Tuesday, July 26, 2011

Trade of the Day: 20 Year Treasury (TLT) long September $95 straddle

The Trade
A trader bought the September $95 straddle 5,000x at $4.55, or $2,275,000.

The trader is making a large bet that volatility makes a big move. IV increased 5.1% today. The spread's risk is limited to the debit, and its profit potential is unlimited in either direction. Another straddle went off in August with the $95 strikes for $3.38, 6,000+ times. An August $80/$90 straddle was also purchased for $0.39, 1,000+ times.

The white lines shown in the daily stock chart are the two break even price levels at expiration. TLT traded more than twice as many puts today than calls. The 52-week range for TLT is a low of $88.14 and a high of $109.34


*Special thanks to Option Radar, BMO Capital, MEB Options, Bloomberg, Reuters, Optionistics, LiveVolPro, CBOE, AMEX, Option Monster, T.O.P. group, and all of the options desks and traders we work with to provide the option flow!

No position at this time. Position declarations are believed to be accurate at time of writing but may change at any time and without notice.

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