S&P 500 Index (.SPX) $1282.56 -0.16%

| October 28, 2011 | 0 Comments More

Early flow in SPX shows total volume near average, with puts leading calls nearly 2;1, slightly above the trailing put:call ratio of 1.82. Largest block was a sale of 11,000 Dec (quarterly expiry) 800-950 put spreads for $2.70 just before 10AM. The 950s will open, and 800s may close. In the SPXPM volume is running well above it’s average pace, with more than 5000 contracst trading in the first hour of the day nearly all in the November term. 1400 Nov 1450 calls have traded, all at the dime offer, to open a new position struck nearly 13% above spot.

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Category: All Indexes

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Henry Schwartz is the president of Trade Alert LLC, a provider of real-time options analysis tools to leading Wall Street firms. His systems analyze hundreds of thousands of transactions per second to help professionals identify and interpret market activity in real time, supporting informed trading decisions and intelligent idea generation. He has held institutional trading and management roles with Bank of America, Bear Stearns, Salomon Brothers and the Hull Group, and made markets on the CBOE and AMEX floors in the US, and EUREX and MONEP overseas. Prior to founding Trade Alert, he led the electronic market-making group at Bank of America coincident with the launch of the International Securities Exchange. He received his bachelor’s degree in Economics from the University of California, San Diego and his MBA from NYU’s Stern School of Business.

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