The S&P 500 SPDR (SPY) is down 1.12 to 140.64.? The near term high in the SPY was 145.58.
Paper is trading a large three-way spread in the SPY Dec 31 Weekly 141/143 puts and the SPY Jan 4 Weekly 141 puts.? Volume in blocks of 52,500 and 59,950 puts went up marked as spread.? Average contract volume is over 2.3 million contracts per day in the index.? Open interest is over 90,000 per strike in the SPY Dec 31 Weekly put strikes noted and 11,000 in the SPY Jan 4 Weeklys 141 puts. The trade looks to be a put roll with a net long put position for the new year.
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.