I saw the Hangover 2 this weekend and the drug dealing monkey made the movie for me. So many great scenes... I have no idea how they got that monkey to act or if its even real but it was hilarious. Not as good as the first one as expected.
Tuesday, May 31, 2011
Options 101: The 1x2 Ratio Call Spread (front spread)
A ratio 1x2 call spread, or front spread, is comprised of 2 legs, both calls at two different strike prices in the same expiration month. Ratio spreads involve buying one option and selling two options with a higher strike price. The most common ratio is 1x2, but any ratio can be used. Ratio spreads can be executed for debits, credits, or even money. Ratio spreads can be very complex, which increases the amount of risk involved.
Friday, May 27, 2011
Thursday, May 26, 2011
Song of Day: Oh Land - Sun of a Gun (Jacob Plant Remix)
European pop smash made club friendly... let me know what you think
Trade of the Day: Short October $14 puts to buy October $17/$22 call spread
Trade of the Day:
A trader sold 10,000 October $14 puts to buy 10,000 October $17/$22 call spreads.
Risk/Reward:
A trader sold 10,000 October $14 puts to buy 10,000 October $17/$22 call spreads.
Risk/Reward:
Options Flow Recap May 26
Macro / Thematic
EEM iShares MSCI Emerging Markets Indx – 50,500 of the September 41 / 46 put spread was bought for $1.39. The spread was bought to open.
VIX saw 75% the normal volume with 161K calls and 91K puts traded. Some larger trades in the pit:
· Buyer 15K June 27.5/29 call spread for .08· Seller 12K June 21/July 30 call spreads at .10
Wednesday, May 25, 2011
Options Flow Recap May 25th
Macro / Thematic
UUP PowerShares DB US Dollar Index Bullish – 15,000 of the June 22 call were bought for $0.16.
VIX saw 59% the normal volume with 151K calls and 48K puts traded. Some larger trades in the pit:
· Buyer 6,700 June/July 30 call spread for .64The most active VIX options were: July 30C (10K), June 20C (9.9K), June 25C (9.3K), June 18C (8.8K), June 22.5C (8.7K).
Trade of the Day: Bank of America August $13/$10 bull risk reversal
The Trade:
A trader put on a bull risk reversal using the August $13/$10 options for a 1 cent credit, 4,700x.
A trader put on a bull risk reversal using the August $13/$10 options for a 1 cent credit, 4,700x.
Filled the Gap / on the fence
good overview of the market right here:
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.
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.
Alchemy Magazine | Covering the Next Generation of Alternative Assets
Alchemy Magazine | Covering the Next Generation of Alternative Assets
Cool new online site/magazine by Second Market "covering the next generation of alternative investments" Check em out here.
Cool designer too...
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.
Cool new online site/magazine by Second Market "covering the next generation of alternative investments" Check em out here.
Cool designer too...
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.
Tuesday, May 24, 2011
Options Flow Recap May 24th
Macro / Thematic
SMH Semiconductor HOLDRs – 7500 of the June 32 / 34 put spread was bought for $0.31. The spread was bought to open.
VIX saw 66% the normal volume with 185K calls and 49K puts traded. The most active VIX options were: June 25C (17K), Nov 35C (15K), June 32.5C (15K), July 30C (14K), Sep 30C (14K).
Event: Chicago Trading The Professionals - June 23 2001
Looks like a good event being sponsored by our friends over at Live Vol Pro. I wish I could be in Chicago for this! I hear there is going to be a webinar.
Nasdaq Options Market Woos Market Makers
Interesting article on how the NOM is trying to get market makers to thicken bids and offers in names the NOM makes. Could be nice to see some more liquidity on NASD, although I'm not sure the market makers are adequately encouraged to participate though, since NOM is a time priority model. Do they really want to get in line when the prints will probably be small? Something to watch as the exchange wars rage on.
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.
Monday, May 23, 2011
Options Flow Recap May 23rd
Macro / Thematic
EWG iShares MSCI Germany Index Fund – 4000 of the June 26 puts was bought for $0.87.
UUP PowerShares DB US Dollar Index Bullish – 9000 of the September 22 call was bought for $0.55.
GLD SPDR Gold Trust - 20,000 of the June 140 / 145 put spread was bought for $1.00. The put spread was bought to open.
Trade of the Day: GLD buyer of June $145/$140 put spreads
The Trade:
A trader bought 20,000 June $145/$140 put spreads at $1.
