The Week in CBOE Strategy Indexes – 10/6 – 10/10

This past week was the first time the S&P 500 lost more than 3% in a week since May of 2012.  The pressure on stocks combined with this coming week being expiration week resulted in the three SPX oriented strategy indexes coming under pressure as well.

Strat Charts

As is expected each of these strategies gained a little ground over this past tough week for stocks.  This coming Friday is the third Friday of the month which means BXM, BXY, and PUT will all be rolling into November positions.  BXM is currently short the SPX Oct 2020 Call and BXY is short the 2060 Call both of which had no bid on Friday’s close.  PUT is short the SPX Oct 2015 Put which is over 100 points in the money but did finish Friday with about 6 points of time value.

Strat Tables