Betting the Bear Rally Comes Back Down

2019-01-06

That $2Mn bet is underwater …currently offered at 2.38 (-.20 delta).  About a 44% chance of 237 being ITM.  (Also sizable new interest at 235 …where puts are trading for ~$2.)

Most of the new interest is at 245 where the probability of touch is 68.6% (statistical arbitrage).