My source in the SPX pit is highlighting several large trades hitting the pit. Specifically, the September 1000 straddle is being sold at 38 dollars 8000 times.
This may be an attempt to capture some time-decay as the implied levels in the SPX have increased as we head into the 3-day Labor Day weekend. This is significant because most of the trades being shown to me from my pit source in the past week have been buying downside put hedges.
This willingness to sell option premium may indicate the market may be range-bound in the immediate term. Selling ahead of the monthly employment numbers released by the Bureau of Labor Statistics tomorrow likely commands a higher premium than if the seller waited until after the release. The risk is unlimited with the sale of a straddle, the trade is profitable between the break evens of 962 to the downside and 1038 to the upside.
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Tags: Bureau of Labor Statistics, SPX
