From looking at the open interest patterns out through February 2009, I can only find one other area where it looks like a snake swallowed a cow: the open interest of 63,171 in April 11 puts. My (highly inexpert) guess is that someone has taken a significant long position in April 11 puts and hedged some of this in March with long calls across the 15-20 strike range. If this is the case, it is an interesting way to play the current volatility environment and suggests that a lot of money is going on the fat tails and betting against the type of orderly rise in volatility that would be associated with a mild correction in the SPX.
Friday, February 23, 2007
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