SPX draws unusual 'tail risk' play

Chris McKhann (chris.mckhann@optionmonster.com)
December 31, 2013

An unusual and strongly bearish position is apparently looking for the S&P 500 to plummet by the end of next week.

optionMONSTER's Depth Charge system shows that a trader bought 9,800 January Weekly 1475 puts that expire in 10 days, for the ask price of $0.20. These are new positions, as the previous open interest at that strike was just 263 contracts.

The puts have a delta of less than 0.01, suggesting a probability of less than 1 percent that they will expire in the money . These contracts are too far out of the money to be hedges , so this is an odd " tail risk " trade. (See our Education section)

The S&P 500 Index is up another 4 points to yet another new high of 1845.39. It was last below 1475 last January.

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