PM-settled S&P 500 Options — Updates for: (1) SPX Weeklys; (2) SPXPM; and (3) XSP (Mini-SPX)

Below are updates on CBOE’s PM-settled S&P 500 Options:

(1) SPX Weeklys – volume up 1204%;
(2) SPXPM options – record volume day; and
(3) New, PM-settled Mini-SPX Index Options (ticker XSP) to be launched on Nov. 5.

(1)  SPX WEEKLYS, AND NEW VXST VOLATILITY INDEX

At his presentation at the recent Risk Management Conference (RMC) Europe, Scott Maidel of Russell Investments noted that SPX Weeklys are a key part of his investment strategy. Bullet points in his presentation included — “Short dated options receive more gross premium over time versus longer. Short dated options create a discipline for adjusting to market and volatility environment.”  Scott’s presentation showed a chart with gross premiums of 62% per annum for 1-week options and 28% per annum for 1-month options.

SPX Weeklys options average daily volume has grown from 13,765 in September 2010 to 179,437 in September 2013 (an increase of 1204%).

111SPX Weeklys for Blog Septjpg

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.

In addition, CBOE recently introduced the new CBOE S&P 500 Short-Term Volatility Index (VXST), the first-ever volatility gauge that includes the expected volatility of CBOE’s popular SPX Weeklys options.

For information on SPX Weeklys, please visit www.cboe.com/SPXW.

(2) RECORD VOLUME DAY FOR SPXPM OPTIONS

On October 2nd SPXpm options experienced an all-time high record volume day as 54,611 contracts changed hands. Wednesday’s record surpassed the previous daily volume record of 39,472 SPXpm contracts traded on June 21, 2013. Key features of SPXpm options include – electronic access, large contract size, p.m.-settlement, cash-settlement, and European-style exercise. www.cboe.com/SPXpm.

(3) NEW PM-SETTLED MINI-SPX OPTIONS (TICKER XSP) TO BE LAUNCHED ON NOV. 5

Some individual investors who currently trade physically-settled ETF options have expressed a preference for cash-settled options with PM-settlement.  On November 5th CBOE will introduce revised XSP index options that could appeal to these investors.  CBOE recently published a 3-page Circular that noted –

“Currently, Mini-SPX Index Options are AM-settled option series based on 1/10th the value of the S&P 500 Index (‘SPX’). CBOE intends to phase out AM-settled Mini-SPX options, and does not plan to list new AM-settled Mini-SPX series after November 4, 2013. On Tuesday, November 5, 2013, CBOE will introduce new, PM-settled Mini-SPX Index Options. The option symbol for this new class will be ‘XSP. …’”

This morning the underlying values were around 1680 for the SPX options and 168 for CBOE’s Mini-SPX (XSP) options.  For more information on XSP options (including a link to the recent Circular), please visit www.cboe.com/XSP.