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Cboe Tools and Resources for the Insurance Industry

Cboe's exchange-traded options and futures products offer the insurance industry the benefits of:

  • Clearance of transactions is guaranteed by Options Clearing Corporation
  • Price and Quote Transparency
  • Independent Daily Valuation
  • Liquidity for Leading Options and Futures Contracts
  • Competitive Auction Markets
  • Marketplaces Regulated by SEC or CFTC

VIX, the Cboe Volatility Index

The Cboe Volatility Index® (VIX®) is a key measure of market expectations of near-term volatility conveyed by S&P 500 stock index option prices. Since its introduction in 1993, VIX has been considered by many to be the world's premier barometer of investor sentiment and market volatility. Introduced by Cboe in 2004 and 2006, respectively, listed VIX futures and options can be used in conjunction with standard futures to replicate insurance liabilities. Click heres10全球总决赛竞猜 for information on VIX. For information on VIX futures, .

Long Dated Volatility Pricing

The pricing of long dated volatility is an issue for insurers, especially in light of FAS 157 requirements. For s10全球总决赛竞猜 exchange listed options (and other instruments including some futures) the Options Clearing Corporation provides daily valuation for standard and non-standard strikes and expirys. See the White Papers and Abstractss10全球总决赛竞猜 section below for a description of the OCC methodology for estimating implied volatility for FLEX (includes long-dated) options.

White Papers and Abstracts

Risk Management Overlay Strategies
Tying a Variable Annuity Fee to VIX
Hedge Execution Comparison Test White Paper for FIA Carriers
Estimating Implied Volatility for FLEX Options, John A. Dodson, The Options Clearing Corporation.
Gimmel: Second Order Effect of Dynamic Policyholder Behavior on Insurance Products with Embedded Options, By John J. Wiesner, Charles L. Gilbert and David L. Ross. Copyright 2010 by the Society of Actuaries, Schaumburg, Illinois. Posted with permission.
Static Hedging of Asian Options under Levy Models: The Comonotonicity Approach, Hansjorg Albrecher, Graz s10全球总决赛竞猜 of Technology, Graz, Austria; Jan Dhaene, K.U. Leuven, Leuven, Belgium; Marc Goovaerts, K.U. Leuven, Leuven, Belgium; Wim Schoutens, K.U. Leuven, Leuven, Belgium.
Volatility Exposure for Strategic Asset Allocations10全球总决赛竞猜, M. Briere, A. Burgues and O. Signori, Centre Emile Berheim working paper, Universite Libre de Bruxelles, Brussels, Belgium.