![](https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEgA9Kh_3EBcmIkPe6tEBQngV-YbAvlDq4rld_inUCx0wqpDvEC0CCP_jd4CQD4_TBaMva3asFmOhXfU62sYo2agRICS0Vt2Cc2J7co1l-aDDz8HTye1jND2t9EDnkQ_zzENxO_8aI14s0s/s400/xli_summary.gif)
![](https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEjKF7EqIu77xH-6u2FS_Wlgny5Yv2rbDSiGWPa6hcebD1-fiS2DiBkYFfUUNazwHfcjzXjJHdoJPqy8dVTzjjRXWawjGOTamXeAbtPbffT_4x5fMXyf5rcdFLLdDT0yIVNoD_dP5KnMvOY/s400/xly_summary.gif)
Cathy Clay, floor trader extraordinaire on the NYSE ARCA brought this order flow to my attention.
Yesterday two huge trades crossed the tape in the Jan '11 19 puts; same lines, same month for both. The top trades from yesterday are included below (click to enlarge). First XLI, then XLY below it.
![](https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEhohzyMrIjXD4rQATzkqYwL2KOTHPdtMYGDdMuoN3hjAYq9dwAsjRFIxi9MudzdewCHf-mo23R_qX49aaCBdz6KRZwhj9dKSIZj3XnF8Q5-ZfeJOaUGh9WC1usIMHm2QTKG-iUsHpEM20c/s400/xli_trades.gif)
![](https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEgOOiZuB56OA3DYIw-Wl1lVac1NbvFg_u-aERcQu2XWGEdDqgDM9yhB9EMDWjJDHAT-LuQTbHZqMAX4-V8LAWJjnQ1LHqaNbLBWj7EfbgSYSCNDALwBJl06GUfnx6FYZ9BMBvHRDkq3ECg/s400/xly_trdaes.gif)
The Options Tab for both are included (click to enlarge). Note the OI in those lines (first XLI, then XLY).
![](https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEjF3v6jgnNrgE4ff_p4LAPgSSqQqozxLRsJMTf4qCD3-FKFlAIqFA_uct8blXfg0NOsFto3lkftkslZRc_mmZhR27oiNkwIHZ3yRvGdUZGloIQvfLY-NEOVBUX5EwlbdHjRRMhvgZghEGo/s400/xli_options.gif)
![](https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEhrmcAuQvLfy-Ks-2AkdlgKq9eprDM7hx655MjHv3w1KN3YjVriM3tgdcBzqafpZ6vCO4qjYvvjzII5RbjE5R-F9kYNvpymRawfF5zU6sT_VSxmzP_zR8meF4XCBmxFzmnHYp7sds_PP0Q/s400/xly_options.gif)
Both lines are 100k+ long those puts. These are massive bets on a downturn and a vol jump.
The XLY line is long $190,000/vol in vega. The XLI line is long $240,000/vol in vega. Taken together, these bets are long $430,000/vol in vega. That's almost half a million for each point vol moves in those puts.
The 52 wk ranges on these two are:
XLY [$25.40, $36.13]
XLI [$24.29, $33.46]
Make no mistake, this is a bet on a spasm in the financial markets before year end. Note also the EFA (Europe, Australia and Far East) order flow; big put buyers and spreaders. Jeff Kearns of Bloomberg brought this to my attention and will have a detailed article about EFA coming out soon.
At the end of Nov (ish) in 2008:
XLY dipped into the $16 area; XLI into the $19 area. Hmmm.
This is trade analysis, not a recommendation.
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can we get some history on where they wore during the meltdown
ReplyDeleteand see why someone would be expecting the worst by year end
Great question Yossi: XLY dipped into the $16 area; XLI into the $19 area. This happened at the end of Nov (ish).
ReplyDelete