Matt Moran

Matt Moran

Matt Moran is vice president of business development for Chicago Board Options Exchange (CBOE), where he communicates with pension funds, mutual funds, and financial advisors. He has delivered more than 200 presentations worldwide on the topics of managing volatility and adding income with option-writing strategies. Previously, he served trust counsel at Harris Bank and vice president at Chicago Mercantile Exchange. He is an associate editor of two Institutional Investor publications — The Journal of Trading and The Journal of Index Investing. Mr. Moran holds JD and MBA degrees from the University of Illinois.

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CBOE SKEW Index Hits 146.08 – Highest Value Since 1998 Shows Demand for Portfolio Protection

In a recent column on Bloomberg.com, Callie Bost wrote – “After three years of non-stop gains in the U.S. stock market, investors are loading up on insurance at the first sign of trouble. … Concern that the losses will worsen has increased demand for shorter-dated, out-of-the-money options designed to protect a portfolio’s value. The Chicago [...]

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Presentation on VXTYN Futures & Interest Rate Volatility Delivered by Yoshiki Obayashi

Earlier today in Dublin, Ireland. Yoshiki Obayashi, Founder and Managing Director, Applied Academics, delivered a presentation at the CBOE Risk Management Conference Europe in Ireland on the subject of the CBOE/CBOT 10-year U.S. Treasury Note Volatility Index (VXTYN) and interest rate volatility. The VXTYN Index measures the expected volatility of the price of 10-year Treasury [...]

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CBOE RMC Presentations on Structured Products & Their Impact on Markets

Informative presentations on “Structured Products & Their Impact on Markets: What You Need to Know” at the CBOE Risk Management Conference Europe on Sept. 5th in Ireland by – (1)   Ms. Delphine Leblond-Limpalaër, Equity Derivatives Specialist, Société Générale, and (2)   Mr. Peter Murphy, Founder, P. M. Murphy Ltd. Topics covered by the speakers included – – Structured [...]

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RMC Presentation on Tail Hedge Management

Mr. Angel Serrat, Partner and Chief Investment Strategist of Capula Investment Management, delivered a presentation on Tail Hedging at the CBOE Risk Management Conference Europe on Sept. 5th in Ireland. CHANGES FOR INDEXES DURING 2008 FINANCIAL CRISIS One of the reasons for increased interest in tail hedging in recent years is the fact that, during [...]

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Interest-rate Volatility and VXTYN Futures – Presentations on Friday at RMC

In recent years we at CBOE have heard many inquiries on the subjects of managing interest rate risk and interest rate volatility. CBOE Holdings offers successful futures and options on the popular CBOE Volatility Index® (VIX®) that reflects expected stock market volatility; we have been asked if futures and options on an interest-rate volatility index [...]

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Biggest Past One-Day Moves – VXST Up 81.8%; GVZ Up 61.7%

Investors who explore volatility and diversification strategies often are looking for instruments that provide a lot of “bang-for-the-buck,” and they may ask – if most items in my portfolio are falling, are there any products with negative correlations that can experience sharp jumps in uncertain times? The charts below show nine volatility indexes and their [...]

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12 Key Stats Re: VIX Index

In the recent August 16 Striking Price column in Barron’s, Steven Sears authored a piece entitled “A New Vision of VIX” that noted –  “Over the past 21 years, the CBOE Volatility Index, or VIX, has emerged as one of Wall Street’s most watched sentiment indicators. …Krag “Buzz” Gregory, a Goldman strategist, found that U.S. [...]

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CBOE Launches New S&P 500 End-Of-Month Options

Following up on an earlier CBOE Blog, CBOE recently launched the new, and long anticipated, S&P 500® End-of-Month Options. The introduction of these options stemmed from requests by asset managers who wanted an SPX option expiration that more precisely coincided with their end-of-month fund cycles and performance periods. To date the launch has been very [...]

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CBOE at Public Funds Summit This Week

CBOE is working the 3-day Opal Public Funds Summit East in Rhode Island this week. About 250 financial professionals, including four state treasurers and dozens of trustees of public pension funds, have been in attendance.  At the CBOE exhibit table, available educational literature includes fact sheets on CBOE benchmark indexes, on CBOE volatility indexes (including [...]

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PUT Index Rose 1510% (with Lower Volatility) Over 28 Years

A 2013 paper by BlackRock on “VIX Your Portfolio – Selling Volatility to Improve Performance” noted that – “A strategy that systematically sells volatility on a diversified equity index should capture a positive risk premium over long horizons because it is similar to selling insurance,” and the paper highlighted three volatility-selling strategies – 1.   Selling [...]

