Catherine Shalen

Catherine Shalen

Dr. Catherine Shalen has been Director of Research in the Product Development Group of the Chicago Board Options Exchange since 2002. Previously, she worked as a Senior Economist in the research departments of the Chicago Board of Trade and the Chicago Mercantile Exchange. Prior to joining the Chicago exchanges, she was an assistant professor of finance at the University of Illinois in Chicago. She holds a PhD and an MBA from Columbia University Business School and a B.A. in mathematics from Harvard University. She has published in the Review of Financial Studies, the Journal of Futures Markets, as well as in financial industry periodicals and books.

No Comments

CBOE Weekly VIX Indexes Report

The Curious Effect of ECB’s Stimulus Package on the EUVIX Index On Thursday, ECB President Mario Draghi announced a cut in interest rates and purchases of corporate bonds. In the same breath, Mr. Draghi said he hoped there would be no further cuts.  The Euro promptly dropped to $1.08, then rebounded to $1.12 by the […]






No Comments

February 26, 2016 Weekly Report on CBOE VIX Index Suite

Foreign Exchange Volatility Remains a Hot Spot The chance of divergence between monetary policies and the impact of oil prices and China factors on international trade continues to sustain volatility in foreign exchange VIX indexes: CBOE/CME FX Euro Volatility IndexSM (Ticker: EUVIX); CBOE/CME FX Yen Volatility IndexSM (Ticker: JYVIX)  and CBOE/CME FX British Pound Volatility IndexSM (Ticker: BPVIX). […]






No Comments

February 19, 2016 Weekly Report on CBOE VIX Index Suite

Ebb and Flow of Financial Signals Increase Foreign Exchange Volatility Volatility has migrated to the foreign exchange markets, especially the dollar/yen exchange rate. After a significant rally in early February, equity and interest rate volatility have subsided — along with a slide in interest rates and despite oil-driven fluctuations in equity values. This shift is […]






No Comments

February 12, 2016 Weekly Report on CBOE VIX Index Suite

Volatility Sizzles As Markets Waver Despite sparse developments in global fundamentals, and relatively good vibes from U.S. economic indicators, fear overtook financial markets this week and energized VIX indicators. The CBOE/CBOT 10-year U.S. Treasury Note Volatility Index (ticker symbol: TYVIX), the gauge for interest rate volatility, reached a value of 8.53 near the open on […]






No Comments

VIX Measures of Volatility Boosted by Muddled Economic Outlook

Figure 1. TYVIX, VIX and Foreign Exchange Volatility Indicators VIX volatility indicators for Treasury, equity and foreign exchange markets edged up this week as central bankers and investors appeared equally bemused by the crosscurrents in global economic news. Adding to ongoing concerns about China, low commodity prices, lack of inflation and lackluster growth, yields on […]






No Comments

Twists and Turns In VIX and TYVIX Indexes

The CBOE Volatility Index (VIX) and the CBOE/CBOT 10-year U.S. Treasury Note Volatility Index (TYVIX), benchmarks of volatility for the U.S. equity and Treasury markets, have had some interesting twists and turns this week after another decline in the Shanghai stock market pushed global equities lower and the price of crude oil dipped below $30 […]






No Comments

It’s Déjà VIX All Over Again

The same up-and-down vibes that marked the end of 2015 lifted volatility in the first week of 2016. The Shanghai stock market plunged on Monday. Oil prices were on a downward trend all through the week, and on Friday the U.S. Labor Department reported an additional 292,000 nonfarm payroll jobs were added in December. On […]






No Comments

A Look Backward and Forward: CBOE VIX Indexes in 2015 and 2016

2015 Retrospective: There was no shortage of financial crises or investor alarm over central bank monetary policies, OPEC’s oil policy, and the generally anemic state of the global economy in 2015. Each CBOE VIX Index recorded the level of stress in its underlying sector. As the graphs below illustrate, different triggers struck panic across markets. […]






No Comments

TYVIX Weekly Review: Volatilities Drift Up to October Levels as Markets Await Tighter Monetary Policy Cycle

The markets are pondering the effect the first target rate change in seven years will have on volatility (Fed rates have hovered between zero and one-quarter percent since December 2008). The Federal Open Market Committee meets on December 15-16 and is widely expected to announce a rate increase at the conclusion of the two-day meeting. […]






No Comments

Divergent Monetary Policies Widen Euro/U.S. Equity Volatility Spread, Bolster Euro Volatility

Central banks made the headlines this week. On Wednesday, Federal Reserve Chair Janet Yellen affirmed that the U.S. appears ready for the first of a sequence of federal fund rate increases, while on Thursday, European Central Bank President Mario Draghi announced the ECB would ramp up quantitative easing. The divergence between transatlantic monetary policies has […]