Big March Roll on VIX

Morning Note Oct 14

October 14, 2011


Equity futures are trading above fair value ahead of today's Oct Michigan Consumer Sentiment at 09:55 ET and as G20 Finance ministers are meeting in Paris today to find a solution to the debt crisis. Greece remains the central focus but fears of a spread to other Eurozone countries and banks remains high.

Morning Note Oct 11th

October 11, 2011


US equity futures are following European markets lower as ECB's Trichet reiterated a sense of urgency in regard to dealing with the Eurozone Sovereign debt crisis in order to avoid contagion. The Slovakian vote on approving changes to the EFSF rescue fund is expected at ~7:00 ET is looking less likely to be approved though there are reports that the parliament can put the ratification to repeated ballot once a political agreement with the opposition is in place. Earnings season unofficially kicks off with Alcoa (AA) after the close.

EU/IMF/ECB inspectors say Greece will miss 2011 target, says Greek 2011 fiscal target no longer within reach.

Sep NFIB Small Business Index 88.9 vs. 88.1 in August

Morning Note Oct 7th

October 7, 2011


US equity futures are trading lower ahead of September unemployment data due at 8:30 ET

Lipper reports equity fund outflows of ($5.9B) in w/e 5-Oct vs outflows of ($5.9B) in w/e 28-September. Ex-ETFs, outflows were ($638M) in w/e 5-Oct vs outflows of ($1.7B) in w/e 28-Sep.

Morning Note Oct 4th

October 4, 2011


US equity futures are lower as continuing concerns over contagion risk to the EU debt crisis, capital needs in the banking sector and slowing global growth concerns all weigh on investor sentiment. Attention will turn to Fed Chairman Bernanke's testimony on the economy to Congress today at 10:00 ET.

Options Flow Recap Sept 12

Macro / Thematic

EFA – 6000 of the September 49 puts were sold at $1.46.

SPY – 6000 of the October 110 puts were sold at $4.00

Morning Note Sept 7th

September 7, 2011




US equity futures are all trading higher following higher openings across Asia and Europe, which got an additional boost after the constitutional court in Germany rejected lawsuits aimed at blocking participation in euro zone bailouts.


II Data: Bullish sentiment declines to 38.7% from 40.9% in the latest US Investor's Intelligence poll. Bearish sentiment increases to 37.6% from 36.6%. Those expecting a market correction increases to 23.7% from 22.5%

Morning Note Sept 6th

September 6, 2011


US Equity futures are trading lower relative to fair value, playing catch-up after yesterday's sharp selloff in Europe as global growth worries and heightened concern in dealing with the region's sovereign debt crisis continue to take center stage. Attention will focus later today on August growth in the service sector due at 10:00 ET.

Morning Note Sept 1st

September 1, 2011
US equity futures are trading lower following European Economic data that generally came out weaker than expected abd begative sovereign debt headlines. The market is awaiting ISM Manufacturing data due at 10:00 ET where consensus of 48.5 suggests contraction which was last seen in Jul 2009.

Spanish T-Bond: Spain treasury sells €3.62B in new 5-yr bond. Bid-to-cover ratio 1.8. Average yield 4.489%

Options Flow Recap Aug 31th

Macro / Thematics

 

iShares MSCI Emerging Markets Indx  EEM - 11,000 of the September 44 / 47 put spread was bought for $2.50.

 

VIX - 10,000 of the September 50 calls were bought for $0.375

 

Financial Select Sector SPDR (ETF) XLF - 17,000 of the March 13 straddle was bought for $2.72.

 

 

Options Flow Recap Aug 22

Macro / Thematic

Select Sector Industrl Slct Sctr SPDR Fd XLI - 28,500 of the September 34 calls appeared to be bought for $0.07. The calls were bought to open.
SPDR S&P Retail (ETF) XRT  - 15,000 of the October 40 puts were bought for $1.75. The puts were bought to open.


Financial Select Sector SPDR XLF sweep: 31,130 8/26 12 puts trade on the offer for .26, opening, 40 delta (115,000 trade all day – 95% on the offer)

Morning Note & Options Flow Recap

August 17, 2011




US Futures are trading higher this morning, following yesterday's volatile session, when the US markets rebounded twice from negative headlines out of Europe, though still closed lower. First was the disappointing GDP figure from Germany (considered Europe's strongest economy) showing the economy had all but stalled and second came after the meeting between French President Sarkozy and German Cancellor Merkel after they reiterated opposition to Eurobonds. After the close, DELL beat on Q2 EPS, though missed on revenues and guided Q3 revenues below consensus, and reduced full-year revenue guidance.


