Quick Takes

By several measures, 2022 provided investors with one of the most volatile and challenging years in history. Ongoing assessment of whether Federal Reserve (Fed) policy …

Higher implied volatility results in higher option premiums. Black-Scholes pricing model analysis of one-month at-the-money (ATM) S&P 500® Index call and put options utilized by …

Implied volatility trended down as the market continued its rally in November. The Cboe® Volatility Index (the VIX®) ended October at 25.88, reached an intra-month …

Growth in short-term S&P 500® Index options may be contributing to the high frequency of large one-day and intra-day market swings this year. Through October, …

Trading volume in S&P 500® Index option contracts set a record in October 2022. Trading volume in options on the bellwether equity index has been …

Consistent with its pattern throughout 2022, implied volatility was consistently well-above average during October, reaching its highest monthly average since June 2020. Half of the …

Consistent with its pattern in the first half of the year, third quarter implied volatility was consistently average to well-above average while remaining resistant to …

This year’s bear market has brought equity valuations lower, but are they low? The price-to-earnings ratio (P/E) of the S&P 500® Index began 2022 around …

As discussed in our November Market Perspective, an increased frequency of low multi-year annualized returns and large drawdowns has reduced the effectiveness of long-term fixed income …

Increased volatility in 2020 associated with COVID-19 caused the standard deviation of the S&P 500® Low Volatility Total Return Index1 (the SPLVI) to climb to a higher …