This Week in CBOE Strategy Indexes – 7/25/2014

The S&P 500 made another all-time high and then backed off a bit on Friday. As a reminder, BXM is short the SPX Aug 1975 Call at about 17.53, BXY is short the SPX Aug 2010 Call at 3.45, and PUT is short the SPX Aug 1970 Put at a reference price just over 20.00.

Strat Charts

The Friday price action allowed the three strategy indexes to play a slight amount of catch up for 2014. Based on the respective short option positions if the S&P 500 stays around current levels until settlement on August 15th all three of these strategies should outperform for the July to August period.

Strat Table

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Russell Rhoads, CFA

CBOE Options Institute

Russell Rhoads, CFA, is a Senior Instructor with the Options Institute at the Chicago Board Options Exchange. He joined the Institute in 2008 after a career as an investment analyst and trader with a variety of firms including Highland Capital Management, Caldwell & Orkin Investment Counsel, TradeLink Securities and…


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