In my Sept 2 blog I noted that I’ve started to populate quotes for puts. Recall that there are only four regions with electronic quotes (CUS-10 city, CHI, LAX and NYM) and that most of the inquiries that I’ve received has been for short-dated (e.g. <2 year) protection. Here, I’d … Read More
In my recap for August CME activity () I posted a table of put option prices for the four regions (CHI, CUS, LAX, and NYM) where electronic trading of puts is allowed by the CME. That table in updated here.
Over the last few months I’ve probably had more inquiries … Read More
I’ve had a handful of inquiries related to options so I figured that I’d use some down time to dust off my option pricing model and give the topic some attention.
The table below shows my quotes on the four electronically traded regions. Recall that options on other regions can … Read More
The CME just released an announcement that is intended to make clear that Case Shiller options have European-style (at expiration) and not American-style (continuous) rules. http://www.cmegroup.com/notices/ser/2016/07/SER-7688/SER-7713.pdf
Since the futures don’t have coupon payments or dividends, and since options always have some time value, I’ve long analyzed these options as European. … Read More
I believe that the CME markets saw their first option trade for 2016 over the last few days. Eighteen puts on the CHIQ17 120 strike traded (FYI CHIQ17 = 134.6/139.4 today) at 2.0 points.
This trade played out in a manner consistent with other inquiries. A buyer of slightly out-of-the … Read More
Here’s my long overdue template for option quotes. I wanted to get this done for the month-end report AND to inquiries I’ve had for HCI (CUS 10-city index), LAX and NYM contracts. (I figured that I’d toss in numbers for CHI to show all four regions where one can post … Read More
I’d like to try and wake-up trading in the CME options. The CME has allowed electronic posting of option quotes on selected regional contracts (CUS, CHI, LAX and NYM) since 2012 but I am not aware of any sizable trades since a 35-lot in 2014.
However, unlike past efforts to … Read More