Dallas Fed President Fisher speaks on monetary policy at 13:20 ET

Options Flow Recap Aug 15

Macro / Thematic

FXI iShares FTSE/Xinhua China 25 Index - 28,500 of the September 40 calls were bought to open for $0.50. A total of 40,609 traded on the day. Also a buyer of 23,000 Nov 42 calls for 65 

IWM iShares Russell 2000 Index – 32,000 of the November 57 / 63 / 69 put fly was bought for $0.62. The put fly was bought to open and has a maximum profit $5.38 if the IWM closes at $63.00 on November expiration, a decline of 12.2% from the current price ($71.76).


GLD SPDR Gold Trust : seller 11,500 Jan 135/150 call spread for 13.10


IYR iShares Dow Jones US Real Estate : seller 5,500 Aug 61 puts, seller 5,500 Sep 56 calls, collecting 7.20

Morning Note

August 15, 2011




US futures are all trading higher relative to fair value following last week's unprecedented volatility.

Morning Note

August 12, 2011

Equity futures have reversed earlier declines and are all now pointing to a positive open following a strong reversal in Europe after a ban on short-selling in many financial stocks was imposed by France, Spain, Belgium and Italy.

EC, ECB and IMF issue press release following First Review Mission to Portugal. The assessment is that the program is on track and that economic growth and inflation for the year as a whole are expected to remain in line with the program framework. Exports have been relatively strong; consumer confidence indicators are steady; and employment has remained broadly stable
While GDP is expected to contract by 2.2% this year, a recovery remains projected to begin taking hold in early 2013.

Lipper reports equity fund outflows of ($14.4B) in w/e 10-Aug vs outflows of ($7.5B) in w/e August 3rd. Equity fund outflows were the largest since late-May of 2010. Ex-ETFs, equity fund outflows were ($11.4B) in w/e 10-Aug vs ($3.4B) in w/e 3-August.

Fed reports balance sheet assets of $2.88T on Wednesday, +$5.2B w/w and $545.3B y/y. Holdings of US Treasury securities were $1.64T on 10-Aug, +$3.8B w/w and +$867.7B y/y. Holdings of mortgage-backed securities were $897.3B on 10-Aug, unch. w/w and ($22.2B) y/y. Holdings of federal agency debt securities were $112.4B on 10-Aug, unch. w/w and ($46.9B) y/y

Options Flow Recap Aug 11th

Macro / Thematic

GLD SPDR Gold Trust - 20,000 of the September 158 calls were sold to buy the December 195 / 205 call stupid collecting $7.15 on the leg legs. The December  call stupid was bought to open.

SPY SPDR S&P 500 ETF - 100,000 of the September 124 calls were bought for $0.24 early in the day's session. The calls were bought to open.

Morning Note

August 11, 2011


US equity futures are lower this morning following yesterday's selloff over continued European sovereign debt wories, this time over rumors that France's triple-A credit rating could be cut. These rumors have since been vigorously denied, but concerns over US bank exposure to European banks coupled with prolonged low interest rates and prolonged slow growth in the US persist. Weekly jobless claims will be the economic focus at 08:30 ET.

Morning Note

August 10, 2011




US Equity futures are trading below fair value giving pause following yesterday's afternoon rally, which started after the FOMC policy statement noted that growth in the economy has been considerably slower than expected and therefore the Fed will keep the federal funds target rate exceptionally low through at least mid-2013.


Bullish sentiment increases to 47.3% from 46.3% in the latest US Investor's Intelligence poll. Bearish sentiment decreases to 23.7% from 24.7%. Those expecting a market correction is unchanged at 29.0%

Options Flow Aug 8

Macro / Thematic

SPY SPDR S&P 500 ETF - 20,000 of the September 121 puts were bought for $9.90 tied to $113.50. Separately, 22,900 of the August 117 puts were sold at $5.06 to buy 30,400 of the August 112 puts for $3.01. 33,000 of the August 119 puts were sold to buy 23,000 of both the August 112 and 113 puts.  Also, buyer of 78,000 Aug 123 calls for .45-.50

Morning Note

August 5, 2011

Equity futures are trading near fair value, following yesterday's sharp selloff, which sparked corresponding weakness in Asia and Europe today. All major indices are in correction mode as traders contend with weakening US economic data and the latest debt drama in Europe. Today's key will be the July employment data at 08:30ET.

EU's Rehn says political will to defend the euro should not be underestimated; finalisation of the details of the 21-July leaders agreement expected in weeks, not months. Rehn's says markets have not reacted to 21-Jul agreement as expected and work is continuing to put flesh on the bones of the agreement. The lending capacity of EFSF and its scope should be boosted.

ECB said to have purchased bonds of Portugal and Ireland for second consecutive day. ECB was buying a small amount of short-term debt, according to one source.

Lipper reports equity fund outflows of ($7.5B) in w/e 3-Aug vs outflows of ($2B) in w/e 27-Jul