Research Archives
A playground for
curious minds.
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Welcome to the Archives
Welcome to the Cboe Research Archives! Here, you will find whitepapers and research pieces exploring many areas of our markets - from derivatives products and trends to market structure, participants, and more.
Leverage the search bar to explore pieces relating to a keyword of your choice. Looking for a specific author? You can search that way, too.
And don't forget to check out The Options Institute Research Grant Program to find out about ongoing research efforts supported by Cboe Global Markets. Learn More
Featured Works
The VIX's Wild Ride: A Comparison of Today's Volatility vs. Historical Levels
Author: Katie Kolchin
Publication: SIFMA Insights
Date:
April 2020
Type: pdf
Category: VIX and Volatility
The Options Institute VIX Maturity Interpolation Research Grant
Author: Torben G. Andersen, Oleg Bondarenko and Maria T. Gonzalez-Perez
Publication: Cboe
Date:
2024
Type: pdf
Category: VIX and Volatility, VIX Benchmark Indexes
The Options Institute Option-Implied Factor Dispersion Research Grant Whitepaper
Author: Grigory Vilkov and Lorenzo Schoenleber
Publication: Cboe
Date:
2024
Type: pdf
Category: Index Options Strategies, Option-writing, Options Benchmark Indexes
Hedging vs. Diversification: Comparing the Costs of Hedging to the Costs of Diversification
Author: Patrick Hennessy, Dominick Paoloni
Publication: IPS Strategic Capital
Date:
2021
Type: pdf
Category: Hedging, Index Options Strategies
Integrating ESG in Portfolio Construction
Author: Roy Henriksson, Joshua Livnat, Patrick Pfeifer, Margaret Stumpp
Publication: The Journal of Portfolio Management
Date:
2019
Type: External Link
Category: ESG
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Protected Options: An Alternative to Covered Writing Using Cash-Settled Index Options
Author: Jim Adams
Publication: Cboe Global Markets
Date: 2024
Type: pdf
Category: Index Options Strategies, Option-writing, Hedging -
The Biggest Opportunity in Small-Caps: Mini-Russell 2000 Index Options
Author: EQDerivatives
Publication: EQDerivatives
Date: October 2021
Type: External Link
Category: Index Options Strategies, Russell 2000 Options -
The Portfolio Diversification Potential of Long VIX® Futures and Options Strategies
Author: Edward Szado
Publication: Providence College
Date: June 15, 2020
Type: pdf
Category: VIX and Volatility -
Selling VIX® Futures and Options for Portfolio Return Enhancement
Author: Edward Szado
Publication: Providence College
Date: June 15, 2020
Type: pdf
Category: VIX and Volatility -
News Sentiment as an Explanation for Changes in the VIX Futures Basis
Author: Lee A. Smales
Publication: The Journal of Investing
Date: June 2020
Type: External Link
Category: VIX and Volatility -
Improving Diversification by Harvesting Premiums & Cushioning Risk
Author: Wilshire
Publication: Wilshire
Date: March 2020
Type: External Link
Category: Index Options Strategies, Options Benchmark Indexes, Option-writing -
Improving Diversification by Harvesting Small Cap Volatility Risk Premiums
Author: Wilshire
Publication: Wilshire
Date: February 2020
Type: External Link
Category: Index Options Strategies, Options Benchmark Indexes, Option-writing -
Predicting the VIX and the Volatility Risk Premium: The Role of Short-Run Funding Spreads Volatiltiy Factors
Author: Elena Andreou, Eric Ghysels
Publication: Journal of Econometrics
Date: February 2020
Type: External Link
Category: VIX and Volatility -
ESG Integration: Value, Growth and Momentum
Author: Lars Kaiser
Publication: Journal of Asset Management
Date: January 25, 2020
Type: External Link
Category: ESG -
Global Option-Writing Strategies to Reduce Risk and Enhance Income
Author: Wilshire
Publication: Wilshire
Date: 2020
Type: External Link
Category: Index Options Strategies, Option-writing