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VIX Futures and Options – A Case Study of Portfolio Diversification ...
https://cdn.cboe.com/resources/vix_options/vixfuturesoptionsumassfull.pdfArditti [1967] shows that investors that exhibit non-increasing absolute risk aversion prefer positive skewness. Therefore negatively skewed return ...
Options Analytics
https://cdn.cboe.com/.../Cboe_Hanweck_Options-Analytics_Content-Overvi...skews. Mixture models provide a flexible, arbitrage-free and. Please visit Cboe.com/Hanweck or email sales@hanweck.com for more details. 2 Wilkens, Sascha ...
Simply Put(Writing)
https://cdn.cboe.com/resources/.../Neuberger_Berman_Simply_PutWriting....to capture higher levels of option implied volatilities, i.e. implied volatility skew. ... Realized volatility: The actual volatility, or movement, in an asset's ...
How to Make the Most of Added SPXW Options Expirations
https://www.cboe.com/.../how-to-make-the-most-of-added-spxw-options-ex...Apr 13, 2022 ... Volatility Management. S&P 500 Index Volatility Skew and the Vertical Spread Strategy ... skewness often shown by index options. This ...
Defining the Decade: Ten Years of Growth
https://www.cboe.com/insights/.../defining-the-decade-ten-years-of-growth/Jan 10, 2020 ... On August 13, 2018, the Cboe SKEW index reached 159.03 to mark its highest closing daily value of the decade. Increases in SKEW correspond ...
Options on Mini-SPX (XSP) Index
https://cdn.cboe.com/resources/.../cboe-uso-mini-spx-index-options.pdfVolatility Skew on Two Dates. The closing values for the VIX Index were 24.59 on August 5 and 13.54 on October 15, and the Volatility Skew chart shows higher ...
Equity Vol Markets Shrug Off Tariff Threat
https://www.cboe.com/insights/.../equity-vol-markets-shrug-off-tariff-threat...Feb 10, 2025 ... Chinese equities rallied, with most of the flow in FXI still focused on upside calls (skew remains inverted across all tenors). Even SPX® 1M ...
Inside Volatility Trading: New Year, New Probabilities, New Risk
https://www.cboe.com/.../inside-volatility-trading-new-year-new-probabiliti...Jan 19, 2022 ... Vol Skew. Based on history, we know that equity markets tend to move up gradually. We also know that they can reprice risk and sell off ...
FT Options
https://www.cboe.com/services/analytics/ftoptions/.../riskedge-features/... Skew risk: Shows the dollar P&L exposure in the portfolio to an increase/decrease in the implied skew in the market. Portfolio screening and custom column ...
Options-Based Benchmark Indexes: Performance, Risk and ...
https://cdn.cboe.com/.../wilshire-options-based-benchmark-indexes-2019.p...Dec 31, 2018 ... (Exhibit 6) Option-selling indexes had fatter tails (i.e., higher kurtosis and negative skew). The options-based strategies analyzed in this ...
