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Volatility & Flows Commentary
ClearPort Flows  (As of 6-20-14 Close)
                 

Symbol

Quantity

Strike

Structure

Price

Ivol

Hedge Month

Futures

Delta

OGN4

100x100

1310/1325

Call Spread

5.30

 

GCQ4

1312.00

0.30

OGV4

150

1400

Calls

9.00

 

GCV4

1314.00

0.16

OGZ4

50

1500

Calls

5.80

 

GCZ4

1313.00

0.08

OGZ4

50

1450

Calls

9.70

 

GCZ4

1313.00

0.12

OGZ4

50

1450

Calls

9.80

 

GCZ4

1313.00

0.12

OGU4

325x325

1360/1410

Call Spread

6.80

 

GCV4

1313.50

0.16

OGV4

300

1425

Calls

7.80

 

GCV4

1319.00

ref

OGV4

150x300

1325/1375

Call Spread 1x2

2.00

 

GCV4

1316.00

ref

OGQ5

300

1700

Calls

10.50

 

GCQ5

1322.00

0.07

OGU4/OGV4

25x25

1410/1190

Fence Calendar

.10 for U call

 

GCV4

1317.00

0.16

OGQ4

100

1325

Call

15.20

 

GCQ4

1316.00

0.44

OGU4

100

1315

Straddle

55.00

 

GCQ4

1315.00

ref

 

 

 

 

 

 

 

 

 

SON4

75x75

23/23.5

Call Spread

0.007

 

SIN4

20.80

ref

SOU4/SOZ4

500x250

21/20.5

Calendar Fence 1x0.5z

.065z

 

SIZ4

20.86

0.50

SOU4 

40x80

21/23

Call Spread 1x2

0.270

 

SIU4

20.81

0.20

SOU4/SOZ4

500x250

20/20.5

Put Calendar 1x0.5z

.0925z

 

SIU4/SIZ4

20.80/20.86

.29/.42

SOX4

155x310

22/25

Call Spread 1x2

0.235

 

SIZ4

20.84

0.14

SON5

30

18

Puts

0.608

 

SIN5

21.12

ref

SOZ5

30

26

Calls

0.881

 

SIZ5

21.19

ref

SON5/SOZ5

20x20

18/28

Calendar Fence

0.273

 

SIN5/SIZ5

21.08/21.16

.20/.30

SOZ4

300

21

Calls

1.10

 

SIZ4

20.95

0.50

SOZ4

40x40

22/25

Call Spread  

0.55

 

SIZ4

21.00

ref

SOZ4

200

19

Puts

0.41

 

SIZ4

20.86

0.38

SOQ4

50

21

Straddle

1.04

 

SIU4

20.97

ref

 

 

 

 

 

 

 

 

 

PAOU4

100

900

Calls

6.20

 

PAU4

819

ref

Straddle Runs & Skew Summary
updated Friday, June 20, 2014 8:00:13 PM GMT

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