This Week in CBOE Strategy Indexes – 8/15/2014

This past Friday was expiration date for old school standard option contracts. Expiration also means it was the day to retire August contracts and roll into September SPX option positions in the various strategy indexes quoted by CBOE. August SPX settlement came in at 1963.31. BXM was short the SPX Aug 1975 Call and BXY was short the SPX Aug 2010 Call both of which expired out of the money. On July 18 the PUT strategy shorted the SPX Aug 1970 Put at 20.4003. This option was 6.69 in the money based on August SPX settlement.

The reference price for determining the options to be sold for the three strategies was determined mid-morning on Friday. This just happened to occur when news of a potential escalation in hostilities in Ukraine was impacting the markets. The reference price was 1951.40 so the PUT strategy sold SPX Sep 1950 Puts at 29.58572, BXM sold SPX Sep 1955 Calls at 21.8101, and BXY sold the out of the money SPX Sep 1995 Call at 4.70.

The charts below show it was a pretty good week for all three strategies as well as the S&P 500 –


PUT benefitted from the strong week as it was the only strategy that began the week with an option that was deeply in the money. That combined with timely execution of the strategy resulted in PUT having a very strong week and also overtaking the performance of the S&P 500 total return in 2014. BXM and BXY also had a good week, but lost a little ground to buying and holding the S&P 500.