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Politics : Welcome to Slider's Dugout

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To: chainik who wrote (532)	8/30/2005 11:16:56 AM
From: anyer	Read Replies (2) of 50637

Schaeffer's on QQQQ: Friday's activity in the S&P Depository Receipts (SPY: sentiment, chart, options) pits resulted in pretty significant in-the-money put liquidation for the popular exchange-traded fund (ETF} This is the bearish flip side to heavy put open interest; once it's penetrated (and earns in-the-money status), the sellers begin to panic and liquidate. This in turn causes hedged longs in the underlying shares to liquidate. Or the put sellers decide to short some of the underlying instrument (or futures) to protect themselves. Same result. This is now aggravated by the fact that volatility is so low, which means gamma (a measurement of how fast delta changes) is very high, which means an in-the-money position can explode in price very quickly. Turning to a popular technology-centric ETF, the 38 strike has huge bearish implications for the Nasdaq-100 Trust (QQQQ: sentiment, chart, options) if penetrated. The September 38 put strike is currently home to nearly 500,000 open positions, dwarfing all other strikes in this series. And as of today's close, the QQQQ is less than two percent away from violating this threshold.

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