Tuesday, February 1, 2011

UltraShort Russell 2000 (TWM) - Huge Bearish (to Market) Order Flow

TWM is trading $12.28, down 2.1% with IV30™ down 4.0%. The LIVEVOL® Pro Summary is below.


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This is just a quick note on some very large order flow in a broad measure ETF - namely, the Ultra Short Russell 2000 ProShares.

The ETF has traded over 30,000 contracts in the first 30 minutes on total daily average option volume of just 912. All but one contract has been calls. It looks like someone bought the Mar 13/ Apr 14/ Jul 15 Christmas tree in calls 10,000x each. i.e. Bought all of the calls. The Stats Tab and Day's biggest trades snapshots are included (below).

The Options Tab (below) illustrates that the calls and are mostly opening (compare OI to trade size). I don't see an OI greater than 1,600 on any one line, so these 10,000 on three different lines each are really large.

The Skew Tab snap (below) illustrates the vols by strike by month.

The skew looks normal. Keep in mind, this is a short ETF so the upside skew is really the downside for the index - thus the backward shape.

Finally, the Charts Tab (6 months) is below. The top portion is the stock price, the bottom is the vol (IV30™ - red vs HV20™ - blue vs HV180™ - pink).

The ETF has been going down as the market has been rallying (duh). This bet in general is wildly bearish and long vega (vol). The only time in the last two years when more contracts have traded in this ETF was 5-6-2010. That day more than 70,000 calls traded - but as far as I can tell, the high strike was sold to fund the lower strike calls. Today it feels like naked purchases across the board., but even if there was a spread, it's a large bearish bet.

This is trade analysis, not a recommendation.

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