This Week in CBOE Strategy Indexes – 7/18/2014

Today was expiration for standard old school SPX options. Expiration date also means roll date for BXM, BXY, and PUT. First, let’s take a look at the settlement values for the respective July SPX options that were part of each strategy.   July SPX settlement, which was determined using the opening prices of the stocks that make up the S&P 500 index came in at 1966.31. This was a bit higher than the closing price for the S&P 500 on Thursday evening of 1958.12. This higher settlement value should not be much of a surprise since the market rebounded overnight with no escalation of the issues that weighed on the equity market Thursday.   PUT was short the SPX Jul 1960 Put which expired with no value, but was in the money based on Thursday’s closing. This price action is reflected in the PUT chart below. BXM was short the SPX Jul 1965 Call which went from out of the money to settling 1.31 in the money and BXY was short the SPX Jul 2005 Call which was out of the money on Thursday and remained so on Friday.

Strat PA

The new positions are now in place. The reference price for the S&P 500 that was used to determine what August SPX options were to be sold was 1970.29. The next strike higher was 1975 so BXM now consists of owning the S&P 500 and short the SPX Aug 1975 Call at a price of 17.52889. The 2% out of the money BXY is short SPX Aug 2010 Calls at a price of 3.45 and finally PUT is in cash and short the SPX 1970 Put at a price of 20.02333.

Performance wise the total return for the S&P 500 is still a bit higher than that for the three strategy indexes. However, BXM did manage to gain a little ground last week.

Strat Table