SPX Weeklys – Record Volume Days, as Number of Expiration Dates Is Expanded

CBOE recently issued Regulatory Circular RG14-010 re: “Expansion of Number of Expirations Listed in S&P 500 Index Weekly Options (SPXW).”  The circular provides that CBOE will list out and maintain six consecutive SPXW expirations at once, not counting the current expiration (i.e., January 31, 2014; see the table below for more info). Prior to this expansion, CBOE listed and maintained four consecutive SPXW expirations at once.

S&P 500 Weekly options can provide opportunities for investors to implement more targeted buying, selling or spreading strategies. S&P 500 Weekly options can help investors efficiently take advantage of market events, such as earnings, government reports and Fed announcements.

RECENT RECORD VOLUME DAYS FOR SPXW OPTIONS

The recent daily volume totals for SPXW options were –

Jan. 23rd         426,955
Jan. 24th         747,051
Jan. 27th         389,194

The volume totals on both Jan. 23rd and Jan. 24th were new all-time record volume days for S&P 500 Weekly options.

11SPXW Jan 28

VXST – CBOE SHORT-TERM VOLATILITY INDEX – ROSE 46.7% ON JAN. 24TH

The new CBOE Short-Term Volatility Index (VXST) provides a new market-based gauge of expectations of 9-day volatility, making it particularly responsive to changes in the S&P 500 Index. With its nine-day snapshot, VXST is a valuable tool for traders looking to target short-term moves with S&P 500 Weekly options.

This past Friday (Jan. 24), SPXW options set a new daily volume record of 747,051 contracts, as the VXST Index rose from 14.21 to 20.84 (a gain of 46.7%).

Here is a list of the biggest one-day up-moves (in % terms) for the VXST Index –

1                      15-Apr-2013              81.8%
2                      8-Aug-2011                 80.9%
3                      4-Aug-2011                 61.5%
4                      9-Nov-2011                 55.2%
5                      25-Feb-2013               50.0%
6                      18-Aug-2011               49.1%
7                      22-Feb-2011               48.1%
8                      24-Jan-2014                46.7%

Over the past five trading days, the daily closing prices for the VXST Index have ranged from 12.3 to 20.84 www.cboe.com/VXST

12VXST Jan. 28