Market wide active structures

Top 25 structures on 08/07/20 in sector: 'All' sorted by GrossContracts descending
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Ticker Trade name Trade description Net vega,$ Net standardized vega,$ Net contracts Gross vega,$ Gross standardized vega,$ Gross contracts Net delta shares
Ticker:
Trade name:
Reversal-conversion, $0.02
Trade description:

sold 60,000 09/18/2020 $47.5 c $2.26

bought 60,000 09/18/2020 $47.5 p $1.75

bought shares 1 up

Net vega:
0
Net std vega:
0
Net contracts:
0
Gross vega:
765,600
Gross std vega:
2,256,959
Gross contracts:
120,000
Net delta shares:
1,938
Ticker:
Trade name:
Calendar call to strangle roll
Trade description:

sold 14,100 10/21/2020 $30.0 c $5.15

bought 17,625 11/18/2020 $29.0 p $5.7

bought 37,500 11/18/2020 $35.0 c $4.2

Equivalent of $ 1,057,800 of 11/18/2020 spx forward vega to buy

Equivalent of $ 851,700 of 10/21/2020 spx forward vega for sale

Net vega:
270,581
Net std vega:
485,179
Net contracts:
41,025
Gross vega:
420,041
Gross std vega:
814,896
Gross contracts:
69,225
Net delta shares:
206,027
Ticker:
Trade name:
Spread
Trade description:

sold 26,710 08/21/2020 $28.0 p $0.06

bought 26,710 09/18/2020 $29.0 p $0.59

Net vega:
77,459
Net std vega:
168,398
Net contracts:
0
Gross vega:
133,016
Gross std vega:
452,073
Gross contracts:
53,420
Net delta shares:
-665,704
Ticker:
Trade name:
Trades with stock
Trade description:

sold 20,000 09/18/2020 $44.0 p $1.265

bought 30,000 09/18/2020 $41.0 p $0.43

sold shares delta neutral

Net vega:
21,500
Net std vega:
63,381
Net contracts:
10,000
Gross vega:
257,500
Gross std vega:
759,100
Gross contracts:
50,000
Net delta shares:
-17,428
Ticker:
Trade name:
Trades with stock
Trade description:

bought 48,000 09/18/2020 $40.0 p $0.61

bought shares delta neutral

Net vega:
215,520
Net std vega:
635,344
Net contracts:
48,000
Gross vega:
215,520
Gross std vega:
635,345
Gross contracts:
48,000
Net delta shares:
6,240
Ticker:
Trade name:
Spread
Trade description:

bought 22,848 08/07/2020 $29.5 p $0.013

sold 22,848 08/14/2020 $29.5 p $0.113

Net vega:
-29,246
Net std vega:
-194,890
Net contracts:
0
Gross vega:
31,987
Gross std vega:
247,271
Gross contracts:
45,696
Net delta shares:
400,594
Ticker:
Trade name:
Risk reversal
Trade description:

sold 15,000 08/14/2020 $347.0 c $0.06

bought 30,000 08/14/2020 $282.0 p $0.06

Net vega:
-14,400
Net std vega:
-103,982
Net contracts:
15,000
Gross vega:
57,000
Gross std vega:
411,597
Gross contracts:
45,000
Net delta shares:
-60,563
Ticker:
Trade name:
Spread
Trade description:

bought 15,000 09/18/2020 $42.0 p $0.67

sold 22,500 09/18/2020 $40.0 p $0.32

Net vega:
1,650
Net std vega:
4,864
Net contracts:
-7,500
Gross vega:
139,350
Gross std vega:
410,798
Gross contracts:
37,500
Net delta shares:
-88,502
Ticker:
Trade name:
Was originally a Calendar put roll, some legs were cancelled
Trade description:

sold 16,000 10/16/2020 $215.0 p $1.84

bought 16,000 10/16/2020 $245.0 p $5.36

Net vega:
233,120
Net std vega:
532,325
Net contracts:
0
Gross vega:
934,880
Gross std vega:
2,134,781
Gross contracts:
32,000
Net delta shares:
-215,942
Ticker:
Trade name:
Spread
Trade description:

sold 15,000 08/07/2020 $6.0 c $0.3

bought 15,000 08/07/2020 $6.5 c $0.02

Net vega:
300
Net std vega:
5,731
Net contracts:
0
Gross vega:
900
Gross std vega:
17,194
Gross contracts:
30,000
Net delta shares:
-1,136,373
Ticker:
Trade name:
Single leg
Trade description:

bought 29,115 09/18/2020 $30.0 c $0.16

Net vega:
59,685
Net std vega:
175,951
Net contracts:
29,115
Gross vega:
59,686
Gross std vega:
175,951
Gross contracts:
29,115
Net delta shares:
320,629
Ticker:
Trade name:
Single leg
Trade description:

traded FV 26,620 08/19/2020 $60.0 c $0.1

Net vega:
0
Net std vega:
0
Net contracts:
0
Gross vega:
9,051
Gross std vega:
49,916
Gross contracts:
26,620
Net delta shares:
0
Ticker:
Trade name:
Call tree
Trade description:

