Market was mixed today. Jul-Aug puts took a big hit in the morning, possibly with some heat showing up in the models
However, with LNG dropping further, production not backing off and weak cash, calls got hit as well, but he magnitude was larger on the puts
The 10+ c rally in the front brought the put fly buyers back in the market
Jul-Sep 2.25/2.00/1.75 put fly traded about 0.041 (Looking for a $2.00 settle)
Cal24 call sellers also came out. This time selling 5.00 call for about 0.2175
Another big trade was the buying of Dec 3.00 calls for 33 cents. The impact can be seen in the bid for ATM vol and 40 delta puts which got bid around Dec and other months
There was little bit of interest in Sep ratio call spreads such Sep 2.75/3.40 1x2 call spread for about 5.2 cents. These trades hit the call skew as well which can be seen in the above skew changes
Screen saw selling of July calls and buying of August calls
Volume was light today. Cal25 call spreads were made very low, it is not sure if ATM is weak or the wingy calls are bid. Need more data to confirm
Market may remain sideways for a little bit until some clarity comes. Short vol didn't work last week at all including the long weekend as puts went very bid ahead of the sell off
However, with weaker ATM and put skew failing, it but it has worked this weekend and to start the weak
There was more weakness in the puts but not necessarily bid in the calls, which is another reason to think that we may remain directionless for some time