A trader bought 20,000 June $145/$140 put spreads at $1.
Just a Reminder
Just a reminder to the readers of our blog that might be newer to trading that days like today can be tough to trade. If you can scalp the range, great but if that's not your thing then don't be too proud to just take it easy until the right set up develops. Sometimes the best trade is not taking a bad one and giving up edge, or getting chopped up, or churning commission. As they were pushing the market to new daily hi's, we were looking for stops to get hit rather than a breakout. Hoping you didn't get sucked in. Remember to stay light and tight!
This isn't advice so much as its analysis. Use your brain.
This isn't advice so much as its analysis. Use your brain.
Meet the blackjack player who beat the Trop for $6 million, Borgata for $5 million and Caesars for $4 million
Friday, May 20, 2011
May's "Trade of the Day" Reviews
Since today is May expiration, we thought we'd look back and see how the pro "Trades of the Day" did.
On April 26th, a trader sold 10,000 May $97 calls at $0.13 and bought 5,000 May $94 calls at $0.68 for a debit of $0.42 or $210,000. You can read a recap of the trade here: TLT May $94/$97 1x2 ratio spread. This trader killed it! TLT closed trading today at $95.32. We calculated the break even price for the spread @ $94.42 so if they held it to the close today (highly unlikely) they would have make .90 on 10k contracts or $900k. Not a bad couple of weeks. Huge win!
On April 19, A trader sold 4,000 May $37 puts at $0.16 and bought 4,000 May $40 puts at $0.63 for a debit of $0.47 or $188,000 in DIS. A bear vertical that didn't work out but could have been a hedge. The toughest part about reading option prints is that you don't know if they already have a position or not. It is interesting that after the 19th, the stock rallied 3 points. We'll count this as a loss.
On April 26th, a trader sold 10,000 May $97 calls at $0.13 and bought 5,000 May $94 calls at $0.68 for a debit of $0.42 or $210,000. You can read a recap of the trade here: TLT May $94/$97 1x2 ratio spread. This trader killed it! TLT closed trading today at $95.32. We calculated the break even price for the spread @ $94.42 so if they held it to the close today (highly unlikely) they would have make .90 on 10k contracts or $900k. Not a bad couple of weeks. Huge win!
On April 19, A trader sold 4,000 May $37 puts at $0.16 and bought 4,000 May $40 puts at $0.63 for a debit of $0.47 or $188,000 in DIS. A bear vertical that didn't work out but could have been a hedge. The toughest part about reading option prints is that you don't know if they already have a position or not. It is interesting that after the 19th, the stock rallied 3 points. We'll count this as a loss.
Mike Posner -- The Scientist (Coldplay Remix)
good cover of a classic.... Mike Posner keeps making great tracks... enjoy
Thursday, May 19, 2011
A Title for LeBron May Mean $4 Billion For Nike in China
Interesting article...here are a couple quotes I found interesting:
"LeBron James’s first National Basketball Association championship would help add $4 billion in revenue from China for Nike Inc. (NKE)"
Options Flow Recap May 19th
Macro
EEM The iShares MSCI Emerging Markets Index Fund - had the largest print on the exchanges today after 25,000 of the July 50 calls traded on the offer for .52 on a 24 delta. It appears the options were bought to open as there are only 12K contracts outstanding in the series. Implied volatility at the time was about 24.7% compared to historical volatilities of: 20.9% (20d), 19.9% (60d), 19.1% (120d). The top positions right now are: June 46P (158K), June 45P (154K), June 42P (142K), June 55C (133K), June 43P (123K).
VIX saw 136% the normal volume with 321K calls and 168K puts traded. Some larger trades in the pit:
· Jun 25 - 32.5 [1:2] ---- Jul 30 - 22.5 [2:1] c/sprd-swap… paper pd .10 on 27,000 ratio sprd-swaps
· Seller 7.5K June/Aug 25 put spread at .35
· Seller 5K Aug 21 straddles vs 20.55 at 5.925, delta neutral
· Buyer 5K June 37.5 calls for .125
· Aug - Jun 24 p/sprd paper collected 1.325 on 27,000Song of the Day: Notorious B.I.G. - Gimme The Loot (superginger Dubstep Remix)
"Where's my paper at? Give me the loot! Give me the loot!"
