Mar 3, 2011

Huge straddle trade in VXX

A huge straddle was crossed this morning in Jan-12 31 strike:
40000 calls at $7.46 and
40000 puts at $8.04.
The total straddle price was 15.5, which is almost at the mid-market at the time of the trade (straddle at 15.35 at 15.80) making it hard to tell if the trade was buyer or seller initiated. Either way, that is $62 million in juice!

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