News Feed Item
Small Cap Volatility: "Small Cap Premium," or Ratio of Implied Volatility Between U.S. Small Cap and U.S. Large Cap Stocks Back Above 60% on July 11, and Nearing Its 2014 High, According to the CBOE Russell 2000 Volatility Index and CBOE Volatility Index
|By Marketwired .
|July 16, 2014 03:10 PM EDT
SEATTLE, WA -- (Marketwired) -- 07/16/14 -- The small cap "premium," or implied volatility for the small cap U.S. equity market as reflected by closing prices for the CBOE Russell 2000 Volatility Index (SM)(RVX(SM)) relative to implied volatility for the large cap U.S. equity market as measured by the CBOE Volatility Index® (VIX®), has exceeded 50% since July 2, significantly higher than the year-to-date average, and closed at 62.9% on Friday, July 11, its highest point since June 10.
At the same time, investor usage of options based on the Russell 2000® Index (RUT), as measured by average daily volume increase, has grown in 2014 relative to investor usage of options based on the S&P 500 Index (SPX). RUT options average daily volume was up 14% through June 30 relative to full year 2013, while average daily volume in S&P 500 Index-based options (SPX) was up 0.7% through June 30 relative to full year 2013. Russell 2000 Index-based futures (TF) average daily volume has increased 18% through June 30 relative to full year 2013, while average daily volume of S&P 500 Index-based futures (ES) has declined (-0.7%) through June 30 relative to full year 2013 (Source: Options Clearing Corporation, ICE, CME).
Small cap volatility has historically tended to be higher than large cap volatility. This "premium" averaged 28% over 2013 and was at just over a 38% average in 2014 to-date as of July 11. However, for April and May 2014 the premium averaged 50%, with an average RVX level of 20.00 and VIX level of 13.34. The premium hit a year-to-date high of 63% on June 10 (more than double the 2013 full year average).
"In the last week, increased overall market volatility, as measured by RVX(SM) and VIX(SM), and U.S. large cap market outperformance, as measured by the Russell 1000® Index, understandably led to increased interest in U.S. small cap equity options by traders and investors," said Russell Rhoads, CFA and instructor with The Options Institute at the Chicago Board Options Exchange. "So far this year as of July 11, the U.S. small cap Russell 2000 Index has underperformed the U.S. large cap Russell 1000® Index and RVX has been elevated to reflect investor's increased risk perception for small cap stocks."
"The fluctuation in the small cap premium we have witnessed this year as of July 11 through the relative performance of RVX & VIX helps illustrate that relative volatility levels for the U.S. large cap and small cap equity markets do not always move in lockstep," said Patrick Fay, director of index derivatives for Russell Investments. "This underscores the importance of considering small cap volatility measures rather than following a one-size-fits-all approach. Similar to 1984 when investors first welcomed the Russell 2000 Index to measure U.S. small cap equity market performance, investors and traders now welcome the CBOE Russell 2000 Volatility Index to measure U.S. small cap equity market implied volatility."
For more information on the CBOE Russell 2000 Volatility Index, go to the Russell Indexes website or CBOE Russell 2000 Volatility Index microsite.
The Russell 2000 Index measures the performance of the small-cap segment of the U.S. equity universe. The Russell 2000 Index is a subset of the Russell 3000® Index representing approximately 10% of the total market capitalization of that index. It includes approximately 2000 of the smallest securities based on a combination of their market cap and current index membership.
Please note: Indexes are unmanaged and cannot be invested in directly. Returns represent past performance, are not a guarantee of future performance, and are not indicative of any specific investment.
Russell's publication of the Indexes or Index constituents in no way suggests or implies a representation or opinion by Russell as to the attractiveness of investing in a particular security. Inclusion of a security in an Index is not a promotion, sponsorship or endorsement of a security by Russell and Russell makes no representation, warranty or guarantee with respect to the performance of any security included in a Russell Index.
