Replies to post #27 on Volatility Arbitrage (ARB)

[dr_praeses]

note that top 5 of them were all index puts

oh boy. retailers / institutions going short via put buys causes MMs to sell them naked and hedge by shorting the stock...thus bringing us down...

[dr_praeses]

Most actives today included the usual SPX/IWM/SPY (SPX Sep 1450p) but also

VIXIE ~ VIX
.


reference #msg-22104100

[dr_praeses]

CBOE Most Actives for: Friday, September 07, 2007

CLASS VOLUME HIGH SERIES VOLUME LAST SALE CHANGE
SXZ 297,699 P Sep 1450 23,649 23.20 + 8.10
IOW 250,799 P Sep 77 22,960 1.79 + .50
QQQ 207,154 C Sep 48 27,082 1.15 - .62
SFB 202,807 P Sep 145 23,660 2.55 + .85
SXY 151,716 P Sep 1350 14,465 4.40 + 1.80
VIX 100,173 C Sep 25 18,381 2.85 + .90
SXM 95,758 C Oct 1575 21,486 4.30 - 2.00
APV 45,216 C Sep 145 7,273 .85 - .55
DIW 37,428 P Nov 71 20,000 2.15 + .40
AA 34,845 C Oct 42 1/2 9,841 .40 - .15
OEY 34,382 P Sep 670 5,987 8.80 + 3.00
SYH 32,166 P Dec 150 5,085 8.70 + 1.50
RUT 26,937 P Sep 750 7,143 9.70 + 3.30
RIO 26,275 C Jan 52 1/2 5,237 4.50 - .70
IMB 25,956 C Sep 25 7,142 .20
DJW 25,507 P Sep 134 7,270 3.60 + 1.40
IQQ 25,419 C Sep 80 3,751 1.08 - .73
XLF 25,283 C Sep 33 8,316 .85 - .30
SZP 22,555 P Sep 1250 6,462 .50 + .10
DAW 21,543 P Oct 130 2,312 3.50 + 1.10
EEM 19,944 P Sep 125 5,703 1.90 + .70
SWF 19,602 C Sep 55 4,579 .95 - 1.45
RFY 19,447 P Sep 80 4,366 2.50 + 1.10
HPQ 19,053 P Jan 45 5,368 1.70 + .40
C 18,967 C Sep 50 2,910 .10 - .05
WMP 18,760 P Jan 40 10,000 5.40 + 1.40
GM 18,521 C Sep 32 1/2 4,598 .25 - .40
HAL 18,143 C Oct 35 6,511 1.65 - .20
OEZ 17,806 C Sep 710 2,853 1.45 - 1.35
EMC 17,585 C Sep 19 6,591 .50 - .20
GOP 17,311 P Sep 510 4,238 5.60 + .80
AAO 17,021 C Sep 40 4,516 .35 - .18
WMT 16,952 P Oct 45 3,288 2.85 + .20
GPY 16,750 C Sep 190 3,346 2.75 + .35
CFC 16,227 C Sep 20 3,822 .60 - .10
BAC 15,493 P Sep 50 2,980 1.40 + .25
NEM 15,039 C Sep 42 1/2 2,632 2.20 - .10
CEO 15,016 C Sep 100 3,604 21.60 - 1.40
BVD 14,812 C Sep 110 3,837 3.80 - 1.00
QSY 14,684 P Jan 10 5,006 .60 + .10
ZQN 13,863 P Sep 80 2,509 1.05 + .15
GE 12,315 P Jan 37 1/2 1,785 1.63 + .27
QAA 12,152 P Sep 120 5,011 .80 + .25
HD 11,834 P Sep 35 2,417 1.25 + .60
BDU 11,460 P Sep 210 1,317 7.30 + 1.80
RZA 11,171 C Sep 685 2,978 .05 - 5.05
MS 10,537 C Jan 65 2,402 4.90 + .60
QFW 10,341 P Sep 7 1/2 2,199 .30 + .05
HOG 10,279 P Oct 50 1,072 2.75 + 2.00
AMQ 10,129 P Oct 50 3,679 1.70 + .40
MZX 10,097 P Oct 190 7,519 4.50 + 1.36
TLT 9,509 P Sep 89 4,290 .21 - .44
JPM 9,135 C Sep 47 1/2 1,736 .25 - .05
CYQ 9,050 C Sep 32 1/2 1,133 .30 - .05
NYX 9,005 C Dec 85 1,097 1.85 - .10
BZH 8,822 P Nov 17 1/2 2,000 7.90 + .60
RTH 8,819 P Oct 90 1,797 1.31 + .41
ORQ 8,799 P Dec 19 2,490 .75 + .10
RQQ 8,683 P Sep 140 3,109 1.60 + .52
MOT 8,608 C Sep 18 2,611 .10 - .10
SXG 8,599 C Dec 1475 5,750 149.70 - 12.30
FCX 8,360 P Jan 75 1,222 4.50 + .60
MVL 8,318 C Mar 30 6,079 .70 + .30
LES 8,264 C Sep 50 980 4.90 - .50
AXP 8,119 C Sep 60 2,614 .75 - .65