Classic remixed well... enjoy
Classic remixed well... enjoy
Wednesday, May 18, 2011
Former OMB Director David Stockman talks U.S. debt crisis on Bloomberg TV
Hot topic...debit crisis, taxes, interest rates.... billions will be made off the interest rate hikes... how are you going to play it? Long TBT leaps probably work and you get the rho kicker....its all about timing though. if you're bullish the market and believe interest rates are going higher LEAPs are better than equity IMO.
Options Flow Recap May 18th
Macro / Thematic
XME SPDR S&P Metals and Mining (ETF) – 20,000 of the June 68 puts were bought for $1.85. It is possibly closing of the short leg of a June 68 /73 put spread that was initiated in April.
XLI Industrial SPDR (ETF) – 50,000 of the June / September 36 put spread was bought for $1.00
VIX saw 134% the normal volume with 289K calls and 179K puts traded. Some larger trades in the pit:
· Buyer 20K June 24 puts for 6.45· Buyer 10K June 19 puts for 2.20
· Seller 5.8K June 18 straddles at 3.50
· Buyer 5K July 21 calls for 2.175
· Buyer 5000 Jun 30c --- sld 5000 Jun 18 - 20 p/sprd collects 1.05 on 3-way , x=3000
· Buyer 10,000 Jul 16 - 20 strgl ---- sld 10,000 Jun 18 strdl collected 625
Trade of the Day: Apple June $370/$375 bear call spread
The Trade
A trader put on the June $370/$375 bear call spread at $0.26 at 5,000 contracts.
A trader put on the June $370/$375 bear call spread at $0.26 at 5,000 contracts.
April FOMC Minutes
April FOMC Minutes: Fed To Raise Rates Before Selling Assets, Q1 Economic Weakness Blamed On Weather, Inflation "Transitory"Fomc Minutes April
hit tip ZeroHedge for posting.
hit tip ZeroHedge for posting.
Tuesday, May 17, 2011
Death Derivatives Emerge From Pension Risks of Living Too Long - Bloomberg
Death Derivatives Emerge From Pension Risks of Living Too Long - Bloomberg
I'd love to hear people thoughts on this... very interesting and could have all kinds of unintended consequences.
"Pension funds sitting on more than $23 trillion of assets are buying insurance against the risk their members live longer than expected. Banks are looking to earn fees from packaging that risk into bonds and other securities to sell to investors. The hard part: Finding buyers willing to take the other side of bets that may take 20 years or more to play out."
I'd love to hear people thoughts on this... very interesting and could have all kinds of unintended consequences.
"Pension funds sitting on more than $23 trillion of assets are buying insurance against the risk their members live longer than expected. Banks are looking to earn fees from packaging that risk into bonds and other securities to sell to investors. The hard part: Finding buyers willing to take the other side of bets that may take 20 years or more to play out."
Trade of the Day: Wells Fargo January 2013 $35/$40 ratio call spread
The Trade
A trader put on the January 2013 $35/$40 ratio call spread at 7,635x14,964 at $0.08 or a $28,950 credit.
A trader put on the January 2013 $35/$40 ratio call spread at 7,635x14,964 at $0.08 or a $28,950 credit.
Options Flow Recap May 17th
Macro / Thematic
XLE Energy Select Sector SPDR – 17,000 of the June 40 / 45 call spreads were sold at $3.20.
XLV The SPDR Healthcare Fund - has traded over 4 times its usual volume after 41,100 Sep 35 puts have changed hands. It appears they were bought in blocks from an opening put buyer with a 38 delta on the trade. Implied vol was about 17% on the trade while historicals are: 10% (20d), 11.8% (60d), 10.8% (120d). The IV30 52 week high is 30.99 while the low is 12.13. The fund has hit a 52 week high of 36.34 and a low of 27.09. XLV closed unch.
XLV The SPDR Healthcare Fund - has traded over 4 times its usual volume after 41,100 Sep 35 puts have changed hands. It appears they were bought in blocks from an opening put buyer with a 38 delta on the trade. Implied vol was about 17% on the trade while historicals are: 10% (20d), 11.8% (60d), 10.8% (120d). The IV30 52 week high is 30.99 while the low is 12.13. The fund has hit a 52 week high of 36.34 and a low of 27.09. XLV closed unch.
SPY SPDR S&P 500 ETF – 10,000 of the May 135 calls were bought for $0.15.
