Denise Shull Market Mind Games - Psychological Leverage

Iain McGilchrist: The divided brain

An extremely dense lecture that is helped along a lot by the illustrations that accompany it. What I found interesting about this is that my brain is engaged in ways that I do not fully understand or appreciate during the trading day. And perhaps, by considering the brain's chemistry and physiology we can make improvements to our lives through more conscious living.

http://seaofopportunity.blogspot.com/ 

Joshua Foer: Step Outside Your Comfort Zone and Study Yourself Failing

http://seaofopportunity.blogspot.com/

Options Flow Recap Aug 25th

Macro

iShares Russell 2000 Index (ETF)   IWM: buyer 50,000 Oct 50/63 put spreads for 1.75 to sell 25,000 Oct 78 calls at .54


SPDR S&P 500 ETF   SPY: buyer 22,900 Sep 109/115 qrtly put spread 2x1 for .86


SPY: seller 5,300 Oct 108/114 put spreads at 1.36

Morning Note

August 16, 2011

US Equity futures are all trading lower despite a 3 day winning streak following a negative opening across Europe after Germany reported much weaker than expected GDP figures (+2.8% y/y vs consensus +3.2%). In addition to earnings, economic data, including July Housing starts followed by July Industrial Production before the opening bell.

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.

National Health and Fitness Day

Courtesy of Google. Its long and I wouldn't (didn't) watch the whole thing, but there is some good stuff in the middle (around the 25min mark) about eating in the afternoon. This is especially important for traders, because we often are very ready to collapse around this time. Maintaining your energy and focus enables you to prepare for the next day and operate at peak performance.

http://seaofopportunity.blogspot.com/ 

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

Options Flow August 3rd

Macro / Thematic

FXI – 20,000 of the November 46 calls were bought for $0.58. The calls were bought to open.

GLD – 10,000 of the August 159 / 167 risk reversal was bought for $0.23

IEF – 1500 of the August 99 puts were bought for $0.475. The puts were bought to open.

SPY – 20,000 of the August 127 / 132 put spread was sold at $3.57.

UUP – 5000 of the January 22 calls were bought for $0.37.

XLI – 10,000 of the September 32 puts were bought for $0.78. 39,000 of the September 34 puts were bought for $1.67. 49,000 of the September 36 puts were sold at $3.10.  Also a buyer of 5,000 Aug 34/35 call spreads for 26

JNK SPDR Barclays Capital High Yield Bond - traded 14 times its usual volume after 10K Jan 10 calls traded on the offer.  There are just under 3K contracts outstanding so most of these trades are opening transactions.  ATM IV is about 10% compared to historical levels of: 8% (30 day), 9% (60 day), 7.8% (120 day).  Currently in the bond fund, there are 3.5K calls outstanding versus 43K puts. 

Morning Note

August 3, 2011


Global growth worries and European peripheral debt contagion continue to weigh on investor sentiment after stocks fell for sixth straight days on continued concerns that the US recovery is faltering. Both Moody's and Fitch affirmed 'AAA' credit rating for the US while a Chinese credit-rating agency cut U.S. Treasuries from A+ to A with a negative outlook.

EU Commission to make statement later today on market situation

Italy's Prime Minister is scheduled to address parliament on the economy at 14:00UK time (9ET)

Swiss National Bank takes measures against strong Swiss franc. The SNB considers the Swiss franc to be massively overvalued at present. Current strength of the Swiss franc is threatening the development of the economy and increasing the downside risks to price stability in Switzerland. SNB will not tolerate a continual tightening of monetary conditions and is therefore taking measures against the strong Swiss franc.

Morning Note

August 2, 2011

Equity futures indicate a lower opening following yesterday's disappointing ISM number and continued worries over potential US sovereign debt- downgrade.

The debt ceiling deal passes in House with more support than expected. The Senate will vote on debt deal at 12 EST. Given the size of the deal, the question remains whether S&P (or the other rating agencies) still cut the US credit rating.

Italian and Spanish yields hit new highs relative to German Bund yields – yesterday’s sell off blamed on concern that EFSF does not have enough funding.

Options Flow Recap August 1st

Macro / Thematic

EEM iShares MSCI Emerging Markets Indx – 10,000 of the August 46 / 47 strangle was bought for $1.85, tied to 46.82 stock.

SPY SPDR S&P 500 ETF – 30,000 of the August 131 / 121 puts spread was sold to buy the August 125 / 115 put spread with the investor collecting $1.89.

