Anybody noticed the huge volume SPY 109c and 110c today?

yingying

total is about 0.5B $ calls.
I know somebody may want the dividend, but if big shark fight with big shark, tomorrow market gap down then go lower, at the end close at spy 109, that 0.5B $ will turn to trash. Unless this is a very powerful MM. They know they won't lose. let's see.

green_aapl

tomorrow is quarterly ex-dividend day for spy with ~$0.5 dividend per share, almost all opened ITM calls (109/110/111/112, etc) will be excused tonight, so almost all these calls were closed by writers today (or SPY stocks were bought to cover any "naked" ITM calls -- this may partially explain why we see the last 30min spike on S&P), you will will see a very "funny" (close to 0) OI for these call strikes tomorrow morning.

BTW, tomorrow SPY open price will be adjust to ex-dividend price, we will most likely see it opens at ~111.65 (we do have a 50c gap down for SPY tomorrow morning).

回复 1# yingying

xiaoyaoxl

每3个月来一次么，见怪不怪了

我要是mm，我就搞110，憋死买call的

yingying

tomorrow is quarterly ex-dividend day for spy with ~$0.5 dividend per share, almost all opened ITM c ...
green_aapl 发表于 2010-6-17 19:03

thanks for this. really makes sense.

yanyi

how did you calcuate the 0.5B? I checked the data, right now the open interest is 185k and 87k, although intraday volume is 1.3 and 0.9M. so the call value is for the two option is about 60 Million. did you count on the volume?

Simpletrader

tomorrow is quarterly ex-dividend day for spy with ~$0.5 dividend per share, almost all opened ITM c ...
green_aapl 发表于 2010-6-17 19:03

the option price should be adjusted already, if I am not wrong.

yingying

how did you calcuate the 0.5B? I checked the data, right now the open interest is 185k and 87k, alth ...
yanyi 发表于 2010-6-17 19:46

yes, I count the volume.