OPTION WHALE: AT-THE-MONEY EDITION

The 'tourist walks through why volatility will be dampened until year-end and what happens with a move away the Option Whale's 3835 strike

When I first started writing about the Option Whale, it was during a rising stock market period, and usually, the call options the Whale wrote finished in-the-money. This had the effect of creating a buy imbalance on roll day.

For those not familiar with the Option Whale, it’s a JP Morgan fund that buys an S&P 500 index put spread and pays for it by sell…