ASML – an interesting observation:

Today, ASML is up 1.37% as I write.

Even though the underlying is up a lot, my long Jul $32.50 and $35 calls are actually down. This is because we are very close to expiration and theta and vega are working against them.   Remember, as the market goes up longs sell their put protection causing IV to drop.  As the puts lose so do the calls due to put-call parity.

My short Jul puts are up, obviously because then are long delta and short vega, both working in their favor.

Interestingly, my long Oct $35 puts are up and my $30 puts are about even.  So the underlying is up and so are the long puts, what gives?  VEGA!  Someone is buying Oct puts as the underlying moves up and they think they’re getting a discount on this stock that is in a downtrend.

With 16 days remaining in the Jul expiry most longs would not opt to buy Jul put premium as protection and go further out.

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