IWM iShares Russell 2000 Index – Over 200,000 of the September 87 calls were bought on the day for $0.24 to $0.26.

UUP PowerShares DB US Dollar Index Bullish – 10,000 of the January 22 calls were bought for $0.22 & 10,000 Dec 21 puts trade on the offer for 55

Morning Note

July 27, 2011

Equity are trading mixed relative to fair value as ongoing debt gridlock continues to weigh on the markets. Banks in Europe are trading lower after Goldman Sachs in a strategy note downgraded the sector. Amazon (AMZN) is up ~6% in Germany after reporting Q2 yesterday after the close.

S&P statement on the rating of the United States; On July 14th, S&P placed the credit rating of the U.S. on CreditWatch Negative. In announcing the CreditWatch, S&P highlighted several factors that it will consider in determining whether to revise its 'AAA' rating on the U.S., including the need for lawmakers to agree on a plan to deal with the federal deficit and develop a credible solution to the country's debt burden. Standard & Poor's has chosen not to comment on the many and varying proposals that have arisen in the current debate.

Any statement to the contrary is inaccurate.

Options Flow Recap July 26th

Macro / Thematic

GLD SPDR Gold Trust – 20k of the August 167 / 175 call spread was bought for $0.29. 20,000 of the August 168 / 176 call spreads were bought for $0.23.

SPY SPDR S&P 500 ETF – 30,000 of the July (29^th) 131 puts were bought for $0.37.

XLE  Energy Select Sector SPDR – 54,000 of the September 79 / 83 call spread was sold at ~$1.60.

XME SPDR S&P Metals and Mining – 15,000 of the September 63 / 58 1x2 put ratio spread was bought for $0.13. The open interest in the September 58 puts (17% out of the money) are nearly 37,000, meaning the trade could be a roll up in strikes.

XRT SPDR S&P Retail – 40,000 of the December 44 puts were sold at $0.645 to buy 15,000 of the December 50 puts for $1.755.

Options Flow Recap July 25th

Macro / Thematic

FXY CurrencyShares Japanese Yen Trust - traded over 6x its usual volume after hitting its all time high of 126.25 today.  On the NSYE, someone traded 9K Sep 124 puts on the offer @ $1.10 in an opening transaction.  The trade has a 10 IV with a 33 delta.  If this was a buyer, it looks like they are looking for some downside in the currency after clipping $126.  The trader is not the only one in the boat as the top 9/10 positions right now are in puts: Jan 110P (25K), Jan 100P (9.7K), Jan 90P (6.6K), Sep 117P (4.1K), Jan13 90P (4K), Jan 80P (3.2K), Jan 95P (3.2K).    

XLE Energy Select Sector SPDR – 15,000 of the August 80 / 77 put spread was bought for $1.22.

XLF Financial Select Sector SPDR - 59,000 of the August 15 puts were bought for $0.325.

Morning Note

*I'll update this post as I get more info up to 10 minutes before the open.

July 22, 2011

Equity futures are trading above fair value, following Europe higher after Eurozone leaders agreed a further €159B aid package to Greece to which private lenders will contribute. Three of the four options offered to lenders to swap or relend existing debts would extend Greece's repayment terms by 30 years, while the fourth would do so by 15 years. All options offer a much lower interest rate thanGreece's current 15%-25% cost of borrowing.

Options Flow Recap July 21st

Macro / Thematic

SPY SPDR S&P 500 ETF: buyer 10,000 Aug 130 puts for 1.10

 XLP Consumer Staples Select Sect. SPDR : buyer 6900 Aug 33 calls for 05

EWZ iShares MSCI Brazil Index: buyer 2,560 Sep 76 calls for 76

EWJ iShares MSCI Japan Index - 10k Sept 11 calls bot

How to Spot Unusual Options Activity by McMIllan

Morning Note

*As I add to my morning note I'll try to update this post up until about 10 mins before the market so refresh or check back. 

July 21, 2011

Equity futures are now near fair value having initially followed European indices and the euro lower, after Eurogroup's Juncker said that selective default for Greece was a possibilty and after it was reported the draft EU statement for Greece proposed lowering the EFSF lending rate for Greece to 3.5% and public sector support for Greece extended for a minimum of 15 years. It was also reported that Germany and France have ruled out a bank tax as part of a deal on Greece.

HSBC July Flash China PMI 48.9 vs 50.1 sequentially.

Japan recorded an unexpected trade surplus in June, the first in three months.