ES Journal Archive (2006 - 2008)

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Quote from volente_00:

The only question now is when do we get 868 ?

Can anyone verify what dec spy call volume traded today at the 80 - 86 strike ?

Ameritrade is showing some extremely large volume but it may be a data error.

Yahoo shows it as well starting at 80 strike.

http://finance.yahoo.com/q?s=SZCLB.X
More...

I have the same SPY option volume numbers on my TOS platform.

80 calls: 947,531
84 calls: 504,946
85 calls: 782,622
 
Quote from JBfinancial:

I have the same SPY option volume numbers on my TOS platform.

80 calls: 947,531
84 calls: 504,946
85 calls: 782,622
More...

Definitely bad data ...Way way above normal volume


in fact, TOS Dec calls volume are less than 1000
ver low, this could be wrong also

Strike Vol
80 : 11
81 : 0
82 : 20
83 : 123
84 : 26
85 : 374
 
Quote from Jahajee:

Definitely bad data ...Way way above normal volume


in fact, TOS Dec calls volume are less than 1000
ver low, this could be wrong also

Strike Vol
80 : 11
81 : 0
82 : 20
83 : 123
84 : 26
85 : 374
More...

I think you are looking at the December quarterly spy options that expire at the end of the month.
 
Quote from JBfinancial:

I think you are looking at the December quarterly spy options that expire at the end of the month.
More...

yes, my error.

Looking at SPY call volumes, these are definitely wrong, especially for deep ITM options.

80 : 947,531
81 : 194,254
82 : 174, 252
83 : 203, 148

compared with ATM 89 call with volume 51,488; ATM and
nearby options trade higher volumes.


Also, compare the heavily traded SPX options -- SPX 900 call volume is 26,599
 
Quote from Jahajee:

yes, my error.

Looking at SPY call volumes, these are definitely wrong, especially for deep ITM options.

80 : 947,531
81 : 194,254
82 : 174, 252
83 : 203, 148

compared with ATM 89 call with volume 51,488; ATM and
nearby options trade higher volumes.


Also, compare the heavily traded SPX options -- SPX 900 call volume is 26,599
More...

Good point. Something is off.
 
Quote from volente_00:


Can anyone verify what dec spy call volume traded today at the 80 - 86 strike ?

Ameritrade is showing some extremely large volume but it may be a data error.
More...

Don't forget SPY EX-DIVIDEND date is tomorrow, lots of games being played today with deep ITM call options to capture the dividend/hedge/etc. I really don't enjoy how they make the quarterly ex-dividend dates on the same day as expiration, but there are several ways to deal with this.

My educated guess on why the volume dropped off between 86 and 88 - look at the cost of creating a synthetic call (going long stock and buying a put option in order to have the same position as the call AND collect the dividend). Coincidentally, the put options at 87 and 88 were last priced at 0.45 and 0.70 respectively, the dividend has been within this range of values every other quarterly distribution this year (so far).

http://www.amex.com/?href=/etf/prodInf/EtPiDistributn.jsp?Product_Symbol=SPY
 
12-18-08 11:34 AM
Bought half my position back here at 887.5

12-18-08 12:23 PM
Buying rest of postion here at 874.5

With these two positions I purchased today I was fully invested. Just sold half my position at 886.25

DMartin

PS Stop is still at 839 for my remaining half position
 
12/19/2008 08:47 DJ White House To Give Auto Makers $13.4B From TARP-Officials


12/19/2008 08:49 =DJ OIL FUTURES:Nymex Crude Breaks $34/Bbl, Demand Concerns Hold
 
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