0001085146-12-000717.txt : 20120514 0001085146-12-000717.hdr.sgml : 20120514 20120514113416 ACCESSION NUMBER: 0001085146-12-000717 CONFORMED SUBMISSION TYPE: 13F-HR PUBLIC DOCUMENT COUNT: 1 CONFORMED PERIOD OF REPORT: 20120331 FILED AS OF DATE: 20120514 DATE AS OF CHANGE: 20120514 EFFECTIVENESS DATE: 20120514 FILER: COMPANY DATA: COMPANY CONFORMED NAME: Laurion Capital Management LP CENTRAL INDEX KEY: 0001390202 IRS NUMBER: 562504425 STATE OF INCORPORATION: DE FISCAL YEAR END: 1231 FILING VALUES: FORM TYPE: 13F-HR SEC ACT: 1934 Act SEC FILE NUMBER: 028-12437 FILM NUMBER: 12837195 BUSINESS ADDRESS: STREET 1: 360 MADISON AVENUE STREET 2: SUITE 1900 CITY: NEW YORK STATE: NY ZIP: 10017 BUSINESS PHONE: 212-938-6325 MAIL ADDRESS: STREET 1: 360 MADISON AVENUE STREET 2: SUITE 1900 CITY: NEW YORK STATE: NY ZIP: 10017 13F-HR 1 laurion1q2012.txt LAURION CAPITAL MASTER FUND UNITED STATES SECURITIES AND EXCHANGE COMMISSION Washington, D.C. 20549 Form 13F Form 13F COVER PAGE Report for the Calendar Year or Quarter Ended: March 31, 2012 Check here if Amendment [ ]; Amendment Number: This Amendment (Check only one.): [ ] is a restatement. [ ] adds new holdings entries. Institutional Investment Manager Filing this Report: Name: Laurion Capital Master Fund Address: 360 Madison Avenue, Suite 1900 New York, NY 10017 13F File Number: 028-12437 The institutional investment manager filing this report and the person by whom it is signed hereby represent that the person signing the report is authorized to submit it, that all information contained herein is true, correct and complete, and that it is understood that all required items, statements, schedules, lists, and tables, are considered integral parts of this form. Person Signing this Report on Behalf of Reporting Manager: Name: Benjamin A. Smith Title: Partner Phone: 212.938.6300 Signature, Place, and Date of Signing: /s/ Benjamin A. Smith New York, NY May 08, 2012 Report Type (Check only one.): [ X] 13F HOLDINGS REPORT. [ ] 13F NOTICE. [ ] 13F COMBINATION REPORT. FORM 13F SUMMARY PAGE Report Summary: Number of Other Included Managers: 0 Form 13F Information Table Entry Total: 169 Form 13F Information Table Value Total: $1,039,547 (thousands) List of Other Included Managers: Provide a numbered list of the name(s) and Form 13F file number(s) of all institutional managers with respect to which this report is filed, other than the manager filing this report. NONE FORM 13F INFORMATION TABLE VALUE SHARES/ SH/ PUT/ INVSTMT OTHER VOTING AUTHORITY NAME OF ISSUER TITLE OF CLASS CUSIP (x$1000) PRN AMT PRN CALL DSCRETN MANAGERS SOLE SHARED NONE ------------------------------ ---------------- --------- -------- -------- --- ---- ------- ------------ -------- -------- -------- ABBOTT LABS COM 002824100 12416 202578 SH SOLE 12416 0 0 ABERCROMBIE & FITCH CO CL A 002896207 4880 98375 SH SOLE 4880 0 0 ACCENTURE PLC IRELAND SHS CLASS A G1151C101 299 1314 SH CALL SOLE 299 0 0 ADVANCE AMER CASH ADVANCE CT COM 00739W107 122 11598 SH SOLE 122 0 0 AGILENT TECHNOLOGIES INC COM 00846U101 632 14195 SH SOLE 632 0 0 AIRGAS INC COM 009363102 204 2293 SH SOLE 204 0 0 AKAMAI TECHNOLOGIES INC COM 00971T101 1843 50222 SH SOLE 1843 0 0 ALCOA INC COM 013817101 2884 287800 SH SOLE 2884 0 0 ALCOA INC COM 013817101 328 6562 SH CALL SOLE 328 0 0 ALCOA INC COM 013817101 633 12541 SH PUT SOLE 633 0 0 ALPHA NATURAL RESOURCES INC COM 02076X102 1130 74307 SH SOLE 1130 0 0 AMERICAN EQTY INVT LIFE HLD COM 025676206 132 10330 SH SOLE 132 0 0 AMERICAN FINL GROUP INC OHIO COM 025932104 