Data Analytics and Indices

Trending

Index Insights: October 2024

Market performance in October was marked by modest pullbacks for equities and higher volatility ahead of the long-awaited U.S. election. Among broad equity indices, midcaps and industrials led the decline while large caps finished the month about 1% off all-time highs.

Read More

Market performance in October was marked by modest pullbacks for equities and higher volatility ahead of the long-awaited U.S. election. Among broad equity indices, midcaps and industrials led the decline while large caps finished the month about 1% off all-time highs. Realized volatility remained very low, near 9% for the S&P 500 Index, while correlation and implied volatility rose as election day approached. The VIX^® Index moved above 23 on October 31, the highest level since early August. Among Cboe indices, metrics involving premium selling were lower, except for the PUTR Put-write index which was up .32% as the declines were relatively steady and concentrated in the second half of the month.

Equity Indices

^{Source: Cboe Global Markets}

The Russell 2000® Index (RUT) measures the performance of small-cap segment of the U.S. equity universe. It is a subset of the Russell 3000® Index and includes approximately 2000 securities based on a combination of their market cap and current index membership. RUT options are valuable tools for increasing yields and managing risk. The Cboe S&P 500® Index option contract (SPX), is designed to track the underlying S&P 500 Index and help investors achieve broad market protection. SPX® options offer the potential opportunity to manage large-cap U.S. equity exposure and execute risk management, hedging, asset allocation, and income generation strategies.

Volatility Indices

^{Source: Cboe Global Markets}

The VIX Index is based on real-time prices of options on the S&P 500® Index (SPX) and is designed to reflect investors' consensus view of future (30-day) expected stock market volatility. Cboe 1-Day Volatility Index® (VIX1D Index) estimates expected volatility by aggregating the weighted prices of P.M.-settled S&P 500 Index (SPX) puts and calls over a wide range of strike prices. The Cboe 3-Month Volatility IndexSM (VIX3M) is designed to be a constant measure of 3-month implied volatility of the S&P 500® (SPX) Index options.

Dispersion and Correlation Indices

^{Source: Cboe Global Markets}

The Cboe S&P 500 Dispersion Index (DSPX) measures the expected dispersion in the S&P 500 Index over the next 30 calendar days, as calculated from the prices of S&P 500 Index options and the prices of single stock options of selected S&P 500 Index constituents, using a modified version of the VIX® methodology. The Cboe S&P 500 Implied Correlation Indices including COR1M and COR6M are the first widely disseminated market estimates of the average correlation of the stocks that comprise the S&P 500. The Cboe S&P 500 Implied Correlation Indexes offers insight into the relative cost of SPX options compared to the price of options on individual stocks that comprise the S&P 500.

BuyWrite Indices – Equity

^{Source: Cboe Global Markets}

The Cboe® MSCI Emerging Markets BuyWrite Index (BXEF) is a benchmark index designed to track the performance of a hypothetical buy-write strategy on the MXEF® index. The Cboe S&P 500 BuyWrite Index (BXM) is a benchmark index designed to track the performance of a hypothetical buy-write strategy on the S&P 500 Index®. The Cboe S&P 500 Half BuyWrite Index (BXMH) is a benchmark index designed to track the performance of a hypothetical covered call strategy. The BXMH Index is similar in design to the Cboe S&P 500 BuyWrite Index (BXM). However, the difference in methodology is as follows: the strategy only writes half a unit of an ATM monthly SPX call option while the long SPX Index position remains unchanged. The Cboe Validus S&P 500® Dynamic Call BuyWriteSM Index (CALD) tracks the value of a hypothetical rules-based investment strategy which consists of overlaying a basket of S&P 500 a.m.-settled standard expiry short call options over a long position invested in the S&P 500 with dividends reinvested (total return).

PutWrite Indices

^{Source: Cboe Global Markets}

The Cboe S&P 500 PutWrite® Index (PUT) tracks the value of a hypothetical portfolio of securities (PUT portfolio) that yields a buffered exposure to S&P 500 stock returns. The PUT portfolio is composed of one- and three-month Treasury bills and of a short position in at-the-money put options on the S&P 500 index (SPX puts). The number of puts sold is selected to ensure that the value of the portfolio does not become negative when the portfolio is rebalanced. The Cboe Validus S&P 500 Dynamic PutWrite Index (PUTD) is designed to track the value of a rule-based investment strategy which consists of overlaying a basket of S&P 500 (SPX) a.m. settled standard-expiry short put options over a money market account invested at the 4-week daily Treasury Bill rate. The Cboe Russell 2000 PutWrite Index (PUTR) tracks the value of a hypothetical portfolio of securities (PUTR portfolio) that yields a buffered exposure to Russell 2000 Index stock returns. The PUTR portfolio is composed of an investment of $K in one-month Treasury bills and of a short position in an at-the-money puts on the Russell 2000 Index (RUT put), where K is the strike price of the put option.

