I have the same SPY option volume numbers on my TOS platform. 80 calls: 947,531 84 calls: 504,946 85 calls: 782,622
Definitely bad data ...Way way above normal volume in fact, TOS Dec calls volume are less than 1000 ver low, this could be wrong also Strike Vol 80 : 11 81 : 0 82 : 20 83 : 123 84 : 26 85 : 374
yes, my error. Looking at SPY call volumes, these are definitely wrong, especially for deep ITM options. 80 : 947,531 81 : 194,254 82 : 174, 252 83 : 203, 148 compared with ATM 89 call with volume 51,488; ATM and nearby options trade higher volumes. Also, compare the heavily traded SPX options -- SPX 900 call volume is 26,599
Don't forget SPY EX-DIVIDEND date is tomorrow, lots of games being played today with deep ITM call options to capture the dividend/hedge/etc. I really don't enjoy how they make the quarterly ex-dividend dates on the same day as expiration, but there are several ways to deal with this. My educated guess on why the volume dropped off between 86 and 88 - look at the cost of creating a synthetic call (going long stock and buying a put option in order to have the same position as the call AND collect the dividend). Coincidentally, the put options at 87 and 88 were last priced at 0.45 and 0.70 respectively, the dividend has been within this range of values every other quarterly distribution this year (so far). http://www.amex.com/?href=/etf/prodInf/EtPiDistributn.jsp?Product_Symbol=SPY
12-18-08 11:34 AM Bought half my position back here at 887.5 12-18-08 12:23 PM Buying rest of postion here at 874.5 With these two positions I purchased today I was fully invested. Just sold half my position at 886.25 DMartin PS Stop is still at 839 for my remaining half position
12/19/2008 08:47 DJ White House To Give Auto Makers $13.4B From TARP-Officials 12/19/2008 08:49 =DJ OIL FUTURES:Nymex Crude Breaks $34/Bbl, Demand Concerns Hold
Colorful charts from Wood who says: Hi. ES has closed positively above its 50d sma only once. And that was FED day. His first target is 830