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Rally Bets Saddle Stocks With ‘Upside Overhang’
"GO TIME" read the subject line of the first Q4 note from Nomura's Charlie McElligott, who was on fire Monday.
Charlie took clients on a rollicking ride through Q3 quarter-end, when the impact of the much-discussed quarterly options roll/reset was offset by what he described as a "massive" series of call spreads that traded late Friday.
Long story short (there's probably a pun in there somewhere, but it's not intentional), the impact of the quarterly roll was supposed to be one-way (Charlie us
I’m curious if it was a spread on two strikes at the same expiration or a calendar spread. If it is a plain vanilla spread, it would mean that the player would be short a massive position if markets really went crazy to the upside. It might also mean that they might be inclined to cover the short leg if the markets crater first.
Interesting stuff! Thanks for posting this.
Apparently:
SPX Nov 4450/ 4650 CS bot 38k today +3.8 bn in Delta, +14mm in Vega
SPX 3nov 4400/ 4600 CS bot 20k today +2.5bn in Delta, +7mm in Vega
SPX 10nov 4450/ 4650 CS bot 16k today 1.5bn in Delta +5.8mm in Vega
Thanks.