US funds sold single-stock calls, bought puts ahead of downturn

Franklin Templeton, BlackRock, Calamos built defensive positions in Q4 2021


US mutual funds sold more single-stock calls and bought puts in the fourth quarter of last year, positioning defensively for the market downturn that took place in the early months of 2022.

The aggregate total of the market rose by $688 million to $40.8 billion, but the tepid growth disguises a decisive shift towards defensive positioning. US funds wrote an additional $1.5 billion calls and purchased $519 million of puts in Q4, while reducing both positions in purchased calls and written puts, according to US Securities and Exchange Commission filings.

The largest trades over the quarter underscore this bearish leaning – all being written calls.

Franklin Templeton headed the move, adding almost $2 billion of written calls and growing those options to 73% of its book, while cutting $238 million of written puts. The manager retained its third place in terms of total market share, despite its $1.7 billion net position increase being the largest over the quarter.

BlackRock followed suit, adding $563 million in written calls. The firm’s $532 million book expansion, the third largest over the quarter, further solidified its top spot among single-stock options users.

Calamos also favoured drawdown protection, adding $446 million in purchased puts, as well as $173 million in written calls. The manager grew its books by $754 million overall, the second-largest increase over the quarter, helping it jump from ninth to fourth in the manager rankings.

The bearish tendencies are also seen in three of the five stocks that rose most over the quarter. Franklin Templeton’s written calls drove up PepsiCo and Home Depot, while Calamos purchased puts and wrote calls on Tesla.

Meanwhile, the volume on Pioneer Natural Resources grew through a combination of purchased calls, written calls and written puts, all from BlackRock. Similarly, the Walt Disney Company options growth was primarily driven by a single manager, Franklin Templeton, writing $217 million of puts.

In a contrarian move, T Rowe Price cut $992 million in written calls. However, with a $7.7 billion Q4 book – consisting almost entirely of written calls – the firm remained comfortably second in terms of market share.


About this data 


The information used in this analysis comes from Nport-P filings to the US Securities and Exchange Commission. This is a relatively new form, introduced at the end of 2019, which requires mutual funds and exchange-traded funds to file monthly summaries of their portfolio holdings to the SEC.  

The filings include over-the-counter derivatives trades that were live at the time of the filing, and show details such as bank counterparty names, currencies, trade sizes and remaining maturity.

The forms are filed to the SEC on a monthly basis, and the regulator makes the final filing of each fund’s quarter public 60 days after the end of that period. The filings are in a structured XML form, making it possible to download and parse the data for trends.  

It’s important to caveat the information. While these are pro forma regulatory filings to the SEC and should be accurate, mistakes and miscategorisations do occur. The data was cleaned and obvious errors excluded. 

Notionals for equity options are not included in the filings, so have been calculated independently by Counterparty Radar. This involved multiplying the reported number of contracts by the number of shares per contract, and then multiplying this figure by the strike price.

The resulting strike-adjusted notional may differ from funds’ annual or semi-annual reports, which often use the spot price at time of filing instead of the strike. We chose to use the strike price to allow for quarter-to-quarter comparability – otherwise notional amounts might change solely due to changes in spot prices. The methodology is based on feedback from market participants, but if you have any comments please contact us, using the details below.

As the database is updated and improved periodically, data presented may not mirror information published in previous stories. Each story reflects the most accurate representation of data at the time of publication. 

Information from these filings is the basis for the new service, Counterparty Radar, which allows users to search the filings information themselves to discover the most popular dealers and most active managers for a range of OTC derivatives – the addition of single-stock and equity index options takes the number of instruments covered to eight, across four asset classes. We will track these stats every quarter, so please get in touch if something doesn’t look right, or to suggest other ways to present the data: [email protected] 

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