· Seller 9K June 16 puts at .45, vs 18.60, 20 delta
· Buyer 8K May 17 puts for .475
· Buyer 5K May 21 calls for .125 vs 17.40, 10 delta
· Seller 5K May 16 puts at .275, vs 16.85, delta neutral
VIX saw 129% the normal volume with 331K calls and 125K puts traded. Some larger trades in the pit:
· Buyer 10K May 20 calls for .175· Seller 9K June 16 puts at .45, vs 18.60, 20 delta
· Buyer 8K May 17 puts for .475
· Buyer 5K May 21 calls for .125 vs 17.40, 10 delta
· Seller 5K May 16 puts at .275, vs 16.85, delta neutral
Citi Equity Strategy
Crosscurrents dominate a trendless market. Investors find themselves dealing with margin pressures, the end of QE, a controversial US debt ceiling, European sovereign credit woes, monetary policy tightening in developing regions, geopolitical tumult and commodity price swings. Yet, corporate balance sheets are flush, employment and capital spending have begun to bounce back as lendingstandards ease, valuation is perceived to be reasonable while acquisitions, stockbuybacks and dividend hikes have picked up. Rising stock markets also haverestored consumer wealth damaged by the “Great Recession” generatingpurchasing power in spite of gas price increases.
The path of least resistance may be to the downside near term. With traditional summer seasonality and some significant uncertainties, especially the US deficit and spending plans plus their impact on long-term discount rates for asset valuation purposes, it does not appear likely that equity markets can bounce higher this summer unless a truly remarkable agreement emanates from Washington on fiscal responsibility. Moreover, economic data tends to ease back in the second half which probably weighs on the mindset of investors
Valuation is unlikely to move higher or plunge until several issues are resolved. P/E multiples already have slipped in anticipation of margin woes and the lack of perceived inflation based on TIPS breakeven analysis does not imply a sharp de-rating of the P/E ratio. However, the size of government currently and the long-term spending trajectory also limits the possibility of multiple expansion. Hence, investors may need to reset expectations and recognize that earnings are the more crucial factor to track rather than assessing a desired P/E to determine index outcomes.
Sentiment is not sending much of a signal beyond complacency. Various metrics argue that investors are not excessively enthusiastic about stocks to suggest a major downturn is likely and similarly there are few panicked investors to argue that a major rally is imminent either. Some degree of complacency exists as the risks are well known and considered to be “priced in” with portfolio cash positions near the lows experienced in April 2010.
Large cap dividend yielders may provide a safe haven versus so-called defensive sectors. Traditional defensive sectors such as Health Care look to be stretched on different measures and we cannot advocate chasing them, while large cap stocks look attractive on a relative basis and dividend yields might provide some price support when investors are still seeking income given depressed fixed income yields. Additionally, pension funds may need to shift some assets to equities to generate 8% returns since higher quality bonds will not provide better than 4% returns currently.
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.
Monday, May 16, 2011
Options Flow Recap May 16th
Macro / Thematic
XRT SPDR S&P Retail (ETF) – 15,000 of the December 44 puts were bought for $1.27. The puts were bought to open and are currently 17.3% out of the money. Note that ~32% of the ETFs components report earnings this week.
VIX saw 130% the normal volume with 299K calls and 151K puts traded. Some larger trades in the pit:
· Buyer 10K May 20 calls for .175· Seller 9K June 16 puts at .45, vs 18.60, 20 delta
· Buyer 8K May 17 puts for .475
· Buyer 5K May 21 calls for .125 vs 17.40, 10 delta
· Seller 5K May 16 puts at .275, vs 16.85, delta neutral
Amazon.com, Inc. ends day down $10.05
Just taking a look at some of today's bigger movers. AMZN took a dive today and although I know many are bullish on the name longer term, based on the chart (below) I wouldn't be jumping in with both feet just yet. Looks like it needs some time to consolidate and digest this large move. I like longs closer to $186, although I would say you really have to evaluate the conditions at that time. There is some divergence on the last new price hi, where a new hi in MACD was not registered. As you can see, however, the stock has made strides higher despite this type of divergence in the past.
Options were about twice as active as usual. From looking at the options, it looks like negative deltas were added in both calls and puts, but for very little outlay on a "net" basis. Calls might have been sold to finance put purchases, in which case the outlook from the option market is for AMZN to go lower or stick around here.
I've got a small cheap call fly from a couple of weeks ago that looks a lot better today - $185-$190-$195, but I expect the stock to be active ahead of this week's expiration.