BuyWrite Indices – Fixed Income

^{Source: Cboe Global Markets}

The Cboe HYG BuyWrite Index (BXHB) is designed to track the performance of a covered call strategy with a short iShares iBoxx $ High Yield Corporate Bond ETF (HYG) call option expiring monthly. The Cboe LQD BuyWrite Index (BXLB) is designed to track the performance of a covered call strategy with a short iShares iBoxx $ Investment Grade Corporate Bond ETF (LQD) Call option expiring monthly. The Cboe TLT 2% OTM BuyWrite Index (BXTB) is designed to track the performance of a covered call strategy with a short iShares 20+ Year Treasury Bond ETF (TLT) Call option expiring monthly.

Target Outcome Series

^{Source: Cboe Global Markets}

The Cboe S&P 500 Enhanced Growth Index Series (SPEN) and Cboe S&P 500 Buffer Protect Index Series (SPRO)are part of a family of Target Outcome Indices. The Indices are designed to provide target outcome returns linked to the U.S. domestic stock market. The indices measure the performance of a portfolio of hypothetical exchange traded Flexible Exchange® Options ("FLEX® Options") that are based on the S&P 500® Index.

Protective Put Indices

^{Source: Cboe Global Markets}

The Cboe VIX Tail Hedge Index (VXTH) tracks the performance of a hypothetical portfolio that:

• Buys and holds the performance of the S&P 500 index (the total return index, with dividends reinvested), and
• Buys one-month 30-delta call options on the Cboe Volatility Index (VIX). New VIX calls are purchased monthly, a procedure known as the "roll." The weight of the VIX calls in the portfolio varies at each roll and depends on the forward value of VIX, an indicator for the perceived probability of a "swan event."
• The weights are determined according to this schedule and the weights applied at a particular roll date can be seen by opening the VXTH Monthly Roll Spreadsheet.

^{There are important risks associated with transacting in any of the Cboe Company products or any digital assets discussed here. Before engaging in any transactions in those products or digital assets, it is important for market participants to carefully review the disclosures and disclaimers contained at: https://www.cboe.com/us_disclaimers/. These products and digital assets are complex and are suitable only for sophisticated market participants. These products involve the risk of loss, which can be substantial and, depending on the type of product, can exceed the amount of money deposited in establishing the position. Market participants should put at risk only funds that they can afford to lose without affecting their lifestyle. © 2024 Cboe Exchange, Inc. All Rights Reserved.}

