http://cboe.com/DelayedQuote/SimpleQuote.aspx?ticker=OBM+XE-E I don't understand how the open interest on the Dec 2011 puts (25 strike) on the SPY is so high, at more than 17,000? Every other leap is in the hundreds or zero...never seen this before, anyone care to comment or provide insight?
Could be a fund selling 17,000 deep OTM puts at a low strike for some premium. Probably looking to cash out at the end of 2009 with a hope that market moves higher plus 1 year of decay and take profits. They could probably hedge with es futures or other things along the way to reduce risk as best as they can. That is about $1.4 million in premium.
I don't see why would this be unthinkable. This is around 60,000 deltas, so it could easily be a delta hedge.