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New S&P 500 End-of-Month Options to Launch in July

On July 7 CBOE plans to add new S&P 500® End-of-Month Options to its SPX options product line in response to requests from asset managers who want to more precisely match SPX option expirations to end-of-month fund cycles and fund performance periods. CBOE Holdings CEO Edward T. Tilly noted “End-of-Month options represent another dimension to [...]

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Nine CBOE Indexes Hit Record Daily Closing Highs on May 27

Here are the all-time record high daily closing values for nine CBOE benchmark indexes on Tuesday, May 27th – 266.31             BXD – CBOE DJIA BuyWrite Index 1075.21           BXM – CBOE S&P 500 BuyWrite Index 1491.8             BXY – CBOE S&P 500 2% OTM BuyWrite 632.58             CLL – CBOE S&P 500 95-110 Collar Index 168.24             LOVOL – [...]

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VXST on Monday – High of 16.48, Low of 13.87, 324 Puts and 453 Calls

Blogger Steve Smith recently wrote at Minyanville – “The CBOE Short-Term Volatility Index is an underappreciated trading vehicle. Launching investment products during market declines is usually a bad idea — unless you’re selling volatility. The Chicago Board Options Exchange (NASDAQ:CBOE) began listing options on the CBOE Short-Term Volatility Index (VXST) on April 10. That turned [...]

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CBOE Bracketology – Volatility Indexes Closing Values –

Our third and final CBOE Bracketology Blog today.  Hey, stop cheering, unless you have Kentucky or Connecticut as tonight’s winner.  As we said earlier, options fans can always look to the CBOE for intriguing comparisons that can help hone their trading and investment strategies. Here is a newly constructed bracket that uses CBOE data. This [...]

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CBOE Bracketology – Q1 Volume Now, Not Tonight

Anybody have a team left in tonight’s NCAA basketball finals?  Your brackets may have been demolished (unless you are Warren Buffett), but options fans can always look to the CBOE for intriguing comparisons that can help hone their trading and investment strategies. What’s a bracket without an underdog?  And what’s a playoff without a discussion [...]

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CBOE Bracketology – Biggest One-day Moves for VXST (up 81.7%) and GVZ (up 61.7%)

While many sports fans are bemoaning the fact that their NCAA basketball brackets have been demolished, options fans can always look to the CBOE for intriguing comparisons that can help hone their trading and investment strategies. Here is a newly constructed bracket that uses CBOE data.  BIGGEST ONE-DAY MOVES One of the top reasons that [...]

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PUT and BXY Index Both Rose 2.9% in 1st Quarter

One of the most frequent questions I hear is – how is the CBOE’s buy-write index doing year-to-date? The charts below provide the percentage changes for 13 indexes in the first quarter of 2014.  Both the CBOE S&P 500 2% OTM BuyWrite Index (BXY) and the CBOE S&P 500 PutWrite Index (PUT) sell S&P 500 [...]

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Panel on 10th Anniversary of VIX Futures Launch

A recent panel discussion at CBOE on March 26 marked the tenth anniversary of the launch of futures on the CBOE Volatility Index® (VIX®). Four experts surveyed the development and promise of volatility products: • Mike Edleson, Ph.D., CFA, Chief Risk Officer, Office of Investments, University of Chicago, • Joanne Hill, Ph.D., Head of Investment [...]

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CBOE RMC Presentation: “Rebalancing Using Options”

At the 30th Annual CBOE Risk Management Conference (RMC) this week, the topic of “Asset Allocation Rebalancing Using Options” was covered by two expert speakers – Dr. Christoph Gort, Partner, SIGLO Capital Advisors Pav Sethi, Chief Investment Officer, CEO, Gladius Investment Group The speakers covered these topics – A case study on how dynamic rebalancing [...]

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Panel Discusses Management of Low Volatility Products by Insurance Companies

On March 19 at the 30th Annual CBOE Risk Management Conference,  three experts discussed “Design and Management of Low Volatility Products by Insurance Companies”: Alan Grissom, Global Head of Insurance,  S&P Dow Jones Indices Chris Quallan, Vice President, Derivative Trading, 40/86 Advisors Barry S. Seeman, Global Head of Derivatives Structuring, AEGON Topics discussed included – [...]

