Posted by hillsyde on 13th of Jan 2010 at 04:05 pm
Why we are likely hours away from S&P 1,150: Commentary from
RBS Derivatives (alternatively, just more book pushing by the
Scottish bank which has about 4 traders left):
"SPX 1150 calls has 65k of open interest - majority of these
bought were by customers at end of 2009/early 2010. Total of ~$7.5
bln in notional exposure at that strike. If street is short (sounds
like they are), it translates to roughly $200mln in index futures
to buy for every $1 move in the futures, and it accelerates as
futures move higher.
With expiration for SPX coming Friday Morning, 1150 line is
going to act like a magnet as the closer we get, the more
broker-dealers are going to have to buy.All sets us up for
a potential rip thru that level should SPX cash test it"
Posted by breakout123 on 13th of Jan 2010 at 05:06 pm
I'm unsure of the meaning of that paragraph.
Does that mean the broker-dealers want the SPX to be way above
1150 so that they call the stock away at a lesser price than the
market and they make a profit?
So they have a vested interest in manipulating the market as
high as they can?
Posted by hillsyde on 13th of Jan 2010 at 05:21 pm
Total of ~$7.5 bln in notional exposure.....Sounds like the
someones with that kind of potential written call loss liability
will have a serious interest in seeing a minimum of 1150 on the SPX
at options expiration time. It's like maximum option pain,
minimization of total dollar expenditure to clear the open
liabilities.......
Posted by hillsyde on 13th of Jan 2010 at 06:10 pm
I'm not a serious option trader but, I think what ZeroHedge is
saying is that there are a few major players, or maybe only RBS
with an open position of calls at the strike price SPX 1150.
Their call position is most of the 65k of open interest"
these players do not care about max pain which is a subject of
concern for the market makers (broker/dealers). Only their
own self interest.........................
1150 SPX by Friday expiration? ZeroHedge
Posted by hillsyde on 13th of Jan 2010 at 04:05 pm
Why we are likely hours away from S&P 1,150: Commentary from RBS Derivatives (alternatively, just more book pushing by the Scottish bank which has about 4 traders left):
"SPX 1150 calls has 65k of open interest - majority of these bought were by customers at end of 2009/early 2010. Total of ~$7.5 bln in notional exposure at that strike. If street is short (sounds like they are), it translates to roughly $200mln in index futures to buy for every $1 move in the futures, and it accelerates as futures move higher. With expiration for SPX coming Friday Morning, 1150 line is going to act like a magnet as the closer we get, the more broker-dealers are going to have to buy.All sets us up for a potential rip thru that level should SPX cash test it"
I'm unsure of the meaning
Posted by breakout123 on 13th of Jan 2010 at 05:06 pm
I'm unsure of the meaning of that paragraph.
Does that mean the broker-dealers want the SPX to be way above 1150 so that they call the stock away at a lesser price than the market and they make a profit?
So they have a vested interest in manipulating the market as high as they can?
Fran
Mama needs a new pair of shoes!!
Posted by hillsyde on 13th of Jan 2010 at 05:21 pm
Total of ~$7.5 bln in notional exposure.....Sounds like the someones with that kind of potential written call loss liability will have a serious interest in seeing a minimum of 1150 on the SPX at options expiration time. It's like maximum option pain, minimization of total dollar expenditure to clear the open liabilities.......
above 1150 or below?
Posted by junkie on 13th of Jan 2010 at 05:39 pm
Then to give those guys a big loss, market should move down, not up. The last time I checked the max pain number was 112 on SPY.
I'm not a serious option
Posted by hillsyde on 13th of Jan 2010 at 06:10 pm
I'm not a serious option trader but, I think what ZeroHedge is saying is that there are a few major players, or maybe only RBS with an open position of calls at the strike price SPX 1150. Their call position is most of the 65k of open interest" these players do not care about max pain which is a subject of concern for the market makers (broker/dealers). Only their own self interest.........................
Market has been the master
Posted by searay on 13th of Jan 2010 at 04:50 pm
Market has been the master of killing bears