s&p dji thought leadership seminar
TRANSCRIPT
S&P DJI Thought Leadership Seminar
Capturing Opportunities in Volatile Markets
Paul Stephens, CBOE
Hong Kong
May 2014
Copyright © 2014 Chicago Board Options Exchange, Incorporated. All rights reserved.
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Volume Growth
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VIX® Futures Extended Trading Hours
Currently:
Starting Sunday, June 22, 2014 (pending regulatory review):
In Chicago time:
•The trading week for VIX Futures will begin each Sunday at 5:00 p.m. and end on Friday at 3:15 p.m.
•VIX futures will close for 15 minutes between 3:15 p.m. CT and 3:30 p.m. CT on Monday through Thursday, when no
trading will be transacted.
In Hong Kong time:
•The trading week for VIX Futures will begin each Monday at 6:00 a.m. and end on Saturday at 4:15 a.m.
•VIX futures will close for 15 minutes between 4:15 a.m. and 4:30 a.m. on Tuesday through Friday, when no trading will
be transacted.
Starting 4th Quarter
CBOE plans to extend trading hours for SPX Options and VIX Options.
Details for Extended Trading Hours are on www.cboe.com/ETH.
Time Zone Normal Trading Hours Post-Close Trading Session
(M-Th, Chicago, Tues-Fri Hong Kong)
Chicago Time: 2:00 am – 3:15 pm 3:30 pm – 4:15 pm
Hong Kong Time: 3:00 pm – 4:15 am (next day) 4:30 am – 5:15 am
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VIX® Futures Extended Trading Hours
www.cboe.com/ETH
Eight percent of VIX futures trading now takes place outside of regular U.S. trading hours.
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Extended Trading Hours
Volatility Indexes
Futures and Options
Strategies
Resources
Capturing Opportunities in Volatile Markets
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A measure of implied volatility:
Derived from S&P 500 index option prices
Calculated from nearby expirations for constant, 30-day volatility measure
Uses the entire range of available strike prices
– VIX is calculated from the value of a portfolio of options that replicates the square of 30-day volatility
What is VIX?
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VIX Index
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VIX and VVIXSM (VIX of VIX)
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SPX and VIX Indices
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Correlations
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VIX is 30-day vol
Futures are 30-day forward vol
All options priced on that month’s futures contract
On Bloomberg: Futures Quotes - “VIX <index> CT”
Options Quotes - “VIX <index> OMON”
Settlement Price - “VRO <index>”
VIX Futures and Options Basics
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VIX Futures Term Structure
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VXTHSM - CBOE VIX Tail Hedge Index
VIX futures less than or equal to 15 No VIX calls are purchased
VIX futures above 15 and less than or equal to 30 1% of portfolio in 30 delta VIX calls
VIX futures above 30 and less than or equal to 50 ½ % of portfolio in 30 delta VIX calls
VIX futures above 50 No VIX calls are purchased
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CBOE Risk Management Conference (RMC)
►The annual CBOE Risk Management Conferences are the premier educational forums
dedicated to exploring the latest trends in using equity derivatives and volatility products to
manage risk and increase returns. Each year, RMCs bring together market experts and
leading practitioners to explore the latest products and strategies being used to manage risk
and enhance yields.
Next RMC, in Europe:
3rd Risk Management Conference Europe
September 3 - 5, 2014
Powerscourt Hotel, County Wicklow, Ireland
Next RMC US:
31st Risk Management Conference US
March 4 - 6, 2015
Park Hyatt Aviara, Carlsbad, California
For more information, including past agendas
with select slide presentations, see
www.cboeRMC.com
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Important Disclosures
Options involve risk and are not suitable for all investors. Prior to buying or selling an option, a person must receive a copy of Characteristics and Risks of Standardized Options (the “ODD”). The ODD and supporting documentation for any claims, comparisons, statistics or other technical data in these materials are available by calling 1-888-OPTIONS, or contacting CBOE at www.cboe.com/Contact. Futures trading is not suitable for all investors, and involves risk of loss. The information in these materials is provided solely for general education and information purposes. No statement within this material should be construed as a recommendation to buy or sell a security or future or to provide investment advice. Past performance does not guarantee future results. These materials contain comparisons, assertions, and conclusions regarding the performance of indexes based on backtesting, i.e., calculations of how the indexes might have performed in the past if they had existed. Backtested performance information is purely hypothetical and is provided in this document solely for informational purposes. Investors should consult with their tax advisors regarding how the profit or loss of a particular options strategy will be taxed. Tax laws and regulations change from time to time and may be subject to varying interpretations. S&P®, and S&P 500® are registered trademarks of Standard & Poor's Financial Services, LLC and are licensed for use by Chicago Board Options Exchange, Incorporated (CBOE) and CBOE Futures Exchange, LLC (CFE). CBOE's financial products based on S&P indices are not sponsored, endorsed, sold or promoted by S&P and S&P makes no representation regarding the advisability of investing in such products. CBOE®, Chicago Board Options Exchange®, CBOE Volatility Index®, CFE®, Execute Success® and VIX® are registered trademarks and CBOE Futures Exchange, SPX, VVIX and VXTH are service marks of CBOE. Copyright © 2014 Chicago Board Options Exchange, Incorporated. All rights reserved.
Thank you. Institutional and International Business Development
1-312-786-8310 | [email protected]
400 South LaSalle Street | Chicago, Illinois 60605
www.cboe.com