To The Moon

Investors turned defensive as worries over the Fed's rate path timing and magnitude pushed Treasury yields higher, pressuring large-cap stocks. Options flows showed SPY at an inflection point, with either a 9.4% rally priced in by July expiry or a 5.6% drop expected by August. QQQ had at least 0.7% further upside priced in by June 14. For small-caps, upside appeared capped with expectations for IWM's rally staying below 5.1% by mid-June. Details: The S&P 500 ETF (SPY) saw open call interest rise 1.4% over the past 5 days. Open put contracts increased 1.2% over the same period. For call options, investors bought the most $SPY 20240719 580.0 CALL$ with a 580 strike, adding 46,000 contracts. This implies around 9.4% further upside priced in for SPY by July 19 expiration. For put options, the most actively traded was the $SPY 20240719 515.0 PUT$ with a 515 strike, adding 13,000 contracts. The Nasdaq 100 ETF (QQQ) saw open call interest rise 1.7% over the past 5 days. Open put contracts increased 1.6% over the same period. For call options, investors sold the most $QQQ 20240614 475.0 CALL$ with a 475 strike, adding 21,000 contracts as part of a call spread vs the $QQQ 20240614 463.0 CALL$ . This priced in at least 0.7% further upside for QQQ by June 14 expiration. For put options, the most actively traded was the $QQQ 20240531 421.0 PUT$ with a 421 strike, adding 13,000 contracts. The Russell 2000 ETF (IWM) saw open call interest rise 1.0% over the past 5 days, while open put contracts increased 0.6% over the same period. For call options, investors sold the most $IWM 20240614 216.0 CALL$ with a 216 strike, adding 13,000 contracts as part of a call spread vs the $IWM 20240614 223.0 CALL$ . This capped expectations for further IWM upside below 5.1% by June 14 expiration. For put options, there was heavy buying in the $IWM 20250117 190.0 PUT$ with a 190 strike, adding 6,650 contracts. This priced in a 7.5% decline for IWM by January 17, 2025 expiration.