Volatitilät und Risiken / VIX Futures und Optionen

@ Richard Ebert

Ja, ich habe den VBI schon ein paar mal am Anfang gehandelt und es dann freiwillig sein gelassen. Gegenwärtig ist er meiner Meinung nach einer der grössten Gaunermärkte.

Das Problem ist der Spread zwischen dem VXB und dem VBI. Ich habe im Internet keine Berechnung gefunden und auch die Realität hat gezeigt, dass dieser Spread nur auf Erwartungswerte aufgebaut ist. Ich habe eine Schwankung seit der Auflegung zwischen 25 und 40 Punkte erlebt, diese hat sich nicht konstant in eine Richtung bewegt, eher ganz im Gegenteil.

So wie er gegenwärtig handelbar ist ist er nur ein absoluter Gummifuture. Seit einigen Tagen geht so auch zum Beispiel so gut wie gar nichts mehr um.

Ich kann nur jedem empfehlen sich davon fern zu halten wenn es so bleiben sollte.

Gruß Nasdaqspieler

CBOE Futures Exchange (CFE) Sets New Single-Day Trading Record May 4, 2005 - VIX Futures Also Set New Record

(04.05.05) - The CBOE Futures Exchange, LLC (CFE) announced that today's trading volume seta new single-day record with reported volume of 4,531 futures contracts, led by volume in futures on the CBOE Volatility Index (VIX), which also set a new single day record of 4,004 contracts today, May 4, 2005. The previous CFE volume record was set on April 18, 2005, when 2,630 total contracts traded. The previous high volume for VIX futures was 2,132 contracts traded on February 3, 2005.

Total open interest at CFE stood at 14,216 contracts at today's open. CFE, which launched on March 26, 2004, is an all-electronic futures exchange offering futures on the CBOE Volatility Index (VIX), CBOE S&P 500 Three-Month Variance (VT), the CBOE China Index (CX), Russell 1000 Index (RN) and Mini-Russell 2000 Index (RT).

CBOE launched futures on the CBOE DJIA Volatilty Index (VXD) on April 25, 2005. CFE is a wholly-owned subsidiary of Chicago Board Options Exchange, Incorporated, offering an all-electronic exchange, open access market model, with traders providing liquidity and making markets. CFE trades are cleared by the triple-A rated Options Clearing Corporation (OCC). CBOE Futures Exchange, the newest futures exchange in the world, 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.

(Quelle: CBOE Futures Exchange)

CBOE To List Options On The CBOE Volatility Index (VIX) Friday, February 24, 2006

(11.01.06) - The Chicago Board Options Exchange (CBOE) announced today that it plans to list options on the CBOE S&P 500 Volatility Index, "VIX," (options ticker symbol VIX) on Friday, February 24, 2006. VIX is the widely disseminated benchmark index commonly referred to as the market's "fear gauge," and for the first time, investors will have an opportunity to trade options on this premier measure of market volatility and investor sentiment. Futures on the CBOE Volatility Index (futures ticker symbol VX) were first launched in March 2004, on the all-electronic CBOE Futures Exchange (CFE).

Derived from real-time S&P 500 Index (SPX) 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 economic uncertainty, investors buy portfolio protection in the form of index options.

"CBOE is again breaking new ground in Index innovation, bringing a new investor tool to the marketplace -- options on the CBOE Volatility Index, or VIX -- the leading investor benchmark of market sentiment and volatility," said CBOE Chairman and Chief Executive Officer, William J. Brodsky. "The launch of VIX and Variance futures on the CBOE Futures Exchange were the first exchange-traded, pure volatility products available, and the launch of VIX options will offer new ways to trade and hedge volatility to a broader audience."

"We are very excited to add VIX options to the unique suite of volatility products brought to market by CBOE," said CBOE Vice Chairman Edward T. Tilly. "Investors will now have the ability to make options trades based purely on their expectations of volatility."

Options on VIX will have a multiplier of $100, and will have contract months of two near-term contract months plus one additional month on the February quarterly cycle. Trading hours will be 8:30 a.m. to 3:15 p.m. (Chicago Time). The options will be European-style exercise, and will be cash settled. For contract specifications, historical prices and charts visit http://www.cboe.com/VIX.

