| Last Updated Tue Jan 06 17:00:28 CST 2009 |
| Rank |
Option Description |
Today's Volume
in Contracts |
| 1 |
TAE JAN 25.00c |
679,620 |
| 2 |
DALCB MAR 10.00c |
159,135 |
| 3 |
SWGMP JAN 94.00p |
126,671 |
| 4 |
SWGML JAN 90.00p |
121,387 |
| 5 |
TAZ JAN 26.00c |
116,455 |
| 6 |
TAF JAN 24.00c |
109,654 |
| 7 |
SWGAO JAN 93.00c |
88,498 |
| 8 |
WFCNW FEB 28.00p |
87,010 |
| 9 |
SWGAQ JAN 95.00c |
84,874 |
| 10 |
DALAB JAN 10.00c |
82,839 |
| View: 25 Most Active / Puts / Calls |
Source: iVolatility.com
The CBOE Volatility Index - VIX (PDF / 1.71MB)
VIX provides a snapshot of expected stock market volatility over the next 30 calendar days and is calculated real-time from index option premiums.
Collar Trade (PDF)
A collar trade consists of selling one out-of the-money (OTM) call and buying one at-the-money (ATM) put for each 100 shares of stock owned. The expiration month is the first one available that is at least one year away. As a result, the position consists of a covered call (long stock and short OTM call) to collect income and a long put for protection.
Click to view more White Papers and Research Articles
Collaring the Cube: Protection Options for a NASDAQ 100 ETF Portfolio (PDF)
A study by Szado and Kazemi of the University of Massachusetts evaluated nine years of data on the Powershares QQQ exchange traded fund and found that a protective collar strategy using a six month put purchase and consecutive one month call writes provided far superior returns compared with buying and holding the NASDAQ-100 Index® ETF with about one-third of the index volatility. Over the 108 month study period, this collar strategy returned more than 150% cumulatively, while the cube portfolio lost over 12%.
You can also view the six page summary (PDF) of the paper which also provides a collar tutorial on the back pages.
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DECEMBER 9, 2008
A Strategy to Quell Market Chaos - The Modified Collar
Philip Gocke, Managing Director of The Options Industry Council, discusses strategies that may help fund managers control risk, gain alpha and quell market volatility. The University of Massachusetts’ Center for International Securities & Derivatives Markets recently released a modified collar study that evaluated nine years of data on the Powershares QQQ exchange traded fund. Learn more about this webcast
or Launch now.
U.S. Equity Options Market: Changing Competitive Landscape
Aite Group has released an impact report titled, "U.S. Equity Options Market: Changing Competitive Landscape" written by Sang Lee, Managing Partner. The paper examines important industry issues and trends and highlights key players in the marketplace, including exchanges and broker/ dealers. This report also presents perspective from various client segments including hedge funds, traditional asset managers, and proprietary trading firms. (November 2008)
Click here to read more or to access the document.
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