What's Behind This Huge SPDR S&P 500 ETF Trust (SPY) Trade?

Put players were active on the SPDR S&P 500 ETF Trust (NYSEARCA:SPY) yesterday, with the contracts trading at 1.4 times the average daily rate, and outpacing calls by a 2-to-1 margin. Drilling down, our Senior VP of Research Todd Salamone noticed some interesting action at the quarterly 3/31 200- and 205-strike puts, where two symmetrical blocks of 40,000 contracts changed hands.

Drilling down, it appears as though the lower-strike puts were purchased, while the higher-strike puts were sold. Assuming this was a roll, the trader expects SPY to settle south of $200 at next Tuesday's close, when the quarterly series expires.

Salamone offered even more insight, explaining that a similarly sized block of 40,000 quarterly 3/31 205-strike puts was purchased on Feb. 17 for $2.52 apiece, and was sold yesterday for $1.71 each -- meaning the speculator may have incurred a loss. Meanwhile, he also noted that the sale of the near-the-money 205 puts appeared to have a coincident positive impact for the SPDR S&P 500 ETF Trust (NYSEARCA:SPY), as it occurred simultaneously with the fund's morning lows. This morning, SPY was last seen fractionally lower at $205.26.