| Volatility & Flows Commentary |
| ClearPort Flows (As of 6-25-14 Close) |
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Symbol |
Quantity |
Strike |
Structure |
Price |
Ivol |
Hedge Month |
Futures |
Delta |
|
OGZ5 |
100x100 |
1150/1100 |
Put Spread |
21.20 |
|
GCZ5 |
1320.00 |
0.10 |
|
OGZ5 |
600x1200x600 |
1300/1100/900 |
Put Fly |
40.40 |
|
GCZ5 |
1323.00 |
0.20 |
|
OGZ4 |
500 |
1650 |
Calls |
2.00 |
|
GCZ4 |
1319.00 |
ref |
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OGZ5 |
100 |
900 |
Puts |
5.00 |
|
GCZ5 |
1323.00 |
0.19 |
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OGZ4 |
50 |
1315 |
Puts |
40.20 |
|
GCZ4 |
1324.00 |
0.44 |
|
OGU4 |
150x150 |
1250/1400 |
Fence |
.40p |
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GCV4 |
1322.00 |
0.22 |
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SOU4 |
120x240 |
20.25/19 |
Put Spread 1x2 |
0.16 |
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SIU4 |
20.93 |
0.10 |
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SOZ4 |
125 |
21 |
Straddle |
2.22 |
|
SIZ4 |
20.97 |
ref |
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SOZ5 |
100x100 |
26.50/18.50 |
Fence |
.10p |
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SIZ5 |
21.30 |
0.44 |
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SOQ4 |
100x100 |
20.50/21.50 |
Fence |
.03c |
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SIU4 |
21.00 |
0.62 |
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SON5 |
125 |
35 |
Calls |
0.18 |
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SIN5 |
21.25 |
0.04 |
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SON5 |
750x250x750 |
16/21.75/32 |
Iron Fly Ratio 1x3 strangles |
2.15 |
|
SIN5 |
21.30 |
ref |
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SOZ5 |
240x80x240 |
15/22/35 |
Iron Fly Ratio 1x3 strangles |
2.635 |
|
SIZ5 |
21.34 |
ref | |
| Straddle Runs & Skew Summary |
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| updated Wednesday, June 25, 2014 7:32:18 PM GMT |