CBOE Futures Exchange (Cfe) Sets New Records In January - VIX Futures Reach All-Time Highs In Volume And Open Interest

(01.02.06) - CBOE Futures Exchange (Cfe) Sets New Records In January - VIX Futures Reach All-Time Highs In Volume And Open Interest The CBOE Futures Exchange, LLC (CFE) announced today that several trading records were established in January, including new all-time highs in monthly volume and open interest in futures on the CBOE Volatility Index (VIX).

During January, trading in futures on the CBOE Volatility Index (VIX) reached new highs, setting three new records. Volume for the month of January totaled 21,502 contracts, eclipsing the previous record of 17,111 contracts in May 2005.Open interest in VIX futures stood at 19,476 contracts at month's end, also a new all-time high. On Tuesday, January 31st, a new record for single day volume in VIX futures was set as 4,604 contracts traded at CFE.

Additionally in January, CFE established a new record for total Exchange open interest. At the end of the month, total CFE open interest climbed to a new high of 21,510 contracts, surpassing the previous high in open interest of 18,634 contracts on November 14, 2005.

"January's record setting days and the fact that CFE broke the 20,000 contract level in open interest for the first time are significant benchmarks for VIX futures at the CBOE Futures Exchange," commented Patrick Fay, Managing Director, CBOE Futures Exchange. "VIX futures are becoming more popular with investors as liquidity in the market continues to build impressively. VIX futures provide a great vehicle for trading volatility and they are a convenient, easy tool for hedging volatility exposure in S&P 500 Index related positions."

CFE offers futures on 25 different contracts, including: the CBOE Volatility Index, CBOE S&P 500 Three-Month Variance, CBOE DJIA Volatility Index, CBOE China Index, full and mini-size Russell 1000 Index, Mini-Russell 2000 Index, (12) "PowerPacks" sector indexes, and (6) "Gas at the Pump" contracts.

CFE, launched in March 2004, is a wholly-owned subsidiary of Chicago Board Options Exchange, Incorporated, offering an all-electronic, open access market model, with traders providing liquidity and making markets. CFE, the newest futures exchange in the world, is regulated by the Commodity Futures Trading Commission (CFTC), and its trades are cleared by the triple-A rated Options Clearing Corporation (OCC). More information on CFE and its products, including contract specifications, can be found at: http://www.cboe.com/CFE.

BOE Volatility Index (VIX) Options Make Successful Debut; Nearly 10,000 Contracts Trade On First Day

(27.02.06) - The Chicago Board Options Exchange (CBOE) announced that volume for the first day of trading of options on the CBOE Volatility Index, "VIX" (options ticker symbol VIX), on Friday, February 24, 2006, totaled 9,423 contracts (4,328 calls and 5,095 puts).

VIX is the widely disseminated benchmark index commonly referred to as the market's "fear gauge," and for the first time, investors now have the opportunity to trade options on this premier measure of market volatility and investor sentiment. The VIX price is calculated and disseminated by the CBOE throughout the trading day. VIX futures (futures ticker symbol VX) have been available on the all-electronic CBOE Futures Exchange (CFE) since 2004.

"We are thrilled with Friday's launch of options on VIX. Volume of almost 10,000 contracts on the first day trading is an endorsement of the strong investor interest in this product," commented William Brodsky, CBOE Chairman and Chief Executive Officer. "The VIX has been an industry benchmark for over a decade and, by creating an opportunity for investors to trade the indicator of market volatility, CBOE has achieved yet another industry milestone."

CBOE has created a new section of its award-winning website, offering education on VIX trading strategies, historical price data on the VIX going back to 1986, charts, answers to frequently-asked questions, and a free options toolbox, at: http://www.cboe.com/VIXOptions.