Here's a link to news I saw today on AMZN;
http://www.bloomberg.com/news/2011-05-13/sony-network-said-to-have-been-invaded-by-hackers-using-amazon-com-server.html
None of this is advice, it's all just my back of the envelope analysis. Take it or leave it :)
I've got a small cheap call fly from a couple of weeks ago that looks a lot better today - $185-$190-$195, but I expect the stock to be active ahead of this week's expiration.
Here's a link to news I saw today on AMZN;
http://www.bloomberg.com/news/2011-05-13/sony-network-said-to-have-been-invaded-by-hackers-using-amazon-com-server.html
None of this is advice, it's all just my back of the envelope analysis. Take it or leave it :)
Friday, May 13, 2011
Trade of the Day: Ralph Lauren $135/$125 June ratio put spread 1,000x2,000
A trader put on the June 1x2 $135/$125 ratio put spread for a $1.40 debit, 1,000x2,000.
Options Flow Recap May 12
Blogger was down all day yesterday .... sorry for the delay.
Macro / Thematic
XLF Financial Select Sector SPDR (ETF) – 15,000 of the July 15 puts were bought for $0.27.
EWZ iShares MSCI Brazil Index (ETF) – 10,000 September 45 puts were bought for $0.11. The puts were bought to open and are currently 36% out of the money.
GLD SPDR Gold Trust (ETF) – 10,000 of the December 125 puts were bought for $2.00. The puts are currently 14.7% out of the money
Thursday, May 12, 2011
Goldman America's Summary
Open publication - Free publishing
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.
Wednesday, May 11, 2011
BOX sues CBOE, ISE, Nasdaq for patent infringement | Reuters
Exchange wars rage on.
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.
Trade of the Day: EnCana October $34/$27 bull risk reversal 10,000x
The Trade
A trader put on the October $34/$27 risk reversal for 10,000 contracts at a $0.90 debit.
MKM Partners Morning Derivatives Note
Open publication - Free publishing
Options Flow Recap May 10
Macro / Thematic
iShares MSCI Japan Index (ETF) EWJ – 20,000 of the June 10 calls appear to have been bought for $0.70.
SPDR KBW Bank (ETF) KBE – 20,000 of the June 26 calls were bought for $0.35
Tuesday, May 10, 2011
Trade of the Day: NRG Energy September $25/$28 bull call spread 5,000x
A trader placed a bullish bet on NRG Energy be executing a September $25/$28 call spread $5,000 for a $1.10 debit.
Monday, May 9, 2011
Option Flow Recap May 9th
Macro / Thematic
EEM iShares MSCI Emerging Markets Indx (ETF) - 15,000 of the June 46 puts were bought for $0.65. 10,000 of the June 49 calls were sold at $0.65.
SPX saw 51% the normal volume with 109K calls and 212K puts traded. The most active SPX options were: Sep 800P (10K), May 1250P (9.9K), May 1350C (8.2K), June 1350P (8.1K), June 1350C (8K). The top open interest positions are: Dec 1400C (196K), June 1300P (153K), June 1325P (150K), June 1325C (148K), Dec 400P (142K).
VIX saw 88% the normal volume with 246K calls and 42K puts traded. Some larger trades in the pit:
· Buyer 14K May 27.5 calls for .20· Buyer 10K May 25 calls for .25
· Seller 7.5K June 19 puts at 2.075
· Buyer 5K May/June 18 put spread for .025
· Buyer 5K July 22.5/27.5 call spreads for .85
Options 101: The Call Backspread
A back spread, or ratio back spread, is a bullish spread that consists of selling a number of call options and buying more options of the same underlying stock with the same expiration date at a higher strike price. In other words, a back spread has more long contracts than short contracts. When reading this type of spread, the lower strike is generally stated first, whether it is long or short. Back spreads are very flexible, and can be executed for debits, credits, or even money when there is no debit or credit.
The back spread profits when the underlying stock price makes a move to the upside toward, through and beyond the long strike. The call back spread has limited risk and unlimited profit potential. The bigger the ratio of short options to long options, the more risk involved.
The back spread profits when the underlying stock price makes a move to the upside toward, through and beyond the long strike. The call back spread has limited risk and unlimited profit potential. The bigger the ratio of short options to long options, the more risk involved.
Subscribe to:
Posts (Atom)