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New Study by Goldman Sachs: 196 Funds That Use Options Had Lower Volatility and Higher Returns

At the 30th Annual CBOE Risk Management Conference in Bonita Springs Florida, John Marshall of Goldman Sachs delivered a presentation on “Mutual Fund Use of Options: Public Holdings and Trends.”  John manages the Goldman’s Derivatives Research team in New York. John said that in recent years, Goldman Sachs Global Investment Research did extensive, time-consuming  research [...]

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Horizon Kinetics Discusses Cash-Secured SPX Put Selling at CBOE RMC

At the 30th Annual CBOE Risk Management Conference this week in Florida, Doug Kramer, Chief Executive Officer of New York-based Horizon Kinetics, appeared on a panel on “Historical Performance of Options-Related Strategies.” Doug noted that the CBOE S&P 500 PutWrite Index (PUT) sells one-month  cash-secured put options on S&P 500® (SPX) that are slightly out [...]

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Chinese Investors Explore Equity Options in 2014

During the past three weeks I delivered presentations on use of index options and volatility products to an aggregate total of more than 300 Chinese financial professionals in these four cities – 1.         Shanghai, China (6th largest urban agglomeration in the world, with population of 19.5 million); 2.         Beijing, China (9th largest urban agglomeration in [...]

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Experts to Discuss Options Benchmark Performance on March 17 in FL

On March 17th at the 30th Annual CBOE Risk Management Conference in Florida, I will participate in a panel discussion on Historical Performance of Options-Related Strategies with these three investment management experts –  Karl A. Schneider, CAIA, Vice President, State Street Global Advisors Doug Kramer, Chief Executive Officer, Horizon Kinetics Theodore Samulowitz, Vice President – [...]

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Yield-oriented indexes in 2013 (thru Dec. 24) – BXY is up 20.1%; Citigroup 30-yr Treasury Index is down 14.5%

FYI  Here are % changes for some yield-oriented indexes in 2013 (through Dec. 24) – Citigroup 30-yr Treasury Index                     –   down 14.5% BXM – CBOE S&P 500 BuyWrite Index        –   up 12.9% BXY – CBOE S&P 500 2% OTM BuyWrite   — up 20.1% BOND BENCHMARK INDEXES (from WSJ) According to the Wall Street Journal, year-to-date [...]

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New BuyWrite ETF Based on CBOE BXN Index Launched Today

Today trading began in the Recon Capital NASDAQ 100 Covered Call ETF (QYLD).  The new QYLD ETF seeks to provide investment results that will closely correspond, before fees and expenses, generally to the price and yield performance of the CBOE NASDAQ-100® BuyWrite Index (BXN).  THE BXN INDEX The CBOE NASDAQ-100 BuyWrite Index (BXN) measures the [...]

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Sharpe Innovation Awards to ETF and Index That Use VIX Futures

On December 9th the annual William F. Sharpe Indexing Achievement Awards were presented at the 18th Annual IMN Global Indexing and ETF’s Conference in Scottsdale, Arizona. Here are the first two awards that were presented – (1)  Indexing Innovation of the Year — S&P 500 Dynamic VEQTOR Index, which dynamically allocates long-only exposure between the [...]

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Total Volume and Open Interest for New PM-Settled Mini-SPX Options Both Surpass 24,000 Contracts, as XSP Index Hits Record Highs

CBOE listed a Mini-SPX Index options (options symbol: XSP) contract with a new PM-settlement feature on November 5. In its first eight days of trading, the PM-settled contract (XSP) averaged 3,079 contracts per day, while the AM-settled contract (XSPAM) averaged 2,008 contracts per day during the same period.  On November 14 open interest in the [...]

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CBOE S&P 500 Implied Correlation Index (JCJ-E) Recently Hit Its All-time Low of 36.07

A recent Bloomberg news story by Nikolaj Gammeltoft, Nick Taborek and Aubrey Pringle noted that – “U.S. options traders are convinced that profits, buybacks and takeovers will exert a greater influence on stock prices in coming months, sending an index tracking expectations for lockstep moves to a six-year low.   The Chicago Board Options Exchange S&P [...]

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CBOE SKEW Index Hit 19-Month High on Oct. 15, Reflecting Demand for Disaster Protection

Earlier this month press reports showed quite a bit of worldwide apprehension over the wrangling in Washington D.C. regarding the partial government shutdown and possible U.S. debt default.  What are some metrics to measure the level of apprehension in the markets? On October 9th the well-known CBOE Volatility Index® (VIX®) hit an intraday high of [...]

