Thursday, August 15, 2013

Soros Fund Activity In SPY (S&P 500 Index) Puts (Pt 2)

A little more on the Soros Fund 13F filing after my earlier post where I pointed out that the largest position in the fund as of 30th June, 2013 was SPY Puts (a $1.25 billion bet that the S&P 500 will fall): Soros Fund Bets On Lower Stock Market (SPY Puts). Thanks also to MarketWatch (Barbara Kollmeyer) for covering this development.

I went back for a closer look at the earlier Soros Funds 13F filings to find that they have regularly timed SPY Put buying/selling well:

Click Image To Enlarge
Click Image To Enlarge
The chart above shows the S&P 500 Index over the last couple of years split up into sections representing changes in the primary activity of the Soros Fund in SPY Puts (which is detailed in the table below it).

In Section 1 (as labeled on the chart) the Soros Fund substantially increased their position in SPY Puts (by 94%), resulting in a $538m bet (by 30/06/2011) that the market would fall. Surely enough in the 6-7 weeks that followed that filing the S&P 500 fell 16%. Section 2 shows a majority of the position in SPY Puts closed as the correction played out.

In Section 3 we see the Soros Fund again accumulating a large position in SPY Puts ($509m), following which (Section 4) we see a 9% correction over 2 months as Soros Fund again reduces the position.

The Soros Fund does not make any major changes in Section 5, but section 6 which leads us to the most recent filing (the first 6 months of this year) shows a much larger position in SPY Puts being bought. A position size over double that of the 30/06/2011 or 31/03/2012 filings. Is Soros expecting a larger decline in the S&P 500 this time around? It certainly looks that way.

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