Monday, September 28, 2009

Large Number of SPY Puts: Average ROI of +55

Last weekend we reported the large number of SPY puts bought on Friday September 18:

The average ROI on these puts has been approximately +58% so far. SPY at the time was trading around $106.80. The sweet spot was the ATM 107 puts. The following picture shows what happened with some of these puts around this strike price from Friday to Friday.

(please click to view a larger version)

Do you think somebody knew something?

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