SPDR S&P 500 ETF Trust closed at USD 762.60, a 1.13 % change.

Large options activity in SPY presented a mixed picture on Tuesday. A single deep in-the-money call purchase worth $27.97 million signaled long-term bullish conviction, while a separate $1.25 million bear call spread indicated a capped-upside or neutral-to-bearish view. The conflicting flows left the overall block tone cautious, with a slightly bearish lean driven more by premium-selling structures than outright directional bets against the index.

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Options Indicators

SPY’s implied volatility stands at 15.66%, and with an IV percentile of 15.94%, current option volatility sits on the low end of its recent range, indicating options are cheaply priced rather than carrying a rich premium. The IV/HV ratio of 1.83 also shows implied volatility is running well above realized volatility, suggesting the market is still embedding a meaningful forward volatility cushion even though overall pricing remains relatively inexpensive in percentile terms.

The Call/Put volume ratio is 1.03.

Large Trades

A CALL buy worth $27.97 million was the standout trade of the day, with 3,000 contracts of the September 30, 2026 $670.0 call purchased. With SPY referenced at $762.6, this call is in the money, making it a strongly bullish position that reflects conviction in continued upside while also benefiting from intrinsic value already embedded in the option. The long-dated expiration suggests the buyer is positioning for a sustained bullish view rather than a short-term tactical move, using a deep-in-the-money call as an efficient way to express upside exposure with leverage.

A bearish call spread with a net credit of $1.25 million was the other highlighted block, built by selling 3,800 contracts of the January 15, 2027 $795.0 call and buying 3,800 contracts of the January 15, 2027 $805.0 call. Both strikes are out of the money versus the current SPY reference price, and the structure indicates a defined-risk bearish to neutral stance. By collecting premium upfront, the trader is effectively betting that SPY will remain below $795.0 through expiration, or at least fail to rally aggressively enough to threaten the short call strike. Overall, the large-order flow leans slightly bearish: while the biggest single trade was a notably bullish in-the-money call purchase, the broader block activity showed persistent use of bearish premium-selling and downside-oriented spread structures, pointing to a market tone that is cautious and mildly negative rather than outright aggressively bearish.

Strategy Reference

For traders aligned with the bearish block and seeking low assignment probability, selling an out-of-the-money call below the $795.0 short strike—such as the January 2027 $770.0 call—offers a wider buffer, while those preferring defined risk without heavy margin can consider a bear call spread like $770.0/$780.0 for a smaller credit and capped loss.