SPX Weekly Options – Avg. Daily Volume of 117,210, with Implied Volatilities from 11 to More Than 25

At CBOE’s inaugural Risk Management Conference – Europe on September 5 – 7 in Ireland, a number of European speakers on a panel on US Options and Volatility Market Structure expressed great interest in options with weekly expirations. Attendees also showed a strong interest in Weekly options.

Weeklys options are options that are listed to provide expiration opportunities every week. Weeklys are typically listed on Thursdays and expire on Fridays (the following week), provided that such expirations were not previously listed (i.e, Weeklys are not listed if they would expire on a 3rd Friday or if a Quarterly option would expire on the same day). Weeklys options can provide opportunities for investors to implement more targeted buying, selling or spreading strategies. Weeklys options can help investors efficiently take advantage of market events, such as earnings, government reports and Fed announcements. On May 31, 2012, CBOE began extending the listings of SPX Weeklys and maintaining five consecutive expiration weeks available for trading options on the S&P 500.

SPXW VOLUME

Here is the average daily volume in recent months for S&P 500® Weekly Options (SPXW) www.cboe.com/SPXW

Jun-12 95,719

Jul-12 105,803

Aug-12 117,210

IMPLIED VOLATILITY FOR SPX OPTIONS WITH DIFFERENT STRIKE PRICES AND EXPIRATIONS

 

The table below provides a sampling of unofficial estimates by Bloomberg of implied volatilities for some of the many SPX options with different strike prices and expirations at around 12:20 p.m. Chicago time today Friday, September 14th. These estimates are provided for general information to help give a big picture comparison, and please note that implied volatilities can and do change throughout the trading day.

Here is an overview of some S&P 500 call options that were pretty close to at-the-money (SPX near 1465) —

Ticker & expiration

Strike

Implied VolatilityAsk

SPXW 9/14/2012

Call 1465

24.3

SPX 9/22/2012

Call 1465

14.1

SPXQ 9/28/2012

Call 1465

13.4

SPXW 10/05/2012

Call 1465

13.5

SPXW 10/12/2012

Call 1465

12.7

Source: Estimates by Bloomberg at around 12:20 p.m. Chicago time on Sept. 14, 2012. www.cboe.com/SPXW 

 

The second table shows implied volatilities for out-of-the money (O-T-M) S&P 500 put options. Some investors are willing to pay a high premium for O-T-M S&P 500 options for portfolio protection, and for decades the SPX skew has shown higher volatilities for O-T-M SPX put options than A-T-M SPX options.

Ticker & expiration

Strike

Implied volatilityBid

SPX 9/22/2012

Put 1350

28.0

SPXQ 9/28/2012

Put 1350

20.4

SPXW 10/05/2012

Put 1350

20.0

SPXW 10/12/2012

Put 1350

18.4

Source: Estimates by Bloomberg at around 12:20 p.m. Chicago time on Sept. 14, 2012. www.cboe.com/SPXW 

 

To learn more about SPXW options, please see www.cboe.com/SPXW

To leanr more about options strategies, please visit http://www.cboe.com/Strategies

Matt Moran