| Volatility & Flows Commentary |
| ClearPort Flows (As of 6-19-14 Close) |
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Symbol |
Quantity |
Strike |
Structure |
Price |
Ivol |
Hedge Month |
Futures |
Delta |
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OGN4 |
400x400 |
1300/1320 |
Call Spread |
2.90 |
|
GCQ4 |
1288.00 |
0.20 |
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OGU4 |
25x25 |
1225/1350 |
Fence |
flat |
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GCV4 |
1288.00 |
0.28 |
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OGM6 |
280 |
1400 |
Calls |
71.50 |
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GCM6 |
1304.00 |
ref |
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OGN4 |
100x100 |
1290/1310 |
Call Spread |
7.60 |
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GCQ4 |
1294.00 |
0.48 |
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OGZ5 |
100 |
1300 |
Calls |
91.20 |
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GCZ5 |
1298.00 |
0.52 |
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OGV4 |
800x800 |
1275/1175 |
Put Spread |
19.50 |
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GCV4 |
1299.00 |
ref |
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OGZ4/OGG5 |
125x125 |
1350 |
Call Calendar |
9.30 |
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GCZ4/GCG5 |
1295/1295.4 |
.32/ .36 |
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OGV4 |
450x450 |
1300/1250 |
Put Spread |
15.80 |
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GCV4 |
1313.00 |
0.20 |
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OGN4 |
200x200 |
1300/1310 |
Put Spread |
3.60 |
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GCQ4 |
1314.00 |
0.18 |
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OGN4 |
50x50 |
1290/1325 |
Fence |
3.70c |
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GCQ4 |
1314.00 |
0.44 |
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SON4 |
115 |
20 |
Straddle |
0.39 |
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SIN4 |
19.90 |
ref |
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SON5 |
200x200 |
20/19 |
Put Spread |
0.445 |
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SIN5 |
20.38 |
0.11 |
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SOQ4 |
225 |
20.5 |
Straddle |
0.99 |
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SIU4 |
20.50 |
ref |
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SOZ4 |
500 |
21 |
Calls |
0.821 |
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SIZ4 |
20.41 |
0.388 |
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SON4 |
100x100 |
20.50/21 |
Call Spread |
0.155 |
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SIN4 |
20.50 |
0.36 |
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SON5 |
50 |
24 |
Calls |
0.78 |
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SIN5 |
20.68 |
0.28 |
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SOZ4 |
250 |
21 |
Calls |
1.063 |
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SIZ4 |
20.81 |
0.488 |
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SOZ4 |
100 |
21 |
Straddle |
2.340 |
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SIZ4 |
20.94 |
ref |
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PAOQ4 |
55 |
830 |
Calls |
16.80 |
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PAU4 |
829.00 |
ref | |
| Straddle Runs & Skew Summary |
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| updated Thursday, June 19, 2014 7:39:19 PM GMT |