S&P 500 PM Settled Index (.SPXPM) $1200.54 -1.96%

Friday we noted that SPXPM was on track for 5k contracts (it traded 5732) and today the product is on pace for nearly 10000 contracts, impressive for the 10th day since listing. Nov 1300 calls are the most active today, with a seller collecting an avg price of 4.31 for 500 contracts, and most of [...]

October 17, 2011 | 0 Comments More

S&P 500 PM Settled Index (.SPXPM) $1216.68 +1.08%

The PM-settled SP500 index (SPXPM) product is 9 days old and volume and open interest have been climbing steadily, with the index on track for 5000 contracts today and most of the volume in the downside November put wing. Open interest totals nearly 19,000 contracts (.12% of SPX) and some of that has come from [...]

October 14, 2011 | 0 Comments More

S&P 500 Index (.SPX) $1129.30 +0.48%

Relatively quiet morning in SPX, with 300K contracts trading by 11:15ET and puts ahead of calls nearly 2:1. 30day atm IV is off about a point and flow is directionally mixed; on the bearish side a buyer who had been looking to buy downside for a few days paid 90cents to $1 (vwap 96cents) for [...]

October 5, 2011 | 0 Comments More

S&P 500 PM Settled Index (.SPXPM) $1123.95 +2.25%

Quiet start for the electronic version of SPX, the SPXPM index listed on the C2 exhange. Total first day volume was 2680 contracts, about 0.2% of the SPX pit-traded volume, and .04% of the SPY’s 5.8million contracts. While the volume numbers are low in absolute terms, when the 10x multiplier (vs spy) is taken into [...]

October 4, 2011 | 0 Comments More

S&P 500 Index (.SPX) $1099.23 +0.00%

SPXPM options begin trading this morning and are available in Flow Monitor under ticker .SPXPM Triggers for the @index group will automatically include .SPXPM and you may create a specific .SPXPM trigger with command /add .spxpm 1000 etc (use whatever size you like).

October 4, 2011 | 0 Comments More

S&P 500 Index (.SPX) $1142.44 -1.55%

Relatively slow day in SPX, with just of 550K contracts trading heading into the last hour of the day. Final rolling of quarterlies (that expire on todays close) may provide a boost, otherwise volume will finish up near 700K, nearly 30% below recent adv. A few big trades dominate the most actives, first is the [...]

September 30, 2011 | 0 Comments More

SPDR S&P 500 (SPY) $119.25 +2.59%

A massive package totalling 552,000 contracts just printed on NYSE-Arca in which a trader sold the Oct 101/107/113 Put Fly 93,000x to buy the Dec 110/114/118 Put Fly 45,000x. Initiator collected a net of $2.8 million cash (pre commission) and the executing broker crossed the entire trade. Looks to roll the megafly traded on Sep [...]

September 27, 2011 | 0 Comments More

CBOE Volatility Index (.VIX) $43.27 +15.94%

CBOE Volatility Index (.VIX) is making a run to session highs in the final hour. VIX recently touched 43.35 and is up 5.6 to 42.92. VIX is rallying amid heavy trading in the SPX pit. 682K puts and 251K calls traded on the S&P 500 Index so far. The twelve most actives in the product [...]

September 22, 2011 | 0 Comments More

S&P 500 Index (.SPX) $1191.26 -0.13%

While overall market volume is running a bit light today, with nearly 10million contracts trading by noon, SPX index volume is above normal, boosted by nearly 377,000 contracts that traded in the first 10seconds of the day as part of the CBOE VIX settlement print. The print traded puts all the way down to the [...]

August 17, 2011 | 0 Comments More

SPDR S&P 500 (SPY) $118.02 +0.59%

What a week. Today is shaping up to be the slowest day of the week for options volume, with the market on track to hit ‘only’ 20million contracts as the broad market trades up about .6% and the CBOE VIX heads back to earth, down nearly 8.5% to 35.70, well below the peak 47.50 level [...]

August 12, 2011 | 0 Comments More