Friday was the third Friday in September which is standard option expiration date for most option players, but for those of us that watch the CBOE strategy indexes it also means roll date.
First the September SPX settlement came in pretty high, relative to history and the price action yesterday, at 2022.46. This settlement level resulted in a tough day for both BXM and BXY which were respectively short the 1955 and 1995 SPX calls. Both BXM and BXY lost about half a percent yesterday while the S&P 500 was down just 5 basis points.
The reference price to determine the new short option positions in BXM, BXY, and PUT was 2015.24. Based on that price BXM sold the SPX Oct 2020 Call at 14.493, BXY sold the SPX Oct 2060 Call at 2.40, and PUT sold the SPX Oct 2015 Put at 21.00822.
The performance for these three indexes relative to the S&P 500 took a little hit this past week due to a combination of the S&P 500 making new highs, the option positions either being deeply in the money or out of the money, and in the case of BXM and BXY the SPX settlement value of 2022.46. There are still three months to go and any sort of pull back in the stock market can result in a quick catch up for these three strategies.