The Mar. 120 calls are now holding the most open interest (104K) as the aggressive strangle seller targeted that strike heavily last week. As you recall on Thursday there was a bit of tension going into the Senate Banking committee’s re-appointment of Bernanke and there was a buyer of 10K at the money straddles heading into the vote deadline. With Vol. pumped up in a thin holiday market the fund came in and sold around 30K of the Mar. 115/120 strangles initially @ .41 but was able to get some off @ .42 as vol. was being bid up. It also appeared they might have rolled some short 120 call positions to 119 calls getting ever more aggressive not unlike a python coiling around its prey. On Friday it looked to be them selling 3K of the Feb. 116/119 strangles @ .41, how’s that for being aggressive, the underlying futures were around 11731 at the time. Will expect them to roll more of the 121 and 120 strikes lower. On the put side the open interest in the 116 puts is around 67K and the 115’s are up to 62K, mostly shorts as part of short strangle position. I hope your all aware that this fund is represented on the treasury advisory committee, so emulating their behavior would be…what’s the word for it..uh! wise perhaps.
Overnight reports indicate fixed income down with equities trading a bit firmer. More later.
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