What’s on our trading radar for today?
KEEPING THE CALL SPREAD PARTY ALIVE IN EWJ
LOOKS LIKE PAPER IS ROLLING THEIR CALL SPREAD FROM THE JAN 60/62 TO FEB 62/64
- 22270 EWJ Feb 64.0 Calls trade $0.21 (FT Theo=0.21)? Below Bid!? PHLX?10:06:07.874?IV=10.6% -0.0? ARCA 29 x $0.22 – $0.23 x 2 NOM??? SPREAD / OPENING?? 52WeekHigh? Vol=22k, OI=46, Delta=18%, Impact=391k/$24.2m, Vega=$122k EWJ=61.72??
- 22270 EWJ Feb 62.0 Calls trade $0.86 (FT Theo=0.85)? MIDMKT? PHLX?10:06:07.874?IV=11.2% +0.5? NOM 40 x $0.84 – $0.87 x 2 BZX??? SPREAD / OPENING?? 52WeekHigh? Vol=22k, OI=3568, Delta=48%, Impact=1.06m/$65.6m, Vega=$188k EWJ=61.72?? Detail
- 22270 EWJ Jan 62.0 Calls trade $0.41 (FT Theo=0.39)? ASKSIDE? PHLX?10:06:07.874?IV=10.6% +0.7? CBOE 220 x $0.37 – $0.42 x 23 CBOE??? SPREAD?? 52WeekHigh? Vol=24k, OI=25k, Delta=43%, Impact=950k/$58.6m, Vega=$109k EWJ=61.72
- 22270 EWJ Jan 60.0 Calls trade $1.88 (FT Theo=1.83)? ASKSIDE? PHLX?10:06:07.874?IV=14.0% +2.9? ARCA 55 x $1.79 – $1.92 x 777 PHLX??? SPREAD?? 52WeekHigh? Vol=22k, OI=70k, Delta=85%, Impact=1.89m/$116.4m, Vega=$66k EWJ=61.72
FUNKY MARRIOTT RATIO CALL SPREADS W/ APRIL KICKER
CLOSING APR CALLS THEN ROLLING BACK TO FEB RATIO CALL SPREAD?
- 20000 MAR Feb 145 Calls trade $1.40 (FT Theo=1.41)? BIDSIDE? PHLX?11:43:49.448?IV=22.4% -1.1? CBOE 179 x $1.35 – $1.55 x 63 PHLX??? SPREAD / OPENING? Vol=20k, OI=227, Delta=24%, Impact=472k/$64.5m, Vega=$289k MAR=136.57?
- 10000 MAR Feb 140 Calls trade $3.20 (FT Theo=2.88)? ASKSIDE? PHLX?11:43:49.448?IV=24.5% +0.3? PHLX 94 x $2.85 – $3.30 x 1 NOM??? SPREAD / OPENING? Vol=10k, OI=304, Delta=41%, Impact=407k/$55.6m, Vega=$182k MAR=136.57?? Detail?
- 20000 MAR Apr 135 Calls trade $7.50 (FT Theo=7.58)? BIDSIDE? AMEX?12:01:17.909?IV=23.6% -0.1? ARCA 5 x $7.50 – $7.70 x 35 CBOE Vol=20k, OI=21k, Delta=56%, Impact=1.12m/$152.4m, Vega=$566k MAR=136.22
BUYING ANOTHER WEEK, AND ANOTHER STRIKE, IN DWDP
PAPER CLOSING OUT JAN26 74 CALLS AND THEN RE-UPPING ON THE FEB2 75 CALLS
- 10380 DWDP?Jan 26th?74.0 Calls trade $1.32 (FT Theo=1.33)? Below Bid!? PHLX?10:25:31.302?IV=14.6% +0.1? ISE 21 x $1.34 – $1.45 x 11 GEMX??? SPREAD?? 52WeekHigh? Vol=11k, OI=11k, Delta=58%, Impact=602k/$44.8m, Vega=$74k DWDP=74.43?
- 5060 DWDP?Feb 2nd?75.0 Calls trade $1.44 (FT Theo=1.26)? ASKSIDE? PHLX?10:25:31.302?IV=19.9% +0.5? MIAX 195 x $1.31 – $1.47 x 75 MIAX??? SPREAD / OPENING?? 52WeekHigh? Vol=5061, OI=19, Delta=46%, Impact=235k/$17.5m, Vega=$42k DWDP=74.43?
- 3390 DWDP?Feb 2nd?75.0 Calls trade $1.43 (FT Theo=1.26)? ASKSIDE? PHLX?10:25:31.302?IV=19.8% +0.4? MIAX 195 x $1.31 – $1.47 x 75 MIAX??? SPREAD / OPENING?? 52WeekHigh? Vol=8451, OI=19, Delta=46%, Impact=157k/$11.7m, Vega=$28k DWDP=74.43???