While We Were Watching That Exciting Testimony

Some trades from yesterday via Cuttone and Company as we watch tape of Lloyd Blankfein before Congress.

It was a wild day as large trades were going up in the SPX options pit. The February 900 puts were purchased in size as over 54,000 were on the tape by day’s end. The February 1100- 1050 put spread was bought 25,000 times. The put spread came on the heels of a large S&P e-mini future trade around 12:06 NYC time. The futures trade was large enough to have Wall Street’s attention. We are not sure if the put spread and the future purchase are connected, yet it seems plausible.  Not to be left out, the March 1130-1090 put spread was purchased 25,000 x early in the morning.

Eastman Kodak Company (EK $4.93) had a nice move north on the day. Call buyers flocked to the February 5 line. Over 38,000 contracts traded on the day in a line with little open interest.

In the VIX options pit, January call spreads were the day’s catch. The January 22.5 – 25 call spread was purchased 88,000x for $.125. There is a large open interest in both of these strikes, yet as we look this morning it appears to be an opening transaction.

Cheapie VIX call speculation? Only one week to go? OMG, WE’RE ALL DOOMED!!!!

OK, just anticipating the Bloomberg take on it as I’m sure some time before the Fall 09 melt there was a buyer of cheap VIX something. But yes, it’s an odd trade though it’s fair to also make the case it’s cheap dollar insurance on a volatility run up over the next week.

Just to follow up, the VIX “rule” from yesterday did not trigger as the VIX closed down on the day.


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