CBOE update on some risk management developments

hat tip to the MEB options desk for this: 

1.  CBOE GOLD ETF VOLATILITY INDEX – GVZ – NEW FUTURES AND OPTIONS

Interest in gold investments recently has surged as investors seek perceived “safe haven” investments, and the price of gold recently rose above a record $1447 per ounce.  Futures on the CBOE Gold ETF Volatility Index (GVZ) are scheduled to launch tomorrow March 25, and the launch GVZ options is expected in upcoming weeks.

www.cboe.com/GVZ

2.  NEW SKEW INDEX and PERCEIVED RISK OF “BLACK SWAN” EVENTS

Last month CBOE introduced the CBOE S&P 500^® SKEW Index (ticker symbol: SKEW), a benchmark measure of the perceived risk of extreme negative moves — often referred to as "tail risk" or a "black swan" event — in U.S. equity markets.

The year-to-date high for the SKEW Index was 136.43 on February 18, 2011, and in recent days the SKEW Index was near 121.

www.cboe.com/SKEW

3.      RECORD VOLUME DAY FOR VIX OPTIONS AND FUTURES

March 15, 2011, was a record volume day for –

-- options on the CBOE Volatility Index^® (VIX^®) with a reported 1,038,002 contracts, and

-- VIX futures with a reported 97,337 contracts traded

www.cboe.com/VIX

4.  ANNUALIZED RETURNS FOR SELECT INDEXES OVER THE 20-YEAR TIME PERIOD ENDING FEB. 28, 2011

Investors use options on the S&P 500^® Index(SPX^SM) and other securities to manage portfolio returns and risks.  Below are 20-year performance numbers for key benchmark indexes.

10.3%               PUT - CBOE S&P 500 PutWrite Index                 www.cboe.com/PUT

9.9%                 BXY - CBOE S&P 500 2% OTM BuyWrite Index  www.cboe.com/BXY

9.0%                 BXM - CBOE S&P 500 BuyWrite Index              www.cboe.com/BXM

8.8%                 SPTR - S&P 500 Total Return Index

6.5%                 CLL - CBOE S&P 500 95-110 Collar Index            www.cboe.com/CLL

www.cboe.com/benchmarks

5.  STANDARD DEVIATIONS FOR SELECT INDEXES OVER THE 20-YEAR TIME PERIOD ENDING FEB. 28, 2011

10.2%               PUT - CBOE S&P 500 PutWrite Index

10.7%               BXM - CBOE S&P 500 BuyWrite Index

10.7%               CLL - CBOE S&P 500 95-110 Collar Index

12.4%               BXY - CBOE S&P 500 2% OTM BuyWrite

15.0%               SPTR - S&P 500 Total Return Index

www.cboe.com/benchmarks

No position at this time. Position declarations are believed to be accurate at time of writing but may change at any time and without notice.