Market Analysis (24 June’21)

An institutional trader placed a reverse calendar spread trade today, which aims to profit from a large move up in SPY during the next 30-60 days followed by a correction into September-November 2021.

The reverse calendar spread was placed at 10:31am PST. The trader purchased 20K of the 30 July’21 $435 calls for $3.5m and sold the same number of 19 Nov’21 $480 calls for $1.2m (the trader paid $2.3m net for this trade). Below are the details of this transaction:

Spread

SPY, Long Calls

SPY, Short Calls

The ideal profitability path for this trade might look like this:

SPY, daily

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