Tuesday, January 31, 2012

CBOE Adds Options to Emerging Markets Volatility Index (VXEEM)

Earlier this month, the CBOE launched futures on the CBOE Emerging Markets ETF Volatility Index (VXEEM) and barely three weeks later, VXEEM options began trading today.

For more information on VXEEM options, which are based on the popular EEM emerging markets ETF, a good first stop is the CBOE’s VXEEM options product specification page. Of particular note is the fact the options expiration cycle is the same for VXEEM options as it is for the futures products. Additionally, VXEEM futures and options have the same expiration cycle as VIX futures and options, meaning that they will expire on Wednesdays (February 15, March 21, April 18 and May 16), with the options last traded on the Tuesday immediately following the expiration. For more information, check out the CBOE’s VXEEM splash page and information circular.

In the graphic below, courtesy of LivevolPro.com, I have collected closing data for some of the primary U.S. volatility indices, including those which are volatility indices for ETPs and single stocks. The indices are sorted from highest to lowest and provide a good sense of the market’s perceptions of relative risk across various stocks, groups of stocks (sectors and geographies) and asset classes.

Partly due to today’s earnings announcement, VXAZN, the volatility index for Amazon (AMZN) tops the list, with volatility indices for silver (VXSLV), Goldman Sachs (VXGS) and gold miners (VXGDX) rounding out the top four. VXEEM ranks eighth of the twenty volatility indices at 27.97 and currently carries a 43.8% premium to the VIX. Is that 43.8% premium too high? Too low? With VXEEM options (and futures) now you can not only express your opinion, but benefit financially if you are correct.

Related posts:

[source(s): LivevolPro.com]

Disclosure(s): Livevol is an advertiser on VIX and More

blog comments powered by Disqus
DISCLAIMER: "VIX®" is a trademark of Chicago Board Options Exchange, Incorporated. Chicago Board Options Exchange, Incorporated is not affiliated with this website or this website's owner's or operators. CBOE assumes no responsibility for the accuracy or completeness or any other aspect of any content posted on this website by its operator or any third party. All content on this site is provided for informational and entertainment purposes only and is not intended as advice to buy or sell any securities. Stocks are difficult to trade; options are even harder. When it comes to VIX derivatives, don't fall into the trap of thinking that just because you can ride a horse, you can ride an alligator. Please do your own homework and accept full responsibility for any investment decisions you make. No content on this site can be used for commercial purposes without the prior written permission of the author. Copyright © 2007-2013 Bill Luby. All rights reserved.
 
Web Analytics