Denise Shull Market Mind Games - Psychological Leverage

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

Options Flow Recap Aug 30th

Macro / Thematics

iShares MSCI Emerging Markets Indx EEM  - 58,000 of the December 34 / 40 put spread was bought for $1.34 versus a sale of 50,500 of the September 41 / 46 put spread was sold at $3.23; 50,500x


iShares MSCI Japan Index EWJ - 20,000 of the January 9 / 10 strangle was sold at $0.76 and tied to 240,000 shares at $9.70. Separately, 10,000 of the January 10 calls were sold at $0.40.

iShares MSCI South Korea Index Fund(ETF)   EWY - 2500 of the September 45 / 55 put spread was bought for $1.70.

iShares FTSE/Xinhua China 25 Index FXI - 18,750 of the September 40 calls were sold at $0.27. 

GLD - 5000 of the October 200 / 220 call spread was bought for $1.475 tied to $178.50.

IYR - 20,000 of the September 50 puts were sold at $0.24.

QQQ - 11,000 of the November 52 puts were sold at $1.75. The puts were sold to open.

XLI - 5000 of the December 33 calls were sold at $1.49

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.

Options Flow Recap Aug 9th

Macro / Thematic

FXI – 25,000 of the January 36 puts were bought for $3.10. The trade was tied too 1.12 million shares at $36.71.

IYR – 50,000 of the December 50 puts were sold at $3.30.

SPY – 30,000 of the August 109 / 116 put spread were sold at $2.67 following the release of the FOMC statement.

XRT – 28,500 of the September 58 calls were bought for $1.50.

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.

Weekend Watch: Tax Loophole for Futures Traders

Andrew Ross Sorkin on the very advantageous tax rate of 23% futures traders pay on gains. Change could be on the table during debt ceiling negotiations in Washington.




http://seaofopportunity.blogspot.com/ *Special thanks to Option Radar, BMO Capital, MEB Options, LiveVolPro, CBOE, 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.

Options Flow Recap July 12th

Macro / Thematic

SPY SPDR S&P 500 ETF – 10,000 of the July 130 / August 129 put spreads were bought for $1.43. 11,000 of the December 125 puts were bought for ~$4.39

 VIX saw 113% the normal volume with 340K calls and 119K puts traded.  Some larger pit trades:

·         Buyer 25,000 July 17p/22.5c risk/rev for .30
·         Buyer 10,000 Aug 25 calls vs 19.70, 30 delta for .925
·         Seller 10,000 July 25 calls at .15
·         Buyer 7,000 July 17 puts for .275 to sell 4,400 July 20 puts at 1.875
·         Buyer 5,000 July 19 puts vs 19.10, 26 delta for 1.175
·         Buyer 5,000 July 25 calls for .25
 

Morning Note

July 8, 2011

Equity futures reversed early gains and are now trading below fair value ahead of today's nonfarm payroll data due at 08:30 ET. President Barack Obama said yesterday Democrats and Republicans remain "far apart on a wide range of issues" in budget talks and said talks would resume on Sunday. A French court said on Friday it is delaying until 4-August its decision on whether to launch a legal inquiry into the role of IMF chief Christine Lagarde in a 2008 arbitration payout.

The Process of Trading One Trade at a Time

When you trade well, you focus totally on each trade.  You are in control of yourself, think clearly about what to do next, and only when under control can you give up control and go to trust.  But it doesn't just happen magically.  You have to work the process, perform at a high level and repeat to improve. 

Options Flow Recap June 14th

Macro / Thematic

EEM iShares MSCI Emerging Markets Indx (ETF) – 25,000 of the July 50 calls were bought for $0.18.

SPY SPDR S&P 500 ETF - 24,000 of the June 130 calls were bought for $0.38.

VIX saw 181% the normal volume with 316K calls and 251K puts traded.  Some larger trades in the pit:

·         Seller of 9500 July 25 call for .925
·         Seller of 13K June 17/18 put spread for .4125
·         Seller of 25K Aug 17/June 18 put spread 1:2 for .05
·         Seller of 8450 Jul 20/Sep 25 call spread for .10
·         Buyer of July 25 call, Seller of Jul 20 straddle 10K times, collects 3.475

Most Volatile Stocks (>1MM stock volume, >=5k option volume, >=.6 IV)

Most Volatile Stocks (>1MM stock volume, >=5k option volume, >=.6 IV)

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.

We Are Traders - A tribute to all those trading the markets

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

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

Bats Global Markets Reports Record April Options Volumes

BATS is slowly gaining market shares which is great for prop traders as this ought to pressure on other exchanges to adopt a more friendly maker/taker model.  Here's part of their press release: 

Option Flow Recap May 5

Marco

Technology led the way with 2.4M contracts traded (97% normal with 66% calls and 34% puts). The Oil & Gas sector followed with 1.4M contracts traded (168% normal with 59% calls and 41% puts). The Basic Materials were the next most active with 1.3M contracts traded (132% the normal with 62% calls and 38% puts).

UUP PowerShares DB US Dollar Index Bullish - buyer 26,400 Jan12 24 calls for .18

Financial Select Sector SPDR (ETF) XLF - seller 75,000 May 15 puts at .035 

VIX - 

·         Buyer 9,700 May 16 puts for .30
·         Buyer 5,000 May 16/17 put spread for .375
·         Buyer 3,500 June 22.5 calls for 1.525
·         Seller 3,000 May 19/June 24 call spread at .10
·         Buyer 10,000 June 18 puts for 1.15 (3K), for 1.20 (7K)

Option Flow Recap May 4th

Macro / Thematic

REE Rare Element Res Ltd Ordinary Shares - 12,000 of the July 12 puts were sold at $1.20. The puts were sold to open.

SLV iShares Silver Trust (ETF) – 25,000 of the May 36 / 38 put spread were sold at $0.76. This could be the closing of an existing position or a roll of a position down from the 38 to the 36 puts.

XLE Energy Select Sector SPDR – 10,000 of the June 76 straddles were sold at $5.50.

XOP SPDR S&P Oil & Gas Explore & Prod. (ETF)  – 10,000 of the June 63 puts were sold to buy 20,000 of the June 59 puts with the investor collecting $0.025.

Option Flow Recap & Chart Review May 3

Click the links to pull up the chart

Macro / Thematic

UUP 

PowerShares DB US Dollar Index Bullish 

– 2500 of the September 23 / December 24 calls stupid was purchased for $0.29. The calls were both bought to open.  Has UUP capitulated? 

IWM 

iShares Russell 2000 Index 

– 10,000 of the June 77 puts were sold at $0.81.  Found support on its 20 ema today... 77 puts are below support from Jan and March. 76.19 break even