Introducing Weekly Options Expiring on Wednesdays

Lawrence McMillan Founder and President, McMillan Analysis Corporation

The CBOE is anticipating listing the first two new variations on volatility products on February 23, so Lawrence McMillan of McMillan Analysis Corporation offers his view on the impact these new Wednesday weeklys may have on options trading.

The CBOE is introducing two new variations on volatility products.  The first is that there will be weekly (SPX) options expiring on Wednesdays (“Wednesday weeklys” is what the CBOE is calling them).  Recall that SPX options are the foundation for the VIX calculation.  VIX futures and options expire on Wednesdays and now that there are weekly VIX futures and options, these Wednesday VIX expirations extend out several weeks.

By having SPX options expiring on Wednesdays as well, then traders who set up hedges between the two will have options that expire on the same day.  However, they won't expire at the same time.  VIX options expire at the opening of trading on that day, while SPX weekly options will expire at the close of trading.  I was a bit surprised that they didn’t make the SPX Wednesday options an AM settlement as well.

These options will use the base symbol SPXW, which is currently the symbol for the SPX weeklys that expire on Friday.  Obviously, the date of the expiration will distinguish between Wednesdays and Fridays.

Wednesday weeklys will not be used in the calculation of VIX.

The CBOE anticipates listing the first two Wednesday weeklys—expiring March 2 and 9—on Tuesday, February 23.  In general, new Wednesday weeklys will be listed on Tuesdays.  For example, a weekly later, on March 1, the March 16 Wednesday weeklys will be listed. To read the entire article click here…

By Lawrence McMillan, Founder and President, McMillan Analysis Corporation