SPX Heavy premium buying in SP500 Index options following 3-month lows for VIX. Over 1.5M contracts traded in SPX Thursday with Dec 3300 calls leading the flow after a buyer paid 55 to 60c for 55K contracts just before noon ET with futures near 3027, opening a large position struck nearly 8.5% above spot. Notional value of the $3.2M block is $16.7Billion, with initial time decay near $370K/day. Nov 29th expiry saw unusually heavy put volume of 113K contracts vs 15K calls, including an early sale of over 18K 2650/2700 put spreads for 45c, opening and later blocks of 15K Nov 2725 and 2750 puts, bought for $3.20 and $3.60 also opening. Total gross Vega traded on the day, which includes over-counting for combos, was $271M which is the highest level since Oct 15th and well above the $200M daily average for October. #derivatives#volatility#spx
It's only $3MM in prem. Could be to reduce haircut on short futs (synthetic 3300 put at 60 cents over).