Size Buyers in SPX Puts

Monday, June 12, 2006 | 03:44 PM

I see some big buyers in SPY pPuts -- the June 125s, which expire Friday.

Both Ray Davies and Bernard Baruch said, "Give the people what they want." In that spirit, I am offering out my June 125 Put's from $1.75 to $1.95.

I am still long the September 120 Puts, and June VIX calls. Remember that the VIX options are Euro style, and expire Tuesday. I expect to hold the VIX thru expiry, unless they approach fair value.

I suspect there is an Arb opportunity in VIX options, and that will bring the prices more into line with the cash settlement rather than the futures. We'll see . . .

Monday, June 12, 2006 | 03:44 PM | Permalink | Comments (19) | TrackBack (0)
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Comments

I think Michael Price's expression was "feed the chickens when they are hungry", which stuck with me for some reason.

Posted by: Ned | Jun 12, 2006 4:02:16 PM

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