Insights
December 2022 Volatility Briefing
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 ...
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Option Writing Premiums Were a Bright Spot in a Dark Year for Investors
The Federal Reserve’s (the Fed) monetary policy transition from accommodative to tightening was sudden – asset purchases to support the economy ended in March 2022, ...
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December 2022 Market Recap
The S&P 500® Index returned 7.56% in the fourth quarter, bringing its calendar year return to -18.11%. With monthly returns of 8.10%, 5.59% and -5.76% ...
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Elevated Volatility Increases Option Premiums
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 ...
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November 2022 Volatility Briefing
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 ...
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