Due to the large amount of short interest in the 119.5 thru 122 puts, and with prices settling 11905.5 on Friday, a number of new shorts via auto exercise of in the money puts are in the market. So far prices have only rebounded moderately and no doubt a number of these shorts will hold on looking for further losses eventually rolling into Sep. I would suspect a fair amount of them would want to book profits and therefore buy back futures.
The green shaded portion of the dial to the right shows all the in the money puts that were exercised friday. This data comes from Fridays preliminary open interest report and is available @ www.cmegroup.com. The values at the 3:00 and 9:00 position on the dial are irrelevant for this discussion. The value at the 12:00 (top) position would be the at the money strike as of fridays settlement
No doubt traders were pushing prices as low as the could friday to squeeze short put holders and receive a profitable position. Had they been able to force the market to settle below 11900 there were over 100K positions in that strike.
Again we have chronicled the large premium sellers during the June option cycle, and now that the contracts have expired some short profit taking is quite possible.
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