Opinions expressed by Mr. Fay and Mr. Rhoads reflect market performance as of July 11, 2014 and are subject to change at any time based on market or other conditions without notice. Past performance does not guarantee future performance.
Forecasting is inherently uncertain and may be incorrect. It is not representative of a projection of the stock market, or of any specific investment.
Nothing contained in this material is intended to constitute legal, tax, securities or investment advice, nor an opinion regarding the appropriateness of any investment, nor a solicitation of any type. The general information contained in this publication should not be acted upon without obtaining specific legal, tax and investment advice from a licensed professional. The information, analysis and opinions expressed herein are for general information only and are not intended to provide specific advice or recommendations for any individual entity.
Copyright © Russell Investments 2014. All rights reserved.
Russell Investment Group is a Washington, USA corporation, which operates through subsidiaries worldwide, including Russell Investments, and is a subsidiary of The Northwestern Mutual Life Insurance Company.
Image Available: http://www2.marketwire.com/mw/frame_mw?attachid=2640798
SYS-CON Events announced today that Ericsson has been named “Gold Sponsor” of SYS-CON's @ThingsExpo, which will take place on June 7-9, 2016, at the Javits Center in New York, New York.
Ericsson is a world leader in the rapidly changing environment of communications technology – providing equipment, software and services to enable transformation through mobility.
Some 40 percent of global mobile traffic runs through networks we have supplied. More than 1 billion subscribers around the world re...
May. 3, 2016 04:15 PM EDT Reads: 1,238
In the world of DevOps there are ‘known good practices’ – aka ‘patterns’ – and ‘known bad practices’ – aka ‘anti-patterns.' Many of these patterns and anti-patterns have been developed from real world experience, especially by the early adopters of DevOps theory; but many are more feasible in theory than in practice, especially for more recent entrants to the DevOps scene.
In this power panel at @DevOpsSummit at 18th Cloud Expo, moderated by DevOps Conference Chair Andi Mann, panelists will dis...
May. 3, 2016 04:15 PM EDT Reads: 801
A critical component of any IoT project is the back-end systems that capture data from remote IoT devices and structure it in a way to answer useful questions. Traditional data warehouse and analytical systems are mature technologies that can be used to handle large data sets, but they are not well suited to many IoT-scale products and the need for real-time insights.
At Fuze, we have developed a backend platform as part of our mobility-oriented cloud service that uses Big Data-based approache...
May. 3, 2016 04:15 PM EDT Reads: 128
The increasing popularity of the Internet of Things necessitates that our physical and cognitive relationship with wearable technology will change rapidly in the near future. This advent means logging has become a thing of the past. Before, it was on us to track our own data, but now that data is automatically available. What does this mean for mHealth and the "connected" body?
In her session at @ThingsExpo, Lisa Calkins, CEO and co-founder of Amadeus Consulting, will discuss the impact of wea...
May. 3, 2016 04:00 PM EDT Reads: 969
Increasing IoT connectivity is forcing enterprises to find elegant solutions to organize and visualize all incoming data from these connected devices with re-configurable dashboard widgets to effectively allow rapid decision-making for everything from immediate actions in tactical situations to strategic analysis and reporting.
In his session at 18th Cloud Expo, Shikhir Singh, Senior Developer Relations Manager at Sencha, will discuss how to create HTML5 dashboards that interact with IoT devic...
May. 3, 2016 04:00 PM EDT Reads: 1,263
trust and privacy in their ecosystem. Assurance and protection of device identity, secure data encryption and authentication are the key security challenges organizations are trying to address when integrating IoT devices. This holds true for IoT applications in a wide range of industries, for example, healthcare, consumer devices, and manufacturing.
In his session at @ThingsExpo, Lancen LaChance, vice president of product management, IoT solutions at GlobalSign, will teach IoT developers how t...
May. 3, 2016 03:58 PM EDT
There is an ever-growing explosion of new devices that are connected to the Internet using “cloud” solutions. This rapid growth is creating a massive new demand for efficient access to data. And it’s not just about connecting to that data anymore.
