Largest trade by far as of 11:30 ET is selling of June 126 calls just between the 2:00 and 3:00 position on the inner dial (orange stylus) and selling of the June 122 put put 11:00 positions (orange stylus).
After rallying Monday and closing 12303.5 12:00 positions on the outer clock (black stylus) market settled just about exactly in the middle of the recent range from the end of February. Today's range is shown on the outer perimeter, this was around 2 hours ago, price have since traded as high as 12318 on the June Futures and look to trade higher as we write this report which will exceed the 6:00 position on the outer perimeter or 12319.5 a gain of over 1/2 point. Current low 12228, just shy of the 9:00 position looks likely to hold today. Focusing back on the inner perimeter this seller today, widely believed to be a large west coast money manager, has been shorting options heavily against a large cash portfolio. Toady's accutic alerts have shown steady selling through out toady's range, and volatility on the market has been pushed down over 1/2 percent. You can see these alerts by uploading the software at www.accutic.net. As of yesterdays close open interest in the June 126 calls stood @ 83K, the largest in terms of June call strikes. The second largest strike is the 128 which has around 73K, likely 50K of each of these options is held by the short seller. The 122 puts is active again strike from what our alerts show in terms of ones they have been selling.Last time they were selling this strike actively was on the 23rd of Mar. as part of the 122 - 128 strangle. As you can see by noting the above range, they are being a bit more aggressive on the put side, betting the market will hold above 12200 or just below a 3.00% yield. Earlier when prices were trading lower they were mainly selling the 119 put. Open interest in that contract is 106K coming into today, compared with only 36K in the 122 puts. The 119 puts are very cheap at this point on not worth selling, however they have been able to sell the 122 puts today at .39 and .38 earlier today, that is close to $600 a piece. These options expire May 22nds. If the market remains in this range those options will continue to decline in value. For example the May 122 puts which expire a week from this Friday are currently worth .15 or around $235 a piece.
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