SPY â SPDR Trust Series â Itâs that time of the year when options positions have to be adjusted once again. And it was deja-vu all over again for the worldâs biggest options trade as one institutional investor once again sought to maintain a huge protective option combination into the March contract. The trade involved a total of 720,000 put options with the investor trading in a December ratio put position for a fresh bearish look at the March contract. The investor was long 120,000 December 95 puts and short 240,000 December 82 puts. In July implied volatility was running much higher than todayâs VIX reading of 21.45. Indeed the start of July marked the last time the fear-gauge extended above a reading of 30. Back then the S&P index at 875 was pretty close to the money. Now this investor is forced to take a hit from lower vega and theta at a significant expense to maintain this bearish position. In other words, eroding volatility and the passage of time as the market goes into overdrive is crucifying this trade.