Feels like Macro selling day. We mentioned in yesterday's note that CL felt weak in the face of one of the most bullish EIA withdrawals and threats of ouchie to short sellers from the Saudis
Macros seem to be liquidating their inflation trades and natty got caught up in it on Opex day
EIA was right on expectation around 96 bcf, and market was little perplexed by the selling but when you overlay the two charts together it makes sense
Both CL and NG vol rallied in the front as well
Calls were weak/puts bid since yesterday afternoon and that continued through out the day. Vol caught a bid around 11 am taking July higher by 5 vols in a hurry
Put buyers always become more active after a sell off as is the trend. That along with some N-V ATM put xd buying, helped fuel the vol rally
There was interest in picking up some cheap call spreads for NQ as well, so not many vol sellers except in Cal29
We have been mentioning how all the ATM calls are less than $1 out till Cal28. We have been avoiding mentioning Cal29 on purpose as there were sellers circling around it, but not one was hitting it. Today the Cal29 4.00 calls got hit for 99 cents
Cal29 vol has lost the 30 handle
We are back to trading $1 handle put spreads as can been seen OTC highlights
Between expiry, macro trading and illiquid market, we probably are not going to have a quiet day tomorrow as well, but here's to hoping for a quiet one before the long weekend
