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Volatility Views

Volatility Views is the premier radio program for volatility traders. From interviews with leading industry guests to detailed analysis of volatility products, this program takes you inside the world of volatility trading like never before. If you are an experienced options trader looking to expand your understanding of volatility, or if you are simply curious about VIX and other volatility products, then this is the program for you.

Sep 29, 2014

Volatility Views 129: Juicing Up BuyWrites

Volatility Viewpoint: Today’s guest is Russell Rhoads, who is a senior instructor at CBOE’s Options Institute.  He’s on to discuss a new white paper, A Leveraged Portfolio Management Approach Applying The CBOE S&P 500 2% OTM BuyWrite Index.

Summary: Historically, the CBOE S&P 500 2% OTM BuyWrite Index has outperformed the total return that would be expected from passively holding a market portfolio. This outperformance occurred on both an absolute and risk-adjusted basis. Additionally, a leveraged strategy that matches 120% of the expected performance of BXY may enhance this performance with a similar risk profile to the market portfolio.

Volatility Review: The week that was

  • VIX Cash - A relatively quiet week until an enormous pop on Thursday.
  • VIX Futures - further developments in VIX Futures term structure.
  • VIX Options - Hot Strikes: 326,209 VIX Oct-14 20 Calls, 296,305 VIX Oct-14 17 Calls & 290,453 VIX Nov-14 20.0 Calls.
  • VXST Options - On a day when VIX spikes 18%, there is still no interest in VXST.
  • RVX actually trading a bit on Thursday. Gold still skewing towards puts - Silver puts starting to catch a bid as well.

Crystal Ball: Brazilian elections. Could we see another India-like surge in VIX? Non-farms ahead.