S&P 500 Index (.SPX) $1263.15 +1.52%

| December 5, 2011 | 0 Comments More

The S&P 500 index (.SPX) is up 18 points to 1,262.28 and adding to last week’s 7.4 percent surge Monday morning. Early options flow in the SPX pit includes a Dec 1220 – 1240 put spread at $5, 10000X. The spread has traded more than 30K and might be closing or an adjustment, as open interest is sufficient to cover in both contracts. If bought-to-open, the position has a delta of -.10 and 10 days of life remaining. The downside breakeven at expiration is 1235 and 2.16 percent below current levels. The potential payoff (excluding transaction costs) is $15 if the index falls to 1220 (~3.35%) or below through the expiration.

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Category: All Indexes

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About the Author (Author Profile)

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.

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