Weekly OFR (Option Flow Report)

The OFR — Option Flow Report

By Chris Capre, Head of BOS / TW / 2ST

(Do not forward)

Welcome to a new trading week!

The Week in Review

SPY:

SPY had another bullish close, albeit a mild one last week with most of the gains stacked on Thursday, almost touching our 780 resistance level we flagged last week. The mostly corrective gains last week has built up a technical base in the 770’s, all during a quiet macro week. This week will start to see shifting sands due to the Aug op-ex.

QQQ:

QQQ’s mostly traded in line with SPY last week during the quiet macro week and low level tech earnings. The main difference between SPY and QQQ’s last week (besides the level of volatility) was that the tech index is building back towards yearly highs while SPY is close to carving out new highs while building a solid base in the mid 720’s.

• We begin this week with no major updates to the Iran/US conflict, with some ‘reports’ suggesting a 60 day cease fire between both sides (via Al-Arabya) yet USO and yields are up, so we’re a bit skeptical of this report. Technically the last 60 day MoU has ended (so much that did) with Trump saying Iran should surrender, and Iran having no interest in talking unless their demands are met.

• While last week was devoid of major earnings, this week, despite having a few earnings like WMT, TGT and HD on the consumer side is more about the Aug op-ex + VIX op-ex (Weds am) as a fair dinkum of positions will be coming off the board.

• We think the pair of op-ex’s this week will add a bit of volatility and with IV/term structure in contango, be a good opportunity to get long vol with the FOMC next week via long straddles or long call spreads.

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