Options on Russell 2000® Index (RUT) www.cboe.com/RUT

 

The Russell 2000 Index measures the performance of the small-cap segment of the U.S. equity universe. Options on the index, which go by CBOE ticker RUT (ticker RTY on Bloomberg), provide opportunities for increasing yields and managing risks efficiently.

Press Release - New Study Finds Russell 2000 Index Options Benchmarks and Options-Based Funds Less Volatile (Sep. 27, 2016)

NEW Fund Evaluation Group (FEG). Evaluating Options For Enhanced Risk-Adjusted Returns: CBOE Russell 2000 Option Benchmark Suite and Case Studies on Fund Use of Options (2016).

Shore, Mark. Analyzing Russell 2000 Options-Based Benchmark Indexes Designed to Provide Enhanced Yields and Risk-Adjusted Returns. (2016)

Key features of RUT options include:

  • Large Notional Size -- around $111,000 per contract with the RUT index at 1110 (approximately 10 times that of options on the IWM Exchange Traded Fund)
  • No Early Exercise of RUT Options - European-style Exercise
  • Cash-settlement with No Delivery of Stocks or ETFs
  • Price and Quote Transparency with Competitive Auction Markets for Leading Option Contracts
  • Daily Mark-to-market for SEC-regulated securities
  • Clearance of Transactions is guaranteed by the Options Clearing Corporation
  • Margin - CBOE Regulatory Circular RG15-183 notes that CBOE rules allow a short position in a cash-settled-index option established and carried in a margin account to receive covered margin treatment, if the short option position is offset in the same account by an equivalent position in an index-tracking ETF that is based on the same index that underlies the short option(s).

    In order to receive covered margin treatment, the market value of the offsetting ETF position must be equivalent or exceed the current aggregate index value of the option being covered. One should note that not all ETFs are managed so as to maintain a share price that is a constant fraction (e.g., 1/10 th, 1/100 th, 1/1,000 th, etc.) of the index being tracked.
  • Tax Treatment under section 1256 of the Tax Code, profit and loss on transactions in certain exchange-traded options, including RUT options, are entitled to be taxed at a rate equal to 60% long-term and 40% short-term capital gain or loss, provided that the investor involved and the strategy employed satisfy the criteria of the Tax Code*

* Investors should consult with their tax advisors to determine how the profit and loss on any particular option strategy will be taxed. Tax laws and regulations change from time to time and may be subject to varying interpretations.

Updated Price Charts

RUT:



RUT:
5 year % change vs. RVX Index (RVX) *

Charts

With the Russell 2000 Index (RUT) trading exclusively at CBOE, the average daily volume has grown to over 83,000 contracts in 2015.


The Russell 2000® Index (RUT) measures the price performance of U.S. small-cap companies, many of which derive revenues primarily in the U.S. Alternatively, the Russell 1000® (RUI) measures the price performance of U.S. large-cap. companies many of which are multinationals that generate revenue worldwide.


The CBOE Russell 2000 Volatility Index (RVX) measures the market's expectation of 30-day volatility implicit in the prices of near-term Russell 2000 options. Futures and options are available on the RVX Index.


Comparing volatility levels between CBOE S&P 500 Volatility Index (VIX) and CBOE Russell 2000 Volatility Index (RVX), the RVX typically trades at a higher level than VIX. The average daily close RVX = 19.42 and VIX = 15.44 for the time period below.