Options Flow Recap Oct 11

Macro / Thematic

EEM – 76,000 of the October 36 / 39 put spread was sold at $1.11. The put spread was sold to close and likely closes a position opened approximately one month ago for a $0.55 debit.

SPY – 30,000 of the January 110 puts were bought for $4.44. 40,000 of the January 105 puts were bought for $3.29. 20,000 of the January 85 puts were bought for $0.92. 50,000 of the January 100 puts were sold at $2.43 and 40,000 of the January 90 puts were sold at $1.28. The trade was done as a package.

VIX – 18,000 of the January 25 puts were bought for $1.075.

XLF – 17,000 of the January 12 puts were sold at $0.98.

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 Sept 30th

September 30, 2011


US equity futures are lower following Asia and Europe lower after slowing manufacturing numbers in China and weaker retail sales figures out of Germanyweigh on the markets.

Lipper reports equity fund outflows of ($5.9B) in w/e 28-Sep vs outflows of ($1.6B) in w/e 21-September. Ex-ETFs, outflows were ($1.7B) in w/e 28-Sep vs outflows of ($171M) in w/e 21-September.

Morning Note Sept 13

September 13, 2011


US equity futures are near fair value having rallied back from early morning lows. European markets were initially higher but then turned negative as hopes for China's interest in buying Italian bonds began to fade and attention turned once again to the banking sector as BNP Paribas (BNP.FP) denied they had liquidity problems.

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

Equity futures are trading below fair value in a continuation of yesterday's weakness following Chairman Bernanke's comments on the "frustratingly slow" and "uneven" economic recovery and in the absence of hints of a dovish policy response. Beige Book will be released at 14:00ET, and though the information on which that release is based won't be as current as yesterday's Bernanke commentary, perhaps a little more depth into the recent weak economic data will be revealed.

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

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

MKM Partners Morning Derivatives Note

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.

MKM Partners Morning Derivatives Note

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