Paper sold 15,000 FEZ April 32.5 calls & 15,000 FEZ April 32.5 puts for a net of 1.10.
SPDR Euro Stoxx 50 ETF, trading 32.77 with an IV30 of 18.95 with an HV10 of 10.42, saw a large straddle trade.? The ETF, with an ADV of 3000 and open interest of 66,000, saw a customer sell 15,000 of the April 32.5 calls at .65 and 15,000 of the April 32.5 puts at .45.? Net the customer sold the FEZ April 32.5 straddle at 1.10.
The trade was exactly mid-market, and was certainly opening given the open interest on the strike.? We believe it was a sale due to the movement in volatility across FEZ.? The Customer apparently is not worried about FEZ moving far away from 32.5 and believes that the underlying will be range bound.? This would also point toward the S&P 500 being quite range bound, as the two are highly correlated.
This trade should be considered neutral the underlying and aggressively bearish volatility.