Why short-term calls are surging in SPY
Chris McKhann | firstname.lastname@example.org
A trader sold 15,803 Weekly 141 calls that expire at the end of today's session. The options went for $1.04 against open interest of more than 147,000 contracts.
At the same time, he or she bought 15,803 of next week's Weekly 141 calls for $1.47, above the listed ask price. Open interest at that strike was just 4,072, so that is a new position.
Facing today's expiration, the trader is paying $0.33 to roll the calls forward to get another week for the position to work. The delta of the options is still quite high at 0.68, which means that if the SPY moves up $1, the option should gain $0.68. (See our Education section)
The SPY, which has the most widely traded equity options, is up fractionally at $142 after hitting a new four-year high of $142.31. It has been running higher from support at $128 set in early June.