Insights
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 ...
Read More →
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 ...
Read More →
Away from Zero1 – The Not So Mysterious Case of Higher Interest Rates
If the story of 2022 stock and bond market returns was written as a whodunit, the crack detective protagonist would have a primary suspect list ...
Read More →
November 2022 Market Recap
The S&P 500® Index returned 5.59% in November, bringing its year-to-date return to -13.10%. The market advance was driven by lower-than-expected inflation and hopes that ...
Read More →
By One Measure, 2022 is the Third Most-Volatile Year
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, ...
Read More →
