In recent years many CBOE customers have expressed interest in SPX Weeklys (SPXW) options, which can provide opportunities for investors to implement more targeted buying, selling or spreading strategies. www.cboe.com/SPXW
HIGH VOLUME DAYS THIS MONTH
On Friday, July 27, the trading volume for SPXW options was 281,966 contracts, the 2nd highest day ever for the product.
Three of the nine biggest volume days for SPX Weeklys have occurred this month.
1 18-May-2012 283,751
2 27-Jul-2012 281,966
3 1-Jun-2012 266,260
4 6-Jun-2012 226,048
5 4-Aug-2011 223,247
6 8-Aug-2011 221,180
7 6-Jul-2012 194,562
8 31-May-2012 188,705
9 26-Jul-2012 188,280
VOLUME ON FRIDAY, JULY 27TH
CBOE recently began extending the listings of SPX Weeklys and maintaining five consecutive expiration weeks available for trading options on the S&P 500 www.cboe.com/SPXW. On Friday, July 27, the SPXW options expiring on July 27 and on August 3 both experienced trading volume of more than 110,000 contracts.
SPXW VOLUME IN JULY 2012
In the daily volume chart below, one could note that Fridays this month usually had higher SPXW options volume than other days of the week.
SPXW VOLUME SINCE 2010
As shown in the chart below, the average daily volume for SPXW options rose from 15,079 in December 2010 to a record 126,710 in May 2012. www.cboe.com/SPXW
NEW PAPER BY RUSSELL INVESTMENTS
“ … Exhibit 8 compares 16 years of historical annual premiums received by rolling weekly, monthly, quarterly, and annual ATM options. This historical data shows that shorter term options maximize the total amount of premium received on an annual basis. A one week tenor option rolled four times per month has generated more than 2.0x the premium of a one month tenor option rolled once per month. … This helps make clear that close to the money strategies with short tenors have consistently generated a higher level of gross income. This is a direct result of the higher theta capture versus longer dated strategies. …”
LINKS TO ADDITIONAL INFORMATION
- SPX, SPXW, SPXQ, and SPXpm Index Options www.cboe.com/SPX
- Papers on Income Enhancement and Tail Risk Management www.cboe.com/benchmarks
- CBOE Risk Management Conference in Ireland – Sept. 5 – 7 2012 www.cboermc.com/Europe