The top options trade today is a 40,000-lot of July 137 calls on the SPDR 500 Trust (SPY) for 52 cents per contract on AMEX. An investor sold 10,000 SPY July 121 puts at $2.08 to buy the hefty block, creating a 1X4 bullish risk-reversal at even money. The position might close, but is more likely a bullish short-term play that takes advantage of volatility skew. IV in the 121 puts is 21.5 percent compared to 17 percent for the upside calls. The risk is to a move lower, to less than $121, through the July expiration — which represents a 5.8 percent decline in the S&P 500 over the next 45 days.
Category: All ETFs
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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.