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call rolling

Sep 16 2019

Option Expiration Roll Starting?

Bar chart of SPX puts and calls volume by strike with a large spike near 2998 on Sep 16.

Lots of volume at the 3k strike today, but so far only about ~45k of the ~125k traded expire in the next 3 months. Our tables from last night show about 330k of total OI at the 3000 strike for September. Last months CBOE Buywrite Index strike (BXM) was 2895, so those will be deep […]

Written by SpotGamma · Categorized: Market Analysis · Tagged: BXM index, call rolling, cboe, options expiration

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