The S&P 500 SPDR (SPY) is down .90 to 140.64.? The near term high in the SPY was 145.58.
Late Thursday paper bought a strangle in the SPY Feb 138p/149 calls.? Volume in blocks of 6,184 puts and 8,000 calls went up marked as spread.? Average contract volume is over 2.3 million contracts per day in the index.? Open Interest is heavy on both strikes. The trade looks to be a strangle purchase with both sides going up as a buy.
30-day implied volatility is 17.89%.?? 10-day implied volatility is 11.90%.? 30-day implied volatility is trading over the 10-day historical volatility. ?
SPDR S&P 500 ETF Trust (the Trust) is an exchange traded fund. The Trust corresponds to the price and yield performance of the S&P 500 Index.