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All-time Highs Today for 5 CBOE Indexes – BXY, PUT, BXN, BXR, LOVOL

The past few decades investors have written index options with the goals of strong returns and less volatility than related stock indexes. Here are the closing values for five CBOE benchmark indexes that hit their all-time daily closing high values today – 1319.73        BXY   -   CBOE S&P 500 2% OTM BuyWrite Index 1309.04        PUT [...]

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NYC Reps Interested in Rate Volatility; VXTN up 83% Since April

This week CBOE representatives had several meetings in New York City with representatives of several large financial services firms. Firm representatives told CBOE that many of their clients have expressed increased interest in interest rate volatility over the past few months.  CBOE now offers two volatility indexes related to interest rate volatility – CBOE/CBOT 10-year [...]

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Benchmark for Selling VIX Futures – VPD Index Rose 132%

The 24-page BlackRock paper “VIX Your Portfolio – Selling Volatility to Improve Performance”  (June 2013 ) recommended exploring the possibility of selling futures on the CBOE Volatility Index® (VIX®), collateralized with Treasury bills, and the paper noted that – “A strategy that systematically sells volatility on a diversified equity index should capture a positive risk [...]

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Two BlackRock Papers: (1) Volatile September, and (1) VIX Your Portfolio

BlackRock recently published these two papers –  “Get Ready for a Volatile September” (August 20, 2013) http://bit.ly/VolSept  (8-page paper), and “VIX Your Portfolio – Selling Volatility to Improve Performance” (June 2013 ) http://bit.ly/BlackRock-VIX (24-page paper) The BlackRock paper on September volatility noted that – “Volatility is likely to increase into September when the Federal Reserve [...]

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Searching for Yield — Y-T-D BXY Is Up 7.8%, and VXTYN Is Up 75%

This year many investors have searched for investments with higher yields and positive returns. However, some traditional fixed income instruments have had low yields and negative returns.  For example, as of August 29th, the Barclay’s Capital Long-term Treasury Index had a yield of 3.52% and a total year-to-date return of negative 11.46% (source: wsj,com). Many [...]

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Is September the Cruelest Month for Stock Investors?

The highly regarded 1922 poem “The Waste Land” by T.S. Eliot begins –  “April is the cruelest month, breeding lilacs out of the dead land, mixing memory and desire, stirring dull roots with spring rain.” What has been the cruelest month for stock investors? While October has a reputation for being a volatile month with [...]

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Generating Yield and Positive Returns in 2013 with Index Options

In 2013 many investors are searching for higher yields and positive returns for yield-oriented investments.  In light of the fact that many interest rates are so low, and some bond-related investments are struggling to generate positive returns, many investors are looking to strategies such as the selling of index options with the goal of generating [...]

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Comparing Volatility Skew and CBOE’s Volatility Indexes

How does 30-day implied volatility at various strike prices compare to related volatility indexes?  This Blog provides a brief overview of some sample data and graphs on this topic. The methodology for the CBOE Volatility Index® (VIX®) uses near-term and next-term out-of-the money SPX options with at least 8 days left to expiration, and then [...]

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Agenda for CBOE RMC Europe 2013 Is Now Available

The CBOE Risk Management Conference – Europe will be held at the Penha Longa Resort (near Lisbon, Portugal) on September 30th through October 2nd ,2013. The agenda and registration link for RMC Europe now are posted at http://www.cboermceurope.com/agenda EXPERT SPEAKERS Here are some of the many expert speakers who will share insights at RMC Europe [...]

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Has the VIX Recently Been “Low”?

When I deliver presentations on the road I often hear from investors that they are surprised that the CBOE Volatility Index® (VIX®) has been relatively low compared to its long-term average, especially in light of worldwide market uncertainties and press stories.  Since 1990 the average daily close for the VIX Index was 20.3, but in [...]

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BXY and PUT Indexes – Higher Returns and Lower Volatility

In my discussions with investors concerning their goals for their investment portfolios, I hear investment goals stated in many different ways, but for many people the investment goals can be summarized simply as follows – over the long-term, many investors want higher returns with lower volatility. As shown in the first two charts below, both [...]

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New Daily Volume Record of 2,282,029 for SPX Options

Trading volume in S&P 500® Index options (SPXSM) contracts on Thursday, June 20 established a new daily record of 2,282,029 contracts traded.   Thursday’s SPX record surpassed the previous daily volume record of 2,187,004 contracts set on May 20, 2010. The open interest for SPX options on June 20 was 15,481,319 contracts (5,959,438 SPX calls and [...]