Futures und Optionen auf den CBOE DJIA Volatility Index

CBOE To List Options On The CBOE Volatility Index (VIX); Investors Now Have Opportunity To Trade Options On The Market's Widely-Disseminated "Fear Gauge"

(18.03.05) - The Chicago Board Options Exchange (CBOE) announced today that the exchange plans to list options on the CBOE Volatility Index, VIX, (ticker symbol VXB) for trading beginning Friday, April 22, 2005. VIX is the widely disseminated, benchmark index commonly referred to as the market's "fear gauge," and for the first time, investors will now have an opportunity to trade options on this premier measure of market volatility and investor sentiment. Futures on the CBOE Volatility Index (ticker symbol VX) were first launched one year ago and are traded on the CBOE Futures Exchange (CFE).

Derived from real-time S&P 500 Index option prices, VIX is designed to reflect investors' consensus view of expected stock market volatility over the next 30 days. Some market analysts consider VIX the "investor fear gauge" since during periods of financial stress, which are often accompanied by market declines, investors buy portfolio protection in the form of index options.

"As the home of index innovation, CBOE is proud once again to introduce an industry first to the marketplace - options on the CBOE Volatility Index, or VIX - the leading barometer of market sentiment and volatility," commented CBOE Chairman and Chief Executive Officer, William J. Brodsky. "The launch of VIX futures through our CBOE Futures Exchange twelve months ago has been met with tremendous enthusiasm and the expansion of the VIX brand into options is a natural progression for us and the continued evolution of our volatility-related product line. Options on VIX will provide investors many new opportunities to trade and hedge volatility."

Options on VIX will offer contract months of two near-term contracts months plus two additional months on the February quarterly cycle, and will have trading hours of 8:30 a.m. to 3:15 p.m. (Chicago Time). A more detailed listing of currently anticipated contract specifications for options on VIX follows.

CBOE Volatility Index

The CBOE Volatility Index - more commonly referred to as "VIX" - is an up-to-the-minute market estimate of expected volatility that is calculated by using real-time S&P 500 (SPX) index option bid/ask quotes. VIX uses nearby and second nearby options with at least 8 days left to expiration and then weights them to yield a constant, 30-day measure of the expected volatility of the S&P 500 Index. The underlying for options is the Jumbo CBOE Volatility Index (VXB), equal to 10 times the value of VIX. For example, when the level of VIX is 12.81, VXB would be 128.10.

Options on VIX Contract Specifications:

Ticker symbol: VXB
Trading hours: 8:30 a.m. to 3:15 p.m. CT (Chicago Time).
Price quotation: quoted in terms of the underlying Jumbo CBOE Volatility Index (VXB), equal to ten times the value of VIX.
Strike price: strike prices are listed with minimum intervals of 2 ½ points. In-, at-, and out-of-the-money strike prices will initially be listed. New strikes can be added as the index moves up or down.
Contract size: contract multiplier is $100 per point.
Contract months: two near-term contracts months, plus two months in the February quarterly cycle may be listed.
Minimum price intervals: Minimum tick for series trading below $3 is 0.05 ($5.00); above $3 is 0.10 ($10.00).
Exercise style: European. CBOE Volatility Index options generally may be exercised only on the last business day before expiration.
Termination of trading: the Tuesday prior to the Settlement Date of each month.
Final settlement date: the Wednesday that is thirty days prior to the third Friday of the calendar month immediately following the expiring month.
Settlement of option exercise: the exercise-settlement value for VXB options shall be 10 times a Special Opening Quotation (SOQ) of VIX calculated from the sequence of opening prices of the options used to calculate the index on the settlement date. The opening price for any series in which there is no trade shall be the average of that option's bid price and ask price as determined at the opening of trading. Exercise will result in delivery of cash on the business day following expiration. The exercise-settlement amount is equal to the difference between the exercise-settlement value and the exercise price of the option, multiplied by $100.

CBOE, the world's largest options marketplace and the creator of listed options, is regulated by the Securities and Exchange Commission (SEC). For additional information about the CBOE and its products, visit the CBOE website at: http://www.cboe.com/.

CBOE BuyWrite Index

In addition to VXD, CBOE also calculates and disseminates the CBOE S&P 500 Volatility Index, VIX; and the CBOE Nasdaq-100 Volatility Index, VXN.

The new CBOE DJIA BuyWrite Index (BXD) is a benchmark index that measures the performance of a theoretical portfolio that sells DJX call options, against a portfolio of the stocks included in the Dow Jones Industrial Average. A "buy-write," also called a covered call, generally is considered to be an investment strategy in which an investor buys a stock or a basket of stocks, and also sells call options that correspond to the stock or basket of stocks. This strategy can be used to enhance portfolio returns and reduce volatility.

In addition to BXD, CBOE also publishes the CBOE S&P 500 BuyWrite Index, BXM. Created and introduced by CBOE in April, 2002, BXM has become the benchmark for investors and investment professionals seeking a long-term track record of the buy-write strategy.

Heiße Luft aus der CBOE Marketing Abteilung:

"The launch of VIX futures through our CBOE Futures Exchange twelve months ago has been met with tremendous enthusiasm"

Der maximale Wert des Open Interest im März Kontrakt dieses Futures lag am 14.4.2005 bei 2358 Kontrakten. Es wurden 798 Kontrakte gehandelt an diesem Tag.

Also ich weiß nicht genau wie sich die Liquidität und der Handel der Volafutures an sich weiterentwickelt haben, aber ich weiß noch sehr gut wie es so in den ersten zwei Monaten nach der Einführung des VIX Futures war:

Ich war kurzfristig der Meinung das ganze effektiv für Handelssysteme die ich auf dem VIX hatte zu nutzen, aber da war ich wohl mal etwas naiv noch. Das war ein netter Gaunermarkt und mehr nicht. Wenn nur in dem Sinne Erwartungen auf den VIX gehandelt werden ohne wirkliche Koppelung am VIX dann kann man das Ding nur für das nutzen was die auch machen - fein selbst Kurse stellen und versuchen andere damit über den Tisch zu ziehen.

