The Weekly News Roundup is your weekly recap of CBOE features, options industry news and VIX and volatility-related articles from print, broadcast, online and social media outlets.
Overnight VIX Values Coming in March
Beginning next month, CBOE will begin disseminating values for the CBOE Volatility Index (VIX Index) during its overnight, extended trading hours session (2:00 to 8:15 am CT) for SPX and VIX options. Overnight dissemination of the VIX Index will enable market participants to view volatility during that period through the same lens used in regular U.S. trading hours.
“VIX Goes Global” — Steven Sears, Barron’s
VIX: Setting the Standard
CBOE announced this week that the CBOE Volatility Index (VIX Index) is in alignment with the Principles for Financial Benchmarks established by the International Organization of Securities Commissions (IOSCO). In addition, CBOE has established an Index Administration Oversight Body to oversee VIX Index administration activities.
“CBOE VIX Index in Alignment with IOSCO Principals for Financial Benchmarks” — Hedge Week
“CBOE Strengthens VIX Administration” — Profit & Loss
“CBOE Anoints VIX Watchdogs After Crisis of Confidence” — Global Capital
“CBOE Establishes VIX Oversight Group, Adjusts Index to Meet IOSCO Rules” — John D’Antona Jr., Traders Magazine
New White Paper on Russell 2000 Options-Based Benchmark Indexes
A newly released study, written by Mark Shore, an adjunct professor at DePaul University Kellstadt Graduate School of Business, and sponsored by CBOE, examines six benchmark indexes that invest in Russell 2000 Index (RUT) options and compares their performances with those of traditional benchmark stock and bond indexes. This is the first comprehensive study that examines the performance of multiple options-strategy benchmark indexes that incorporate Russell 2000 Index options.
Another choppy week in the markets saw the VIX Index flirting with the 30 level on Thursday. As Saumya Vaishampayan wrote in the WSJ Money Beat blog: “…Those who dabble in derivatives tied to the CBOE Volatility Index are placing bets that pay out if the stock market keeps swinging, and especially if it drops. The VIX futures curve rose sharply Thursday and was in “backwardation,” meaning that investors are paying more for short-term protection than protection over the next several months. That’s been the case for much of the year amid steep declines in stocks…”
“Message for U.S. Stock Investors: Get Used to Big Market Swings” — Saumya Vaishampayan, Wall Street Journal
“This has Become a Scaredy Cat Stock Market” — Patti Domm, CNBC
“Volatility Update: Options for Volatility Traders Expand with VIX” — Georgio Stoev, Tradingfloor.com
“Volatility Update: Could VIX Reading Be on Cusp of Change?” — Frederick Ruffy, The Ticker Tape
“Why Wall Street isn’t Panicking About the Stock-Market Tumble” — Anora Mahmudova, MarketWatch