CBOE Futures Exchange (CFE) Sets New Single-Day Record In Trading Of VIX Futures

(22.03.06) - The CBOE Futures Exchange, LLC (CFE) announced today that reported trading volume in futures on the CBOE Volatility Index (VIX) reached a new all-time high on Wednesday, March 22nd as 8,285 contracts traded. This new single-day record topped the previous high of 4,604 contracts set on January 31, 2006. Open interest in VIX futures was 21,139 contracts at the beginning of the trading session this morning.

During February, trading in futures on the CBOE Volatility Index totaled 17,720 contracts, the second busiest month ever, and open interest stood at 19,819 contracts at month's end.

Meanwhile, options on VIX, traded at CBOE since February 24, 2006, have seen an average daily volume of nearly 7,500 contracts during the first three and a half weeks of trading, while open interest has risen sharply, standing at more than 109,000 contracts on Wednesday morning.

CFE offers futures on 25 different contracts, including: the CBOE Volatility Index, CBOE S&P 500 Three-Month Variance, CBOE DJIA Volatility Index, CBOE China Index, full and mini-size Russell 1000 Index, Mini-Russell 2000 Index, (12) "PowerPacks" sector indexes, and (6) "Gas at the Pump" contracts. CFE recently announced the addition of two new products: CBOE S&P 500 Twelve-Month Variance futures, scheduled to begin trading on Friday, March 24, 2006; and National Association of Realtors Existing-Home Sales Media Price futures contracts, expected to launch in the second quarter of 2006, pending regulatory approval.

CFE, launched in March 2004, is a wholly-owned subsidiary of Chicago Board Options Exchange, Incorporated, offering an all-electronic, open access market model, with traders providing liquidity and making markets. CFE, the newest futures exchange in the world, is regulated by the Commodity Futures Trading Commission (CFTC), and its trades are cleared by the triple-A rated Options Clearing Corporation (OCC). More information on CFE and its products, including contract specifications, can be found at: http://www.cboe.com/CFE.

CBOE VOLATILITY INDEX (VIX) OPTIONS TRADE 150,493 CONTRACTS ON WEDNESDAY, MAY 10, SETTING NEW VOLUME RECORD

http://www.cboe.com/AboutCBOE/ShowDocument.aspx?DIR=ACNews&FILE=20060510.doc

gruss hans

CBOE VOLATILITY INDEX (VIX) OPTIONS TRADE 274,360 CONTRACTS, SETTING NEW ALL-TIME RECORD TODAY

http://www.cboe.com/AboutCBOE/ShowDocument.aspx?DIR=ACNews&FILE=cboe_20070516.doc

gruss hans

Terminbörsen nutzen Krise für neue Produkte

Von Ute Göggelmann

Financial Times Deutschland, FTD, Montreux (07.09.07) - Die großen Derivatebörsen wollen das gestiegene Sicherheitsbedürfnis der Handelsteilnehmer für den Start neuer Produkte und Dienstleistungen nutzen. Die US-Börse Chicago Board Options Exchange (CBOE) weitet noch in diesem Monat die Produktpalette auf den Volatilitätsindex VIX aus.

"Diese Produkte sind ein effizienter Weg, das Risiko zu managen und abzusichern", sagte CBOE-Chef William Brodsky am Donnerstag auf dem Bürgenstock Meeting, einem wichtigen Treffen der internationalen Derivatebörsen.

Auch die Londoner Derivatebörse Liffe, die zur Gruppe NYSE Euronext gehört, gab bekannt, dass sie in den kommenden Wochen drei Volatilitätsindizes einführen will, die sich auf Aktienoptionen in den Niederlanden, Belgien und Frankreich beziehen.

(Quelle und ausführlich weiter lesen: http://www.ftd.de/boersen_maerkte/marktberichte/:Terminb%F6rsen%20Krise%20Produkte/249839.html)

@ Richard Ebert [#40]

Ich kann mir nicht vorstellen, dass der VIX und die Indizes so ein Erfolg werden. Vielleicht für Zocker und Spekulanten geeignet die Vola traden wollen. Aber ein Institutioneller Investor würde seine Volarisiken dann mit Vola- oder Varianz Swaps absichern bzw. Correlation Swaps falls hier das Risiko liegen sollte.

Gruss Sebastian