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Historical and Implied Volatility
Top 10 Most Active Series
Last Updated Thu Jul 24 12:55:09 CDT 2008
Rank Option Description Today's Volume
in Contracts
1 QQQTR AUG 44.00p 63,687
2 XBTTR AUG 70.00p 53,453
3 QQQTQ AUG 43.00p 48,626
4 QQQTU AUG 47.00p 47,593
5 BACTA AUG 27.50p 46,940
6 CUD SEP 20.00p 41,652
7 QQQTS AUG 45.00p 41,382
8 DIWTS AUG 71.00p 41,135
9 SPYHX AUG 128.00c 40,480
10 SPYTW AUG 127.00p 39,648
View: 25 Most Active / Puts / Calls
Source: iVolatility.com
White Papers

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

NY Equity Options Conferece
The Striking Price

Striking Price Daily: July 23, 2008
Costco Clubbed

July 21, 2008
The Bull Market in Fear

VIX indexes are popping up everywhere.

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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