Nein danke, aber das war nichts für mich.

Entweder spiele ich solche Systeme eventuell noch mal indirect über die Aktienfutures dann ( muss ich noch Backtesten ) oder das Thema hat sich erledigt.

Gruß Nasdaqspieler

Auch die Umsätze nahezu aller anderen Futures, wie Eurodollar, Deutsche Mark, Heizöl usw. lagen zu Beginn meistens unter 100 Kontrakten pro Tag. Sie können das in den Charts auf http://www.Chartbuch.de selbst nachvollziehen.

Die nachhaltige Liquidität eines Terminmarktes kann nach zwei bis drei Monaten nicht beurteilt werden.

Nasdaqspieler sieht es völlig richtig, eine mangelnde Liquidät mit breiter Geld-Brief Spanne lässt sich durch eigene Orders vorzüglich ausnutzen. Ich habe das in ver Praxis vielfach nutzen können. Entweder erhält man mit dieser Methode keine Ausführung oder eine sehr gute.

@ Herrn Ebert

Zitat: "Nasdaqspieler sieht es völlig richtig, eine mangelnde Liquidät mit breiter Geld-Brief Spanne lässt sich durch eigene Orders vorzüglich ausnutzen. Ich habe das in ver Praxis vielfach nutzen können. Entweder erhält man mit dieser Methode keine Ausführung oder eine sehr gute."

Dies würde bedeuten, das man zur Zeit im MDax-Future sehr gut aufgehoben wäre? Man limitiert auf Geld und Brief und hofft dann auf eine Ausführung auf beiden Seiten?

@ Richard Ebert

Bei diesen Futures und Optionen handelt es sich um ein todgeweihtes Produkt. Ohne institutionelle Anleger wird dort nie die Liquidität erreicht. Die Institutionellen Anleger handeln weiterhin Ihre Varianceswaps mit den Banken und diese Hedgen diese Swaps weiterhin über den Optionsmarkt, gelistet oder OTC.

Die Idee ist gut, aber wird sich nicht durchsetzen.

Gruß

Henning

@ SP2

Das kann ich nicht beurteilen. Für mich ist es einfacher an den Rohstoffterminmärkten, weil ich diese schon ewig gehandelt habe, wie z.B. den dünn gehandelten Futures der WTB Hannover auf Schweine und Ferkel.

@ TraderLux

Ja, schade.

CBOE Futures Exchange To Launch Futures On The New CBOE DJIA Volatility Index On Monday, April 25, 2005 - Chicago Trading Company (CTC) Named Designated Primary Market Maker

(21.04.05) - The CBOE Futures Exchange (CFE) today announced that it will launch futures on the new CBOE DJIA Volatility Index (VXD) on Monday, April 25, 2005. Under an agreement with Dow Jones & Company, CFE has created the first tradable volatility product based on volatility in the benchmark Dow Jones Industrial Average. Chicago Trading Company (CTC) was selected as the Designated Primary Market Maker (DPM) for VXD futures.

"We are extremely pleased to offer this exciting new product. The Dow Jones Industrial Average is one of the most recognized and widely followed benchmark indexes in the world, so naturally there has been tremendous customer interest in a Dow-based volatility product," said CBOE Chairman and CEO William J. Brodsky. "By working together, CBOE and Dow Jones have created an important new product that will enable portfolio managers and investors of all sizes to manage volatility risk of a Dow portfolio."

"The Dow Jones Industrial Average is an excellent tool to measure the performance of the U.S. market. By launching the first product based on a Dow-based volatility index, the CBOE demonstrates their market leadership and takes an innovative step in offering their members and customers exposure to U.S. blue chip companies and the opportunity to react to market expectations of near-term volatility," said Michael A. Petronella, president of Dow Jones Indexes/Ventures.

"CFE is proud to add VXD futures to its growing family of Volatility and Variance products. Today's money managers, large and small, recognize the importance of volatility-both as a profit opportunity and as a risk factor. CFE's Volatility products are designed to enable all investors to manage that risk, and to take advantage of volatility trading opportunities," said CFE Managing Director Patrick Fay.

The CBOE DJIA Volatility Index (ticker symbol VXD) is designed to reflect investors' consensus view of expected volatility over the next 30 days in the Dow Jones Industrial Average, and as such, can be used as a benchmark of investor sentiment. VXD is calculated from prices of near-term Options on the Dow (DJX) traded at the CBOE. For more information on methodology, historical data and charts for VXD, please visit http://www.cboe.com/IndexSites

Futures on the CBOE DJIA Volatility Index (futures ticker symbol DV) will expand the menu of tradable volatility indexes at CFE, providing investors a direct means to trade the volatility of the DJIA.DV futures will trade in CFE's all-electronic, open access market model, with dedicated liquidity providers making markets. DV futures offer the benefits of a standardized, exchange-traded volatility contract, cleared through the triple-A rated Options Clearing Corporation (OCC). The CBOE Futures Exchange, the newest futures exchange in the world, is a wholly-owned subsidiary of Chicago Board Options Exchange, Incorporated, and is regulated by the Commodity Futures Trading Commission (CFTC). More information on CFE and its products, including contract specifications, can be found at: http://www.cboe.com/CFE

CBOE, the world's largest options marketplace and the creator of listed options, is regulated by the Securities and Exchange Commission (SEC). For additional information about the CBOE and its products, visit the CBOE website at: http://www.cboe.com/.