During the month of July, CBOE established five new volume records. Monthly volume records were set in S&P 500 Index options (SPX), Options on the Dow Jones Industrial Average (DJX), and options on the Nasdaq-100 Index Tracking Stock (QQQ). Single-day volume records were set in options on DIAMONDS (DIA) and in shares of the Nasdaq-100 Index Tracking Stock (QQQ).
Stock option volume totaled 17,078,716 contracts (9,792,313 calls and 7,286,403 puts), down 1% from July 2001's level of 17,271,781 contracts. Average daily volume for stock option contracts was 776,305 contracts. Open interest in stock option contracts stood at 73,196,302 contracts at the end of July 2002, up 18% from 61,798,573 contracts at the end of July 2001.
As investors sought portfolio protection from the recent volatile markets, total index option volume soared 101% to 11,527,040 contracts (5,701,196 calls and 5,825,844 puts) traded, compared to 5,735,564 contracts traded in July 2001. At month's end, open interest in index options contracts stood at 12,863,303 contracts, an increase of 73% over July 2001's 7,446,294 contracts.
S&P 500 Index options (SPX) were the most actively traded index options at CBOE, with a total of 3,859,734 contracts traded, an increase of 126% over the July 2001 total volume of 1,706,449 contracts. This is a new record in total monthly volume for SPX, surpassing the previous record of 3,477,937 contracts established in March 1995. Open interest in SPX stood at 3,903,682 contracts at the end of July 2002, an increase of 33% over year-ago levels.
Options on the Nasdaq-100 Index Tracking Stock (QQQ) established a new monthly volume record of 2,450,147 contracts traded, up 16% from July 2001's total of 2,115,399 contracts. The previous record was set in March 2001 when QQQ monthly volume totaled 2,211,781 contracts. Open interest in the QQQ options stood at 5,944,206 contracts at the end of July 2002.
Trading volume during the month of July 2002 in Options on the Dow Jones Industrial Average (DJX) surged to a record-breaking 1,485,582 contracts -an increase of 174% over July 2001's level of 542,905 contracts. The previous monthly volume record was established in April 2001 when 1,177,763 DJX contracts traded. Open interest in the DJX options stood at 898,895 at month's end, compared to 594,001 contracts at the end of July 2001, an increase of 51%.
Demand for options on the S&P 100 Index was strong during July with a 144% increase in volume over July 2001. Volume in the American-style exercise OEX options totaled 1,837,865 (995,586 calls and 842,279 puts) contracts, with average daily volume of 83,539 contracts. The European-style exercise (XEO), launched one year ago on July 23, was also active with 152,619 contracts trading. Open interest in the OEX options stood at 362,878 at month's end, up 134% compared to July 2001 month's end. Open interest in the XEO stood at 70,601 at the end of July 2002.
Monthly volume in the Mini-NDX Index options (MNX), an index option based on one-tenth of the Nasdaq-100 Index, totaled 504,326 contracts, representing an increase of 31% over the July 2001 total of 384,404 contracts. Open interest in MNX options stood at 840,884 contracts at the close of July 2002.
Options on DIAMONDS (DIA) broke a record for contracts traded in a single day. On July 24, 2002, 125,320 DIA contracts traded, surpassing the previous record set on July 15, 2002 of 77,396 contracts traded.
QQQ shares also broke a record for single-day trading when 1,341,900 contracts traded on July 22, 2002. The previous record was set on March 18, 2002 when 1,233,500 contracts traded.
Recently, the CBOE launched the BuyWrite Monthly Index (BXM). The BXM is a benchmark index that measures potential returns of a theoretical portfolio of Standard & Poor's 500 Index stocks that also systematically sells S&P 500 Index call options (SPX) against the portfolio. Year-to-date, the CBOE BXM beat the S&P 500 Index (with dividends reinvested) by approximately 6.4%age points (BXM down 13.5% vs. S&P 500 Total Return Index down 19.9%). The BXM has surpassed the S&P 500 every calendar year since 1998, as the added income from covered call strategies has helped cushion equity downside moves and reduce volatility. More information about the BXM and covered call strategies can be found at www.cboe.com/bxm.
CBOE, the world's largest options marketplace and the creator of listed options, is regulated by the Securities and Exchange Commission (SEC). For additional information about the CBOE and its products, please visit the CBOE website at http://www.cboe.com.
