ChrisM and KTM one thing I've noticed is during op ex week and just prior an increase in vol's...do you all believe once these eom options take off we will see and increase in vols for a longer period of time (like the last two weeks of the month)?
Aardvark, I believe this might be one of the fastest growing products (a least I hope so). In fact I can see a lot of interest in Europe as well. For CTA and CPO it is a must. One of the most time consuming operations was holding old series into new month. Do not look too far - the most recent drop. Regular May series expired and you may hedge your positions with cheap EOM ... ? Just one of many examples.
I've often wondered if it's really true that exp week is any more volatile than the rest of the month, or if maybe we are just more sensitive to it because we deal in these products. My first reaction would be that it may mute volatility more since there are twice as many expirations. It becomes less of an event. I think Bernanke's plainspeak may be the driver of volatility right now. With Greenspan you couldn't pin interest rate moves on one specific thing, so everyone interpreted things differently. Now the whole herd is watching the meaningful 8:30 data releases. By the way, if anyone is trading spreads via IB TWS, you will need a fairly recent TWS release to deal in the new contracts. I was running 854 (from 12/05) yesterday and while I could see and get quotes for the new contracts, the regular mid-month contracts were not available within the spread tool. Once I upgraded, both appeared.
Be careful with these EOMs. I'm not sure why the CME is not ensuring markets in some near the money contracts. With the Sept futures around 1270 - 1275 for much of the day, there was no market below 1305 for June EOM calls or above the 1260 puts. As someone who is now holding contracts where markets are no longer being made, I find this troubling. I wrote the CME about the matter, but did not receive a response as of yet. Trying to place an order for the 1300C results in "Price out of range" from IB and the order is rejected, even when there appears to be a bid/ask displayed. A wide spread is one thing, but not even being able to place an order is somewhat bewildering.
ktm, thanks for warning. Unfortunately I`m in and having the same experience. It is still too early though. I`l try to to cover them with July series if June expires if necessary, but so far it`s safer to stay with ol` ES.
I hounded the CME about it more yesterday. Coincidentally or not, it appears all front month EOM futs opts have markets this morning. Looks good.
Did they respond to you in writing/verbally or just responded by taking "action". Whatever the case, it's good that the situation has improved, an dthat you took the initiative yesterday. I still like the CME and think this product will take off! ktm, can you hound them for me for perpetual/no-roll equity index futures contracts for we specs!!!...
Take a look and see now. Now all looks good, even spreads have got improved. Thanks ktm for MMing the market.