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Volatility & Flows Commentary
ClearPort Flows  (As of 6-19-14 Close)
                 

Symbol

Quantity

Strike

Structure

Price

Ivol

Hedge Month

Futures

Delta

OGN4

400x400

1300/1320

Call Spread

2.90

 

GCQ4

1288.00

0.20

OGU4

25x25

1225/1350

Fence

flat

 

GCV4

1288.00

0.28

OGM6

280

1400

Calls

71.50

 

GCM6

1304.00

ref

OGN4

100x100

1290/1310

Call Spread

7.60

 

GCQ4

1294.00

0.48

OGZ5

100

1300

Calls

91.20

 

GCZ5

1298.00

0.52

OGV4

800x800

1275/1175

Put Spread 

19.50

 

GCV4

1299.00

ref

OGZ4/OGG5

125x125

1350

Call Calendar

9.30

 

GCZ4/GCG5

1295/1295.4

.32/ .36

OGV4

450x450

1300/1250

Put Spread 

15.80

 

GCV4

1313.00

0.20

OGN4

200x200

1300/1310

Put Spread 

3.60

 

GCQ4

1314.00

0.18

OGN4

50x50

1290/1325

Fence

3.70c

 

GCQ4

1314.00

0.44

 

 

 

 

 

 

 

 

 

SON4

115

20

Straddle

0.39

 

SIN4

19.90

ref

SON5

200x200

20/19

Put Spread

0.445

 

SIN5

20.38

0.11

SOQ4

225

20.5

Straddle

0.99

 

SIU4

20.50

ref

SOZ4

500

21

Calls

0.821

 

SIZ4

20.41

0.388

SON4

100x100

20.50/21

Call Spread

0.155

 

SIN4

20.50

0.36

SON5

50

24

Calls

0.78

 

SIN5

20.68

0.28

SOZ4

250

21

Calls

1.063

 

SIZ4

20.81

0.488

SOZ4

100

21

Straddle

2.340

 

SIZ4

20.94

ref

 

 

 

 

 

 

 

 

 

PAOQ4

55

830

Calls

16.80

 

PAU4

829.00

ref

Straddle Runs & Skew Summary
updated Thursday, June 19, 2014 7:39:19 PM GMT

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This material includes price information that does not account for transaction costs, such as commissions, or slippage. Actual trades made in reliance on this price information will result in transaction costs and may incur slippage, which will adversely affect the value of the trade.