Eight Charts to Recap 2015 – CNDR Index Rose 10.4%

End-of-the-year headlines noted “A Roller Coaster Year Ends with U.S. Markets Mostly Down” (New York Times) and “U.S. Stocks Post Worst Annual Losses Since 2008” (The Wall Street Journal). In this new year on Jan. 4, wsj.com noted “Weaker-than-expected manufacturing data and a falling currency triggered a 7% fall in mainland Chinese stocks that led authorities to halt trading there before the end of the session.”

After reading these types of news stories, an inquisitive investor might ask – (1) What types of strategies can perform relatively well in times of sluggish “traditional” markets?, and (2) What are some risk management tools in case the markets take a dive? This Blog provides eight charts to help address these questions. 

OPTION-WRITING INDEXES IN 2015

In 2015 several major stock indexes had flat or negative performance. In times when stocks and bonds are not performing strongly, investors can look to option-writing strategies with the goals of boosting yields and dampening equity portfolio volatility. As shown below, in 2015 the new CBOE S&P 500 Iron Condor Index (CNDR) rose 10.4% and the CBOE S&P 500 PutWrite Index (PUT) rose 6.4%.

1 - Benchmrks write SPX

2- Benchmrks write - Line graph

PROTECTIVE INDEXES IN 2015

While some option-writing indexes performed relatively well in 2015, the returns two new CBOE protective benchmark indexes that buy SPX put options were not as robust  – the CBOE S&P 500 Zero-Cost Put Spread Collar Index (CLLZ) rose 2% and the CBOE S&P 500 5% Put Protection Index (PPUT) fell 5%. For risk-averse investors who want to manage left-tail risk, the protective indexes still could merit further exploration.

3 - Protective in 2015

SKEW AND KEY VOLATILITY INDEXES 

In 2015 the average daily closing values were 127.5 for the CBOE SKEW Index, 94.8 for the VVIX Index, and 16.7 for the VIX Index.  On Dec. 9, I authored a Blog – “Is The Fed’s CCAR Pushing Up the SKEW Index and Driving More Demand for O-T-M SPX Puts?”

4 - SKEW VVIX

HIGH COMMODITY VOLATILITY IN 2015

In regard to commodities in 2015

  • the spot prices for gold fell more than 10% and for crude oil fell more than 30%;
  • the highest daily closes for ETF volatility indexes were 63.14 for OVX (crude oil); 38.07 for VXSLV (silver), and 23.43 for GVZ (gold). The average daily close for the OVX Index was 44.99.  

5 - Spot Commodity

6 - Vol Indexes Commosty

TECH STOCK VOLATILITY

While Amazon and Netflix were some of the top-performing stocks in the S&P 500 Index, the daily closing highs for volatility indexes were 51.24 for VXAZN and 62.60 for VXAPL.

7 - tech stock volatility

 

  • GLOBAL VOLATILITY IN 2015
  • Regarding global equity ETF volatility in 2015, the CBOE China ETF Volatility Index (VXFXI) hit a daily closing high of 58.40.    

8 - Global Vola 2015

  • dmk

    Hi – was there a post like this for 2014?