Out of all the data from Figure 1, I chose to focus only on the volume, deltas, the intrinsic value and certainly the strikes. At the time of the Option Chain's picture on 3/17/2011, EEM was trading at $45.13 and there was some activity on the OTM calls, but not much. This made me infer that most likely there were no Bear Calls that were placed by the big institutions. Thus, I turned my attention to the put side in search of Bull Puts.

What is the information that the put volume is communicating to us? Are there any big spread trades placed on these weekly options of the EEM?

Let's look at the various Bull Puts or short vertical spreads downwards starting from the 40 put strike price (0.05 at the Ask) and the 41 put (0.06 at the Bid). The 40/41 put would give a credit of only a penny. Next, the 41p (0.08 at the Ask) and the 42 p (0.12 at the Bid) produces a credit of only 0.04 with a risk of 0.96. The next spread, the 42p (0.13 at the Ask) and the 43 p (0.22 at the Bid), is a bit better because it gives a credit of 0.09 while risking 0.91, yet that is still not good enough. The 43 put (0.24 at the Ask) and the 44 p (0.39 at the Bid) gives a credit of 0.15 while risking 0.85 which is much better. An even juicier spread would be the 44p (0.41 at the Ask) and the 45 p (0.71 at the Bid) produces a credit of 0.30 while risking 0.70, but with more credit comes more risk. In the case of the sold 45 put and the purchased 44 put, there is only 0.13 cents of room for error due to the fact that EEM is trading at 45.13; therefore, that spread is out of the question.

The spread I chose to focus on was the 43 put (the top left Time & Sales [T&S]) and the 44 put (the lower T&S). Observe the traded size of the 43 puts in the triple digits; specifically, 111 contracts were traded through CBOE for 0.23 cents at 12:19 and 34 seconds PST. Assuming that this leg (43p) was purchased first, I looked at the T&S for the 44 put at the same time and size. At first sight, it appeared that there were trades of that size through the CBOE at 12:19 because only 36 contracts went through for a premium of 0.41.

When the two premiums, the 44 p @ 0.41 and the 43 p @ 0.23 are subtracted, a credit of 0.18 cents is achieved. One must say that 0.18 cents of credit is even better than the 0.15 credit that we calculated earlier. Yet in order to achieve this greater potential, the spread trade had to be broken into pieces. Spread trades go to the COM BOX (Complex Box) on the floor where they sit until one of the exchanges fills both legs at the same time. It takes less time to get filled on individual legs than on spreads. Obviously, the trader of those 111 contracts knew that fact so they broke their order into two parts. Directly after they purchased 111 of the 43 calls 34 seconds after 12:19 PST, they routed their order to sell 111 of the 44 calls at any exchange at 37 seconds after 12:39 PST. I must say that this trade was so well pre-planned that it took them less than three seconds to send the second (short) leg in.

In conclusion, although the 111 contracts of the shorted 44 puts did not show up as a single order on the print, they are all there. One would just need to add all the contracts that were filled for 0.41 cents at exactly 12:19:37. The big order of 111 was served through CBOE, ISE, US, AMEX, PACX, PSX and NASDAQ. Read the tape and have green trading.