I see what you are saying. But what I don't understand is:
假定A sell 55 put and buy 50 put at the same time,
那么大的量，说明也有人B大量买55 put 卖 50 put, 那么B不是在bet market will drop to ...
wuyouren 发表于 2009-12-11 09:28
There are some people called MMs (or zhuangjia in Chinese) in this market. If somebody sells sth at a market price, those MMs have to take it. No matter what.
There are some people called MMs (or zhuangjia in Chinese) in this market. If somebody sells sth at a market price, those MMs have to take it. No matter what.
yingying 发表于 2009-12-11 12:56
这个这个好象牵强了点...
那如果我卖1000000....0000 手 $10 spy PUT at market price, 庄家也买?
这个这个好象牵强了点...
那如果我卖1000000....0000 手 $10 spy PUT at market price, 庄家也买?
wuyouren 发表于 2009-12-11 13:00
Do you have that big margin? Do you know how much margin you need if you want to sell 10000000000000 $10 puts? You may need to own the whole world for that big margin. If you do have enough margin, let's say you have enough margin to sell 5 Dec 10 $10 puts, no matter what, yes, you can sell to MMs at market price.
market price is the key, MM make money for sure on that.
ranchgirl 发表于 2009-12-11 13:07
If the seller is an MM, the buyer is an idiot; if the buyer is an MM (I really doubt it for any MM to purchase such a deeply out-of-money put options for$0.60 each. Theoritically, the put option is worth zeroooooo according to the Black-Scholes model), MM must be able to pullback S&P down close to 550 point to make money.
Still the same assumption: someone must believe that S&P could be down to 550 by next Dec.
Here's what I can see
Date SPY 2010 55 P Open Int Volume
12/09/2009 119113 40
12/10/2009 119073 48507
12/11/2009 111663 382
If the data is correct, then it could be someone tried to reduce his SPY 2010 55 P holdings but hit the wrong button. The volume spike happened between 10:40am-10:42am with little price move. So the other explanation is MM's computer program had some problems and made wrong trade
well, if I remember correctly, the analysist said there were four volume spike within a few days. So I guess the chances for mistake is rare...
wuyouren 发表于 2009-12-12 18:52
狗仔卡
发表于 2009-12-11 12:56 PM
You may need to own the whole world for that big margin. If you do have enough margin, let's say you have enough margin to sell 5 Dec 10 $10 puts, no matter what, yes, you can sell to MMs at market price.
发表于 2009-12-11 01:07 PM
