SPY July 123 – 126 – 129 put fly is seeing interest for a second day. The spread traded at 39 cents, 46000X, Wednesday morning and at 32 cents, 31,000X, in afternoon trading yesterday. Today, the same position trades at 20 cents, 20000X. July 126 puts were sold at 28 cents for the body of the fly. The July 123 and 129 puts were bought at 15 cents and 61 cents, respectively, for the wings. A source on the exchange confirms 20 cents was paid and today’s fly likely adds to the hefty positions opened yesterday. Looks like an Aug 122 – 126 – 130 put fly was initiated 20000X on SPY today as well. Since the middle strikes of these flys are below the current market price of the S&P 500 Trust, the spread activity over the past two days seems to reflect some underlying concerns about the outlook for the equity market heading into the third quarter.
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Frederic Ruffy is a well-known trader, writer, and strategist who has spent years educating investors and creating intelligent, insightful, unbiased market observations that are frequently cited by the Wall Street Journal and other financial publications. As senior analyst, Fred provides frequent and regular notes and daily updates for activity of interest.