• 
  Index Insights: September 2024
  Read More
• 
  How the Cboe Ecosystem Unlocks Opportunities for the Markets
  Read More
• 
  Index Insights: August 2024
  Read More
• 
  Building Connections Through Data and Access Solutions
  Read More
• 
  FLEX Appeal: Enhanced FLEX Functionality on Cboe Platforms and Data
  Read More
• 
  Index Insights: July 2024
  Read More
• 
  Index Insights: June 2024
  Read More
• 
  Build Trusted Markets with Accessible Data
  Read More
• 
  How to Access International Exchange Data with Cboe Global Cloud
  Read More
• 
  Index Insights: May 2024
  Read More
• 
  The State of the Options Industry
  Read More
• 
  Preparing for November: 14% Election Bump for VIX® October Futures
  Read More
• 
  How Cboe European Indices Performed Since 2010
  Read More
• 
  First-Quarter Gains of More Than 8% for Cboe’s PPUT, BXMD, VXTH & BXMH Indices
  Read More
• 
  Cboe® MSCI® PXEF Index Generated Monthly Yields, Higher Returns, and Lower Volatility
  Read More
• 
  New Cboe® MSCI® Index Tools to Track and Manage Global Equity Exposure
  Read More
• 
  Cboe’s VPD, SPEN, CALD and SPRO Indices Gained More Than 22% Over 12 Months
  Read More
• 
  Enhance Your Trading Experience with Cboe's Analytics and Order Execution Tools
  Read More
• 
  New SPRFI Buffer Index Had Lower Volatility and Higher Risk-Adjusted Return
  Read More
• 
  15% Election Bump for VIX October Futures
  Read More
• 
  Two Cboe Indices Rose More Than 42% in 2023
  Read More
• 
  A Note from Adam Inzirillo
  Read More
• 
  Record Monthly Closing Highs for 10 Cboe Strategy Indices
  Read More
• 
  Cboe® VXTH Index Had 5-Year Gain of 98.6% and Did Well in a 60-40 Allocation
  Read More
• 
  Strong Year-to-Date Gains for Cboe’s VPD, VPN, SPEN Indices
  Read More
• 
  Y-T-D Gains of More than 19% for VPD, VPN, SPEN and BXN Indices
  Read More
• 
  Five-Year Gains of More than 60% for CALD, PPUT and VXTH Indices
  Read More
• 
  Cboe’s VPD, VPN and BXN Indices Rose More Than 19% in the First Half of 2023
  Read More
• 
  Russell Reconstitution, Volatility and Strategy Benchmark Indices
  Read More
• 
  Three Cboe Indices Up More Than 11% in 2023
  Read More
• 
  How the VIX1D Index Performance Compares to the VIX Index and Other Volatility Indices in 11 Charts
  Read More
• 
  Cboe Index Insights May 2023
  Read More
• 
  What the VIX and VIX1D Indices Attempt to Measure and How They Differ
  Read More
• 
  Index Insights: Banking Concerns Lead to Quarterly Highs for VIX® Index and VIX9D Indices
  Read More
• 
  Record Option Flow in 3M as Traders Positioned for Spinoff
  Read More
• 
  SPX Weekly Options Bonanza: Why Should You Trade Them?
  Read More
• 
  Russell Reconstitution: Opportunities to Harvest Volatility
  Read More
• 
  Investors Turn to Global Index Options Overlay Strategies Amid Heightened Geopolitical Volatility
  Read More
• 
  How to Make the Most of Added SPXW Options Expirations
  Read More
• 
  Option Flow 2021 – Retail Rising
  Read More
• 
  A New Year for the Russell 2000
  Read More
• 
  Trading Strategies for Extended Global Trading Hours for VIX and SPX Options
  Read More
• 
  Three Reasons to Explore Extended Global Trading Hours for SPX and VIX Options
  Read More
• 
  How To Make the Most of Russell 2000 Index Seasonality Through the End Of 2021
  Read More
• 
  Exploring the Benefits of Small-Cap Stocks and MRUT Options
  Read More
• 
  Discover the Benefits of Mini-SPX (XSP) Index Options
  Read More
• 
  Russell 2000 Index Seasonality and the Treacherous September – October Time Frame
  Read More
• 
  A Cost-Effective Way to Trade Options on the Russell 2000® Index
  Read More
• 
  Benchmark Indices Series: Volatility Management with Cboe’s BFLY and CNDR Indices
  Read More
• 
  Benchmark Indices Series: Income Generation and Smoother Returns with Cboe’s BXM, BXMD, PUT and CMBO Indices
  Read More
• 
  Benchmark Indices Series: Hedging Downside Exposure with PPUT, CLL and CLLZ Indices
  Read More
• 
  Opportunities to Harvest Volatility During the Annual Russell Reconstitution
  Read More
• 
  All About Options Expert Sheldon Natenberg
  Read More
• 
  Learning the Greeks: An Expert’s Perspective
  Read More
• 
  Nine Key Features of the Russell 2000 Index and New Mini-Russell 2000 Index Options (MRUT), Part 3
  Read More
• 
  Nine Key Features of the Russell 2000 Index and New Mini-Russell 2000 Index Options (MRUT), Part 2
  Read More
• 
  Nine Key Features of the Russell 2000 Index and New Mini-Russell 2000 Index Options (MRUT)
  Read More
• 
  The Trends Behind the Russell 2000 Index’s Record Monthly Gain
  Read More
• 
  How Target Outcome Indices May Help Investors Minimize Risk and Target Returns
  Read More
• 
  Managing Global Risk Exposure with MSCI EAFE® and EM Index Options
  Read More
• 
  Understanding Values-Based Investing with Cboe’s New S&P 500 ESG Index Options
  Read More
• 
  How to Tame Risk with VIX® Futures and Options in 2020
  Read More
• 
  The 32nd Annual Russell Index Reconstitution Explained
  Read More
• 
  Federal Reserve Bank’s “Whatever it Takes” Response Impacts U.S. Small-Caps
  Read More
• 
  What to Know about the Cboe and FTSE Russell Combination
  Read More
• 
  New Wilshire Paper Uncovers Where to Find Enhanced Risk-Adjusted Returns
  Read More
• 
  Defining the Decade: Ten Years of Growth
  Read More
• 
  The First Week of 2020: How U.S. Markets Started the New Year
  Read More
• 
  How to Leverage Social Media to Your Advantage
  Read More
• 
  Index FLEX Contracts Hit New Records as Investors Customize Their Options
  Read More
• 
  Cboe Launches First-Ever Global Options-Based Benchmark Indexes
  Read More
• 
  Key Highlights for 11 Select Sectors
  Read More
• 
  What You Need to Know About Cboe’s New Options on Select Sectors
  Read More
• 
  Key Cboe Benchmark Indexes Using SPX Options Offer Strong Risk-Adjusted Returns
  Read More
• 
  Record-breaking Month and Year for Cboe’s Stock Index Options
  Read More