CBOE plans to list S&P 500® Index (SPX) Monday-expiring Weeklys options, beginning August 15, pending regulatory approval. SPX Weeklys are one of CBOE’s fastest-growing products, with volume in 2015 setting a 10th consecutive annual record. With the expected introduction of SPX “Monday Weeklys,” CBOE will offer SPX options with Monday, Wednesday and Friday expirations.
The table below shows the S&P 500 options expirations (through Sept. 9) that are or will become available.
FEATURES OF WEEKLYS OPTIONS
Contracts with weekly expirations allow investors to implement more targeted buying, selling, spreading or hedging strategies. In addition, futures and options with weekly expirations can help investors take advantage of breaking news or known economic events, such as earnings, monthly U.S. economic reports and Federal Reserve announcements. Additional information on Weeklys options and futures can be found at www.cboe.com/Weeklys. CBOE pioneered short-term options trading in 2005 by introducing the first weekly expiring options contract.
As shown in the chart below, average daily volume for SPXW Wednesday-Expiring Weekly options grew from 26,652 in February 2016 (their launch month) to 88,761 last month.
FEATURES OF THE NEW SPX MONDAY-EXPIRING WEEKLYS OPTIONS
Trading Hours — Extended and Regular Trading Hours currently in place for the existing SPX/SPXW options will be followed.
Ticker Symbol — SPX Monday-expiring Weeklys series will be available for trading under option symbol SPXW.
Expiration and Final Trading Day
- SPX Monday-expiring Weeklys options are PM-settled.
- The expiration date (usually a Monday) will be identified explicitly in the expiration date of the product. If the Monday of the week in which the options expire coincides with an Exchange holiday, the expiration date will be on the next business day (usually a Tuesday). The expiration date for each option is also the last trading day for that option.
- SPX Monday-expiring Weeklys may expire on any Monday of the month, other than a Monday that coincides with an End-of-Month (“EOM”) expiration date.
- Expiring SPX Monday-expiring Weeklys options will cease trading at 3:00 p.m. Central time on their last trading day. All non-expiring SPX Monday-expiring Weeklys options will continue to trade until 3:15 p.m. Central time.
- SPX Monday-expiring Weeklys option series will not be included in the strip of option series that will be used to calculate the CBOE Volatility Index (“VIX Index”) spot value or the exercise or final settlement value of VIX Index options and futures.POTENTIAL FOR MORE GROSS PREMIUM WITH SPX WEEKLYS
SPX Weekly options have the potential to provide index option sellers with more opportunities to generate premiums. Exhibit 8 of the 2016 paper by Professor Oleg Bondarenko -. An Analysis of Index Option Writing with Monthly and Weekly Rollover – showed that the aggregate gross premiums received by the CBOE S&P 500 One-Week PutWrite Index (WPUT) were greater than those received by CBOE S&P 500 PutWrite Index (PUT) in every calendar year from 2006 through 2015
The WPUT Index tracks the performance of a hypothetical strategy that sells an at-the-money (ATM) S&P 500 Index (SPX) put option on a weekly basis. The maturity of the written SPX put option is always one week to expiry. The written SPX put option is collateralized by a money market account invested in one-month Treasury bills.
The microsite for SPX Weeklys options is at www.cboe.com/SPXW.
For an overview of SPX Monday Weeklys options contract specifications and other operational details, please see CBOE Regulatory Circulars RG16-119 and RG16-135.