CBOE Products

CBOE has been quietly unveiling some really interesting products recently that I am pretty excited about.

The first is an Implied Correlation index on the SPX and its top 50 components by market capitalization. Dispersion traders rejoice! To reiterate dispersion trade is long vol in components and short vol in the index with the net result being a short correlation play. By monitoring something like implied correlation, one has a tool to measure the priced correlation in the market and make the appropriate trade.

OK, so lets say your a retail trader, purchasing vol on 50 different stocks and selling index vol in comparable size is probably out of your realm. Hopefully the CBOE creates products to actually trade the index in the future. The tickers are IJC and JCJ.

Secondly I found binary options on SPX and VIX under tickers BSZ & BVZ respectively. I looked for these tickers on Interactive Brokers but unfortunately it does not seem available as of yet. Lets cross our fingers and hope these are introduced soon.

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~ by largecaptrader on August 6, 2009.

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