ISE Introduces New Indexes, Quoting Functionality

Posted December 5th, 2011 by The Options Insider in Industry

The International Securities Exchange (ISE) announced on Monday the creation of two new indexes: the ISE SPY Bear Option Overlay Index (VCS) and ISE SPY Bull Option Overlay Index (VPS). These innovative indexes will track the diversified portfolio performance of either vertical call or put spread strategies based on the SPDR^Æ S&P 500^ÆETF (SPY).

They will also provide leveraged directional exposure to the underlying ETF and give investors the ability to track two popular trading strategies on the most actively traded ETF.

In an ISE press release, Kris Monaco, Head of New Product Development at ISE, said, "The ISE SPY Bear Option Overlay Index and ISE SPY Bull Option Overlay Index are the first indexes of their kind, allowing investors a simplified way of tracking vertical spread strategies. Although we have introduced these indexes based on the popular SPY ETF, the methodology we have developed is portable, and can be applied to many other underlying ETFs, stocks, or even indexes. Once VCS and VPS are implemented as ETFs, they will provide a flexible way to trade popular strategies with controlled directional exposure and in a cost efficient manner."

The two indexes are live and distributed through the Options Price Reporting Authority (OPRA) to major market data vendors. Real-time prices and historical data are available via Bloomberg with the symbols VCS and VPS.

Enhanced Quoting in Complex Order Book

ISE also announced that it has enhanced its complex order book. This will allow market makers to provide two-sided quotes for complex or muti-legged instruments.

This new capability successfully launched on December 1 and it comes through the implementation of ISE's Optimiseô trading architecture.

ISEís complex order book can accommodate multi-legged instruments with up to eight options legs along with a stock component. From this enhancement, ISE market makers will have greater flexibility and control over the liquidity they provide in the complex order book.

Boris Ilyevsky, Managing Director, ISE, said in a press release, ìISEís new quoting capability for complex instruments is a first for the US options industry. By introducing this functionality, we hope to encourage greater liquidity and better executions in our complex order book to support the growth of this rapidly growing segment of the options market.î

ISE initially rolled out quoting functionality to three options. Within the complex order book, the exchange's marketmakers can enter a complex quote in any symbol activated for complex quoting, regardless of their symbol appointments in ISEís regular market.

In addition, complex quotes only trade with other complex orders and do not interact with individual legs on the regular order book. ISE will disseminate the aggregated size and price for complex quotes over the ISE Spread Book data feed.