing Director Research & Product Development 312-466-7469 jlab@cmegroup.com Volatility is one of several key inputs into mathematical
More informationManaged Risk Alternatives for V-Shaped Markets. Chris Onken, FSA, MAAA
Managed Risk Alternatives for V-Shaped Markets Chris Onken, FSA, MAAA Managed Risk Alternatives for V-Shaped Markets CHRIS ONKEN, FSA, MAAA Consulting Actuary, Milliman November 15, 2016 (1030 1200 hours)
More informationRISK PARITY AND ALTERNATIVE RISK PREMIA: A HAPPY MARRIAGE
AJAY JAIN Head of Multi-Asset Class Portfolio Management WAI LEE Global Head of Quantitative Investments VANESSA ROSENTHAL Portfolio Specialist, Quantitative and Multi-Asset Class Investment Team OCTOBER
More informationEXCHANGE TRADED CONCEPTS TRUST. REX VolMAXX TM Long VIX Futures Strategy ETF. Summary Prospectus March 30, 2018, as revised April 25, 2018
EXCHANGE TRADED CONCEPTS TRUST REX VolMAXX TM Long VIX Futures Strategy ETF Summary Prospectus March 30, 2018, as revised April 25, 2018 Principal Listing Exchange for the Fund: Cboe BZX Exchange, Inc.
More informationCleared OTC Credit Default Swaps
Cleared OTC Credit Default Swaps Changing the CDS Clearing Landscape Q3 2015 Contents Why CME for CDS Clearing? CDS Margin Model & Benefits Cleared OTC CDS Product Scope Client Clearing Reporting & Tools
More informationApril 16, CBOE Futures Exchange, LLC Rule Certification Submission Number CFE
April 16, 2015 Christopher J. Kirkpatrick Secretary Commodity Futures Trading Commission Three Lafayette Centre 1155 21st Street, N.W. Washington, D.C. 20581 Re: CBOE Futures Exchange, LLC Rule Certification
More informationThe Implied Volatility Index
The Implied Volatility Index Risk Management Institute National University of Singapore First version: October 6, 8, this version: October 8, 8 Introduction This document describes the formulation and
More informationBitcoin Futures a trading review of Q Thejas Naval, Director of Portfolio, The Element Group
Bitcoin Futures a trading review of Q1 2018 Thejas Naval, Director of Portfolio, The Element Group Introduction to bitcoin futures We would like to start off by explaining some of the terms used in this
More informationCash Treasuries vs Futures on October 15, 2014
Cash Treasuries vs Futures on October 15, 2014 Robert Almgren June 18, 2015 On the morning of October 15, 2014, between 9:35 and 9:45 New York time, yields on US Treasury securities underwent their largest
More information