As the Nasdaq 100 reaches new highs, a large spread is betting that any downside will be limited in the next two weeks.
optionMONSTER systems show that a trader purchased 4,215 and 3,053 August 3020 puts for $3.76 and sold blocks of August 3030 puts in the same size for $4.34. Volume was far above the previous open interest in each strike, so these are new positions.
This is a credit spread that takes in $0.58, which is the maximum gain if the NDX remains above 3030 through mid-August. The strike has a delta of just 0.09, which suggests just a 9 percent probability that the index will be below that level at expiration. But the risk is $9.42 if the NDX is under 3020, which has an 8 percent probability. (See our Education section)
The NDX finished Friday at 3143.52, up 17.21 points to a new 13-year high. It gapped up from below 3000 to above 3030 on July 11.
More than 41,000 NDX options changed hands on Friday, twice its daily average for the last month.
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