bought 4,700 10/21/2020 $75.0 c $0.61

sold 6,100 10/21/2020 $80.0 c $0.53

sold 13,500 10/21/2020 $85.0 c $0.4

Equivalent of $ 96,800 of 10/21/2020 spx forward vega for sale

Net vega:
-38,361
Net std vega:
-84,627
Net contracts:
-14,900
Gross vega:
61,015
Gross std vega:
134,602
Gross contracts:
24,300
Net delta shares:
-96,832
Ticker:
Trade name:
Trades with stock
Trade description:

sold 21,000 10/16/2020 $21.0 p $0.73

sold shares delta neutral

Net vega:
-68,670
Net std vega:
-156,806
Net contracts:
-21,000
Gross vega:
68,670
Gross std vega:
156,807
Gross contracts:
21,000
Net delta shares:
-23,552
Ticker:
Trade name:
Trades with stock
Trade description:

sold 10,000 08/21/2020 $140.0 p $0.32

bought 10,000 08/21/2020 $150.0 p $1.37

bought shares delta neutral

Net vega:
63,400
Net std vega:
323,721
Net contracts:
0
Gross vega:
130,600
Gross std vega:
666,846
Gross contracts:
20,000
Net delta shares:
541
Ticker:
Trade name:
Calendar straddle swap
Trade description:

sold 5,000 08/21/2020 $125.0 c $4.4

sold 5,000 08/21/2020 $125.0 p $4.4

bought 5,000 09/18/2020 $125.0 c $6.2

bought 5,000 09/18/2020 $125.0 p $6.15

Net vega:
70,100
Net std vega:
-2,678
Net contracts:
0
Gross vega:
264,100
Gross std vega:
987,888
Gross contracts:
20,000
Net delta shares:
7,450
Ticker:
Trade name:
Spread
Trade description:

bought 10,000 08/21/2020 $140.0 p $0.35

sold 10,000 08/21/2020 $150.0 p $1.44

Net vega:
-63,300
Net std vega:
-323,211
Net contracts:
0
Gross vega:
130,500
Gross std vega:
666,335
Gross contracts:
20,000
Net delta shares:
196,374
Ticker:
Trade name:
Spread
Trade description:

sold 10,000 08/21/2020 $316.0 p $1.02

bought 10,000 08/21/2020 $330.0 p $3.02

Net vega:
120,100
Net std vega:
613,233
Net contracts:
0
Gross vega:
394,900
Gross std vega:
2,016,367
Gross contracts:
20,000
Net delta shares:
-242,258
Ticker:
Trade name:
Spread
Trade description:

bought 2,200 09/16/2020 $27.0 p $3.15

sold 17,749 10/21/2020 $28.0 p $3.25

Equivalent of $ 89,400 of 09/16/2020 spx forward vega for sale

Equivalent of $ 607,200 of 10/21/2020 spx forward vega to buy

Net vega:
-82,975
Net std vega:
-176,757
Net contracts:
-15,549
Gross vega:
98,419
Gross std vega:
223,410
Gross contracts:
19,949
Net delta shares:
517,785
Ticker:
Trade name:
Risk reversal
Trade description:

sold 6,234 08/21/2020 $11.5 p $0.27

bought 12,468 08/21/2020 $15.0 c $0.34

Net vega:
6,171
Net std vega:
31,513
Net contracts:
6,234
Gross vega:
15,772
Gross std vega:
80,532
Gross contracts:
18,702
Net delta shares:
446,267
Ticker:
Trade name:
Single leg
Trade description:

sold 18,600 09/18/2020 $210.0 p $0.59

Net vega:
-174,654
Net std vega:
-514,873
Net contracts:
-18,600
Gross vega:
174,654
Gross std vega:
514,873
Gross contracts:
18,600
Net delta shares:
60,684
Ticker:
Trade name:
Strangle
Trade description:

sold 7,800 09/18/2020 $25.0 c $0.65

sold 10,000 09/18/2020 $23.0 p $0.39

Net vega:
-51,818
Net std vega:
-152,756
Net contracts:
-17,800
Gross vega:
51,818
Gross std vega:
152,757
Gross contracts:
17,800
Net delta shares:
-62,599
Ticker:
Trade name:
Single leg
Trade description:

bought 17,572 09/18/2020 $2.5 p $0.15

Net vega:
5,271
Net std vega:
15,540
Net contracts:
17,572
Gross vega:
5,272
Gross std vega:
15,540
Gross contracts:
17,572
Net delta shares:
-359,347
Ticker:
Trade name:
Single leg
Trade description:

sold 16,528 06/30/2021 $300.0 p $18.9

Net vega:
-1,948,485
Net std vega:
-2,058,589
Net contracts:
-16,528
Gross vega:
1,948,486
Gross std vega:
2,058,590
Gross contracts:
16,528
Net delta shares:
519,475
Ticker:
Trade name:
Was originally a Put spread collar, some legs were cancelled
Trade description:

sold 10,000 09/18/2020 $7.0 p $0.33

bought 6,250 09/18/2020 $9.0 c $0.47

Net vega:
-1,075
Net std vega:
-3,169
Net contracts:
-3,750
Gross vega:
15,325
Gross std vega:
45,178
Gross contracts:
16,250
Net delta shares:
476,550