The Closing Print live trading and financial blog during market hours.

The volatility continues unabated and the range between the morning lows near 238.00 and 255.00 highs is creating a base, with OPEX rapidly approaching. Options expiration for 3/20 is getting a lot of attention for good reason. It’s huge.

SPY Strikes and OI

Approximately $4 billion USD worth of ITM put options lie between 245 ~250. These puts need to be monetized or rolled by Friday. VIX is the key.

Click to enlarge : data courtesy

Stockgamma noted small but noticeable movement in the 2700-3000 area and a drawdown in OI (puts) at those strikes. Looking purely at this options data it could be a sign of some stability forming.

SPY Range

238 ~ 255 range appears to be knocking out a base. As OPEX approaches, we are keying off these levels. A loss of this zone would likely be a result of institutions rolling a lot of the current OI (puts) to lower levels.

S&P quarterly rebalancing scheduled for Friday was postponed which may help reduce some of the volatility anticipated into this week’s OPEX.

Yields are Rising

While we don’t expect a shot back to 2%, the 10-year yield is rising along with the short and long term. Bonds are giving back some of their gains.

We’ll most likely add more exposure to yields while simultaneously scaling back on our bond positions. AGG, the aggregate bond fund has pulled back, while the 30yr bond bounced in early trading this morning. 10yr bond inverse TBT is higher this morning.

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Happy Trading, 


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