S&P Dow Jones Volatility Indices Performance - Cboe

S&P Dow Jones Volatility Indices Performance

Tim Edwards November 30, 2015

For Financial Professionals. Not for Public Distribution. PROPRIETARY. Permission to reprint or distribute any content from this presentation requires the written approval of S&P Dow Jones Indices.

S&P Volatility Indices

600%

500%

400%

300%

200%

100%

0% 11-2006

11-2007

11-2008

11-2009

11-2010

11-2011

11-2012

11-2013

11-2014

S&P 500 (TR) S&P 500 Dynamic VIX Futures

S&P 500 Dynamic VEQTOR Index S&P 500 VEQTOR Switch

S&P 500 VIX Mid-Term Futures S&P 500 VIX Short-Term Futures

Source: S&P Dow Jones Indices LLC. Data as of November, 2015. Total return index in USD. Chart is provided for illustrative purposes. Past performance is no guarantee of future results. These charts and graphs may reflect hypothetical historical performance. Please see the Performance Disclosure at the end of this document for more information regarding the inherent limitations associated with back-tested performance.

For Financial Professionals. Not for Public Distribution. PROPRIETARY.

Permission to reprint or distribute any content from this presentation requires the written approval of S&P Dow Jones Indices.

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Live Performance

? S&P 500 VIX Short-Term Futures Index: Jan 2009 ? Nov 2015

-99.67%

Source: S&P Dow Jones Indices LLC. Data as of November, 2015. Total return index in USD. Chart is provided for illustrative purposes. Past performance is no guarantee of future results.

For Financial Professionals. Not for Public Distribution. PROPRIETARY.

Permission to reprint or distribute any content from this presentation requires the written approval of S&P Dow Jones Indices.

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Outline

Investable Volatility

? Features of volatility as a hedge ? Increasing focus on volatility risk premia ? How much contango is "normal"? ? Applications to indices and ETFs

For Financial Professionals. Not for Public Distribution. PROPRIETARY.

Permission to reprint or distribute any content from this presentation requires the written approval of S&P Dow Jones Indices.

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Section 1: Drivers of Demand for Long Volatility Exposures

For Financial Professionals. Not for Public Distribution. PROPRIETARY.

Permission to reprint or distribute any content from this presentation requires the written approval of S&P Dow Jones Indices.

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