New All-Time Record – Open Interest for Cboe S&P 500 Options Surpasses 21 Million Contracts

While many investors are concerned about the fact that benchmark indexes for major investment classes are down year-to date, more investors are using S&P 500® options for goals related to risk management and income enhancement.

  • On December 20 open interest for Cboe S&P 500 (SPX(SM) and SPXW) options surpassed 21 million for the first time ever in its history of more than 35 years, and hit a new all-time record high of 21,424,148 contracts, and
  • The Cboe S&P 500 95-10 Collar Index (CLLSM), an index that tracks the performance of a strategy that buys SPX puts for protection and sells SPX calls for income, rose 2% in 2018 (through December 20).


The chart below shows that open interest for Cboe’s S&P 500 options rose from 1.1 million in 1993, to 16 million in July 2018, to a record 21.4 million contracts on December 20.


In the past week I spoke with a number of traders and portfolio managers to inquire about their thoughts about the growth to record open interest in S&P options. The responses I heard included –

  • “Higher volatility levels in recent months make the markets more attractive for options sellers who wish to generate more premium.”
  • “Cash-secured put-writing has gained more mainstream acceptance”
  • “There is more interest in portfolio protection and generation of income”
  • “There is more trading in SPX call spreads. Look at SPX call open interest which has been beefed up by the sheer quantity of multi-legged call trades that have been trading to hedge the other tail. Millions of calls since the Sept 21st expiry!”
  • “We are seeing SPX volatility sellers with some big multi-leg positions”


The chart below shows that “traditional” key benchmark indexes for large-cap US stocks, small-cap US stocks, emerging markets stocks, Treasury bonds and commodities all fell in 2018 (through December 20), but that the Cboe CLL index rose 2% in the same time period.

The Cboe S&P 500 95-10 Collar Index (CLL) is an index designed to provide investors with insights as to how one might protect an investment in S&P 500 stocks against steep market declines. This strategy accepts a ceiling or cap on S&P 500 gains in return for a floor on S&P 500 losses. The passive collar strategy reflected by the index entails:

  • Holding the stocks in the S&P 500;
  • Buying three-month S&P 500 (SPX) put options to protect this S&P 500 portfolio from market decreases; and
  • Selling one-month S&P 500 (SPX) call options to help finance the cost of the put options.

The term “95-110” is used to describe the CLL Index because (1) the three-month put options are purchased at a strike price that is about 95 percent of the value of the S&P 500 at the time of the purchase (in other words, the puts are about five percent out-of-the-money), and (2) the one-month call options are written at a strike price that is about 110 percent of the value of the S&P 500 at the time of the sale (in other words, the calls are about ten percent out-of-the-money). The starting and base date for CLL Index is June 30, 1986, at which it was priced at 100. The CLL Index is designed to be a valuable resource for investors who want to explore ways to manage their portfolio risk in bear markets.


The volatility skew chart below shows estimates for implied volatility (y-axis) for S&P 500 options for the Monday, Wednesday and Friday expirations (dates in legend at left) and at various strike prices (in x-axis). Note that the implied volatility estimates for many of the out-of-the-money (OTM) S&P 500 put options range from 22 to 110, while the implied volatility estimates for many of the S&P 500 call options range from 15 to 40, a much lower range. One could infer from this chart that there probably is quite a bit of strong demand for downside protection with use of the OTM puts. In addition, in recent years many investors have seen the performance of the Cboe S&P 500 PutWrite Index (PUT) and become more comfortable with the idea of selling cash-secured puts on the S&P 500.


To learn more about ways in which index options and volatility products can be used in portfolio management, please visit these links –


Options involve risk and are not suitable for all investors. Prior to buying or selling an option, a person must receive a copy of Characteristics and Risks of Standardized Options (ODD). Copies of the ODD are available from your broker or from The Options Clearing Corporation, 125 S. Franklin Street, Suite 1200, Chicago, IL 60606. The information in this blog is provided solely for general education and information purposes and therefore should not be considered complete, precise, or current.  Many of the matters discussed are subject to detailed rules, regulations, and statutory provisions which should be referred to for additional detail and are subject to changes that may not be reflected in these materials. No statement within this material should be construed as a recommendation to buy or sell a security or to provide investment advice.  The Cboe S&P 500 BuyWrite Index (BXMSM), BXMDSM Index, PUTSM Index, and CLLSM Index are designed to hypothetical strategies that invest in index options and/or VIX futures Like many passive benchmarks, the Indexes do not take into account significant factors such as transaction costs and taxes. Transaction costs and taxes for an options-based strategy could be significantly higher than transaction costs for a passive strategy of buying-and-holding stocks. Investors attempting to replicate the Indexes should discuss with their brokers possible timing and liquidity issues. Past performance does not guarantee future results. These materials contain comparisons, assertions, and conclusions regarding the performance of indexes based on backtesting, i.e., calculations of how the indexes might have performed in the past if they had existed. Backtested performance information is purely hypothetical and is provided in this document solely for informational purposes. The methodology of the Indexes is owned by Cboe, Incorporated (Cboe) may be covered by one or more patents or pending patent applications. S&P®, and S&P 500® are registered trademarks of Standard & Poor’s Financial Services, LLC and are licensed for use by Cboe, Incorporated (Cboe) and Cboe Futures Exchange, LLC (CFE). Cboe’s financial products based on S&P indices are not sponsored, endorsed, sold or promoted by S&P and S&P makes no representation regarding the advisability of investing in such products. Cboe Volatility Index®, VIX®, Cboe® and Chicago Board Options Exchange® are registered trademarks of Cboe. All other trademarks and service marks are the property of their respective owners.

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