This new demand is bringing new issues and challenges and it is important for companies to scale for the coming growth. And with that scaling comes the need for greater security, gathering and data analysis, storage, connectivity and, of course, the...
May. 3, 2016 03:45 PM EDT Reads: 1,053
We’ve worked with dozens of early adopters across numerous industries and will debunk common misperceptions, which starts with understanding that many of the connected products we’ll use over the next 5 years are already products, they’re just not yet connected. With an IoT product, time-in-market provides much more essential feedback than ever before. Innovation comes from what you do with the data that the connected product provides in order to enhance the customer experience and optimize busi...
May. 3, 2016 03:30 PM EDT Reads: 1,158
The IETF draft standard for M2M certificates is a security solution specifically designed for the demanding needs of IoT/M2M applications.
In his session at @ThingsExpo, Brian Romansky, VP of Strategic Technology at TrustPoint Innovation, will explain how M2M certificates can efficiently enable confidentiality, integrity, and authenticity on highly constrained devices.
May. 3, 2016 03:15 PM EDT Reads: 1,042
The IoTs will challenge the status quo of how IT and development organizations operate. Or will it? Certainly the fog layer of IoT requires special insights about data ontology, security and transactional integrity. But the developmental challenges are the same: People, Process and Platform.
In his session at @ThingsExpo, Craig Sproule, CEO of Metavine, will demonstrate how to move beyond today's coding paradigm and share the must-have mindsets for removing complexity from the development proc...
May. 3, 2016 03:15 PM EDT Reads: 643
In his session at @ThingsExpo, Chris Klein, CEO and Co-founder of Rachio, will discuss next generation communities that are using IoT to create more sustainable, intelligent communities.
One example is Sterling Ranch, a 10,000 home development that – with the help of Siemens – will integrate IoT technology into the community to provide residents with energy and water savings as well as intelligent security. Everything from stop lights to sprinkler systems to building infrastructures will run ef...
May. 3, 2016 03:15 PM EDT Reads: 1,137
Artificial Intelligence has the potential to massively disrupt IoT.
In his session at 18th Cloud Expo, AJ Abdallat, CEO of Beyond AI, will discuss what the five main drivers are in Artificial Intelligence that could shape the future of the Internet of Things.
AJ Abdallat is CEO of Beyond AI. He has over 20 years of management experience in the fields of artificial intelligence, sensors, instruments, devices and software for telecommunications, life sciences, environmental monitoring, process...
May. 3, 2016 03:15 PM EDT Reads: 1,141
Much of the value of DevOps comes from a (renewed) focus on measurement, sharing, and continuous feedback loops. In increasingly complex DevOps workflows and environments, and especially in larger, regulated, or more crystallized organizations, these core concepts become even more critical.
In his session at @DevOpsSummit at 18th Cloud Expo, Andi Mann, Chief Technology Advocate at Splunk, will show how, by focusing on 'metrics that matter,' you can provide objective, transparent, and meaningfu...
May. 3, 2016 02:30 PM EDT Reads: 913
Digital payments using wearable devices such as smart watches, fitness trackers, and payment wristbands are an increasing area of focus for industry participants, and consumer acceptance from early trials and deployments has encouraged some of the biggest names in technology and banking to continue their push to drive growth in this nascent market. Wearable payment systems may utilize near field communication (NFC), radio frequency identification (RFID), or quick response (QR) codes and barcodes...
May. 3, 2016 02:30 PM EDT Reads: 932
Manufacturers are embracing the Industrial Internet the same way consumers are leveraging Fitbits – to improve overall health and wellness. Both can provide consistent measurement, visibility, and suggest performance improvements customized to help reach goals. Fitbit users can view real-time data and make adjustments to increase their activity.
In his session at @ThingsExpo, Mark Bernardo Professional Services Leader, Americas, at GE Digital, will discuss how leveraging the Industrial Interne...
May. 3, 2016 02:00 PM EDT Reads: 1,177