30 Diverse CBOE Options. Volume and put/call ratios in 1st Quarter

As CBOE approaches its 40th anniversary later this month, CBOE’s product offerings have become much more diverse over the past decade.  In the late 1980s CBOE’s primary product offerings were options on U.S. stocks and on U.S. stock indexes.

As shown in the two tables below, CBOE now offers options on a diverse variety of security types, including –


Here are some comments on the two tables below that cover the first quarter of 2013. 

  • High Put/call ratios.  The put/call ratios for certain options (e.g., SPX, OEX, NDX, IWM, and EFA) all were above 1.6.  These ratios might indicate these options could have experienced some long protective put buying by investors, although one should be careful about inferring too much from the ratios, as put option and call option transactions have both buyers and sellers.
  • Low Put/call Ratios. The put/call ratios for certain other options (e.g., VIX, SLV, and SDS) all were below 0.65. It is possible that some investors purchased VIX calls with the goal of protection of their portfolios, and that other investors purchased SLV calls because they are bullish on the SLV ETF.
  • Volume Gains for VIX and SPX Options.  Comparing the first-quarter average daily volumes in 2012 and 2013, the VIX® options volume rose 48% and the S&P 500® options volume rose 23%.  Many institutional investors prefer the large-sized, cash-settled S&P 500 index options versus the smaller-sized options on ETFs with physical settlement and the possibility of early exercise.  www.cboe.com/SPX

Matt Moran

MM Cash-settled Ind

MM Leading ETP 1Q