New Options Join Successful VIX Options, Expanding CBOE's Suite Of Volatility Products CHICAGO, September 26, 2007 - The Chicago Board Options Exchange (CBOE) will begin trading options on the CBOE Nasdaq-100 Volatility Index (ticker symbol VXN) and the CBOE Russell 2000 Volatility Index (ticker symbol RVX) tomorrow, Thursday, September 27, 2007, under licensing agreements with The Nasdaq Stock Market, Inc. and The Russell Investment Group. These two new contracts expand the suite of volatility products offered exclusively at CBOE and the CBOE Futures Exchange (CFE). CBOE will now offer options on three of CBOE's volatility benchmarks, as VXN and RVX options will join the popular CBOE Volatility Index (VIX) options. Since their launch in February 2006, VIX options have already traded over twenty million contracts, making VIX options the most successful new product launch in CBOE history.
The CBOE Correlation Index (KCJ) is close to the lowest level we have seen since it was first listed in 2007. The KCJ measures the implied movement of the S&P 500 components options, compared to the implied movement of the S&P 500 index options. Simply put, the higher the number, the more likely all stocks are going to move together. Conversely, a low number will be characterized by sector rotation, and flat markets; one sector moves higher, another moves lower. (Source: Access Hollywood) Correlation, for lack of a better term, is correlated with volatility. Not surprisingly, 30-day S&P 500 historical volatility is near the low level of 6.5%. Currently at 33.5, KCJ is sitting close to rock bottom, lower than where it was in 2007, (but not lower than where Lindsay Lohan was in 2007). So far this year, the market has been able to grind higher, characterized by leadership in FANG(Facebook Apple/Amazon, Netflix, Google) and sector rotation. A...
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