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发表于 2011-5-3 10:03 AM
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Large put spread in Russell 2000 ETF
Chris McKhann (chris.mckhann@optionmonster.com), On Tuesday May 3, 2011, 10:53 am
The Russell 2000 hit a new high yesterday morning but has been falling since then, and put activity has followed.
The iShares Russell 2000 Index Fund (NYSEArca:IWM) currently trades at $84.80, down 0.67 percent on the day and continuing to outpace the broader market on the downside. The fund hit $86.81 at the start of yesterday's session, a new all-time high for the fund and the index. Shares have been trending higher, with higher lows and higher highs since bouncing off of support at $60 in late August.
The IWM is one of the more popular vehicles on the option market, with a daily average of 330,000 contracts. More than half that number changed hands in the first hour of today's session, with puts outpacing calls by 10 to 1. optionMONSTER's systems detected a large July put spread, with legs of 15,000 in the 82 and 77 strikes trading 50 minutes apart for a total of 60,000 contracts.
The first trade saw the July 82 puts go for $2.42 and the July 77 puts for $1.21. The second had the 82 puts trade at $2.53 and the 77s for $1.31. The volume at the lower strike was much more than open interest, but at the 82 strike the open interest was 15,518, so one of the trades could have been done to close a position.
While it is hard to know exactly what was going on here given all of the ambiguity of the data, it does appear that this is a straightforward put spread. The trader appears to have bought the July 82 puts and sold the July 77 puts for $1.215. That is the most that is at risk in this part of the trade.
If the IWM is below $77 at expiration, the trade stands to make $3.785. While $77 is 9 percent away from the current price, that level is support last seen on Jan. 25.
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狗仔卡
发表于 2011-5-3 09:56 AM
