The large-sized SPXW S&P 500 options with p.m.-settlement generated another strong figure of around 600,000 contracts for average daily volume in in June.

Key points about SPXW options include –

  • VOLUME. Average daily volume (a.d.v.) for SPXW options in June included 77,069 for the Monday expirations, 107,986 for mid-week expirations, and 267,955 for Friday expirations (see Exhibit 1 below);
  • MANY EXPIRATIONS. SPXW options have expirations on 9 upcoming dates in July (see Exhibit 2 below);
  • THIRD FRIDAYS. On May 1, 2017, CBOE changed the symbol for existing SPXPM option series to option symbol SPXW. For the July 21 expiration date, CBOE is offering both SPX options with a.m.-settlement, and SPXW options with p.m.-settlement (see Exhibit 2 below);
  • IMPLIED VOLATILITY. An SPX skew chart by Livevol showed that the estimates of SPXW implied volatility ranged from around 6 to more than 34. Implied volatility for out-of-the-money SPXW puts (which can be used for equity portfolio protection) often is higher than the implied volatility for at-the-money SPXW puts (see Exhibit 3 below).

EXHIBIT 1 – AVG. DAILY VOLUME IN JUNE FOR SPXW OPTIONS
MM1

EXHIBIT 2 – UPCOMING EXPIRATION DATES IN JULY
MM2

EXHIBIT 3 – VOLATILITY SKEW CHART FOR S&P 500 OPTIONS
MM3

CONCLUSION

SPXW options provide many expiration opportunities, affording investors the ability to implement more targeted buying, selling and spreading strategies. SPXW options may help investors to more efficiently take advantage of major market events, such as earnings, government reports and Fed announcements. To learn more, please visit www.cboe.com/SPXW.

(Daniel Romero provided assistance with the creation of the charts for this blog.)