Huge Bet In SEP SPY Calls

Quote from Trader5287:

Look at all the 10K lots in in the SEP 60 through SEP 95 Strike on Friday.

http://finance.yahoo.com/q/os?s=SPY&m=2007-09-21

:eek:
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i looked on my IB option real time chart for some of those strikes in sept and showed no trades for the last two days of the week in those strikes. Wonder what the deal is.. maybe off exchange trades? or maybe yahoo error?

http://cboe.com/DelayedQuote/QuoteTable.aspx


Calls Last Sale Net Bid Ask Vol Open Int Puts Last Sale Net Bid Ask Vol Open Int

07 Sep 60.00 (SWV IH-E) 84.00 0.0 88.20 88.70 0 12308 07 Sep 60.00 (SWV UH-E) 0.0 0.0 0.0 0.05 0 0
07 Sep 65.00 (SWV IM-E) 78.40 0.0 83.20 83.70 0 12219 07 Sep 65.00 (SWV UM-E) 0.0 0.0 0.0 0.05 0 0
07 Sep 70.00 (SZC IR-E) 73.80 0.0 78.20 78.70 0 12573 07 Sep 70.00 (SZC UR-E) 0.0 0.0 0.0 0.05 0 20
07 Sep 75.00 (SZC IW-E) 68.50 0.0 73.20 73.70 0 10889 07 Sep 75.00 (SZC UW-E) 0.0 0.0 0.0 0.05 0 200
07 Sep 80.00 (SZC IB-E) 63.50 0.0 68.20 68.70 0 10785 07 Sep 80.00 (SZC UB-E) 0.0 0.0 0.0 0.05 0 400
07 Sep 85.00 (SZC IG-E) 58.50 0.0 63.30 63.80 0 10848 07 Sep 85.00 (SZC UG-E) 0.0 0.0 0.0 0.05 0 0
07 Sep 88.00 (SZC IJ-E) 58.40 0.0 60.30 60.80 0 470 07 Sep 88.00 (SZC UJ-E) 0.0 0.0 0.0 0.05 0 200
07 Sep 89.00 (SZC IK-E) 57.70 0.0 59.30 59.80 0 239 07 Sep 89.00 (SZC UK-E) 0.0 0.0 0.0 0.05 0 10
07 Sep 90.00 (SWG IL-E) 52.80 0.0 58.30 58.80 0 10651 07 Sep 90.00 (SWG UL-E) 0.05 0.0 0.0 0.05 0 24
07 Sep 91.00 (SWG IM-E) 56.50 0.0 57.30 57.80 0 10362 07 Sep 91.00 (SWG UM-E) 0.0 0.0 0.0 0.05 0 0
07 Sep 92.00 (SWG IN-E) 53.40 0.0 56.30 56.80 0 10390 07 Sep 92.00 (SWG UN-E) 0.05 0.0 0.0 0.05 0 1400
07 Sep 93.00 (SWG IO-E) 52.40 0.0 55.30 55.80 0 10377 07 Sep 93.00 (SWG UO-E) 0.05 0.0 0.0 0.05 0 56
07 Sep 94.00 (SWG IP-E) 52.50 0.0 54.30 54.80 0 10532 07 Sep 94.00 (SWG UP-E) 0.05 0.0 0.0 0.05 0 220
07 Sep 95.00 (SWG IQ-E) 50.40 0.0 53.30 53.80 0 10474 07 Sep 95.00 (SWG UQ-E) 0.03 0.0 0.0 0.05 0 21
 
here's the call buying spike on the SPY security.

anyone know why it makes more sense to buy 120k DITM calls near term vs. just buying the stock (or even better yet, full size S&P futs)? i assume margin reqs are different on the institutional side, anyway ... (not enough supply of SPY ETF??? wouldn't buying so many DITM calls cause equal SPY buying anyway?)

BTW... this bet (100 x 120k options) pays 12 million dollars per ten point S&P moves. A retrace to 1560 will pay 100 million or so.

So off the top of my head equivilent to 5000 full size S&P futs contracts.
 

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Fed lifts the offer on 120k SPY calls. Market-makers buy ~12-million SPY to hedge their deltas. I'll leave you to interpret the impact.
 
Quote from atticus:

Fed lifts the offer on 120k SPY calls. Market-makers buy 12-million SPY to hedge their deltas. I'll leave you to interpret the impact.
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Stepping back... That move actually was faded and didn't seem to affect SPY price much. Judging by printed volumes, do you suppose SPY MMs waited half hr later to hedge at lower prices (hence making a huge profit) ?? Curiously enough, this chart shows volume didn't spike until the following selloff.
 

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Quote from nycderivtrader:

The large purchase may just be large players offsetting their large short positions- perhaps we are hitting a bottom......

NYCDT
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Check the OI. Not the case.
 
Quote from atticus:

Fed lifts the offer on 120k SPY calls. Market-makers buy ~12-million SPY to hedge their deltas. I'll leave you to interpret the impact.
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Mr. Atticus,

You sure about this. This is a pretty bold allegation . 120K SPY calls. Why not futures?

If true, then the markets are rigged, why do we bother trading??
 
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