This Week in CBOE Strategy Indexes – 8/8/2014

The S&P 500 managed a rise for the week based on a strong Friday and all the strategy indexes responded in the same manner. The S&P 500 is down about 40 points since July expiration and the impact of the option positions is mitigated due to that price change in the underlying market.

Strat Charts

Keep in mind this coming Friday August 15th is the roll date for BXM, BXY, and PUT. As a reminder BXM currently consists of a short position in the SPX Aug 1975 Call and BXY is short the SPX Aug 2010 Call, both of which are pretty far out of the money. With the S&P 500 at 1931.59 both of those indexes will perform in line with the S&P 500 next week. PUT is another story being short the SPX Aug 1970 Put. That option is in the money and has about 5 points of time value left based on Friday’s close.Strat Perf