332 8595 SH SOLE 332 0 0 AMERICAN TOWER CORP NEW COM 03027X100 239 3800 SH SOLE 239 0 0 ANADARKO PETE CORP COM 032511107 239 344 SH PUT SOLE 239 0 0 APACHE CORP COM 037411105 21938 218417 SH SOLE 21938 0 0 APACHE CORP COM 037411105 2130 2722 SH PUT SOLE 2130 0 0 APPLE INC COM 037833100 43116 3831 SH CALL SOLE 43116 0 0 APPLE INC COM 037833100 771 833 SH PUT SOLE 771 0 0 APPLE INC COM 037833100 186217 310636 SH SOLE 186217 0 0 ARCTIC CAT INC COM 039670104 234 5475 SH SOLE 234 0 0 AT&T INC COM 00206R102 17183 550200 SH SOLE 17183 0 0 BAIDU INC SPON ADR REP A 056752108 29495 202338 SH SOLE 29495 0 0 BANK OF AMERICA CORPORATION COM 060505104 829 5131 SH CALL SOLE 829 0 0 BANK OF AMERICA CORPORATION COM 060505104 351 9480 SH PUT SOLE 351 0 0 BED BATH & BEYOND INC COM 075896100 2372 36072 SH SOLE 2372 0 0 BERKSHIRE HATHAWAY INC DEL CL A 084670108 244 2 SH SOLE 244 0 0 BERKSHIRE 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0 0 EDUCATION RLTY TR INC COM 28140H104 136 12500 SH SOLE 136 0 0 EXPRESS SCRIPTS INC COM 302182100 1228 22673 SH SOLE 1228 0 0 EXXON MOBIL CORP COM 30231G102 1260 14526 SH SOLE 1260 0 0 FERRO CORP COM 315405100 77 12891 SH SOLE 77 0 0 FIRST SOLAR INC COM 336433107 1243 49633 SH SOLE 1243 0 0 FREEPORT-MCMORAN COPPER & GO COM 35671D857 3580 94104 SH SOLE 3580 0 0 GENERAL MLS INC COM 370334104 833 21125 SH SOLE 833 0 0 GENERAL MTRS CO COM 37045V100 634 24699 SH SOLE 634 0 0 GENUINE PARTS CO COM 372460105 295 4700 SH SOLE 295 0 0 GOLDMAN SACHS GROUP INC COM 38141G104 9487 76278 SH SOLE 9487 0 0 GOLDMAN SACHS GROUP INC COM 38141G104 520 650 SH CALL SOLE 520 0 0 GOLDMAN SACHS GROUP INC COM 38141G104 705 2996 SH PUT SOLE 705 0 0 HARTFORD FINL SVCS GROUP INC COM 416515104 1477 70049 SH SOLE 1477 0 0 HEALTH NET INC COM 42222G108 208 5226 SH SOLE 208 0 0 HERCULES OFFSHORE INC COM 427093109 93 19700 SH SOLE 93 0 0 HEWLETT PACKARD CO COM 428236103 7642 320700 SH SOLE 7642 0 0 HEWLETT PACKARD CO COM 428236103 626 7292 SH PUT SOLE 626 0 0 HOME DEPOT INC COM 437076102 3098 10439 SH CALL SOLE 3098 0 0 HONEYWELL INTL INC COM 438516106 1536 25152 SH SOLE 1536 0 0 HSBC HLDGS PLC SPON ADR NEW 404280406 4680 105419 SH SOLE 4680 0 0 HUMAN GENOME SCIENCES INC COM 444903108 115 13993 SH SOLE 115 0 0 ICICI BK LTD ADR 45104G104 951 27287 SH SOLE 951 0 0 ILLINOIS TOOL WKS INC COM 452308109 220 4408 SH PUT SOLE 220 0 0 ILLINOIS TOOL WKS INC COM 452308109 726 12715 SH SOLE 726 0 0 ILLINOIS TOOL WKS INC COM 452308109 1221 6860 SH CALL SOLE 1221 0 0 INTEL CORP COM 458140100 2448 87086 SH SOLE 2448 0 0 ISHARES INC MSCI BRAZIL 464286400 576 8901 SH SOLE 576 0 0 ISHARES TR FTSE CHINA25 IDX 464287184 9811 267830 SH SOLE 9811 0 0 ISHARES TR FTSE CHINA25 IDX 464287184 310 5434 SH PUT SOLE 310 0 0 ISHARES TR MSCI EAFE INDEX 464287465 5486 99936 SH SOLE 5486 0 0 ISHARES TR MSCI EMERG MKT 464287234 735 15000 SH CALL SOLE 735 0 0 ISHARES TR MSCI EMERG MKT 464287234 570 15000 SH PUT SOLE 570 0 0 ISTAR 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SH SOLE 2 0 0 MORGAN STANLEY COM NEW 617446448 225 1183 SH CALL SOLE 225 0 0 NATIONAL OILWELL VARCO INC COM 637071101 484 6094 SH SOLE 484 0 0 NETFLIX INC COM 64110L106 231 690 SH CALL SOLE 231 0 0 NEXTERA ENERGY INC COM 65339F101 7354 120394 SH SOLE 7354 0 0 NIKE INC CL B 654106103 2945 27156 SH SOLE 2945 0 0 NORDSTROM INC COM 655664100 4709 84513 SH SOLE 4709 0 0 OCCIDENTAL PETE CORP DEL COM 674599105 7185 75450 SH SOLE 7185 0 0 OFFICE DEPOT INC COM 676220106 285 82748 SH SOLE 285 0 0 ORACLE CORP COM 68389X105 2896 99299 SH SOLE 2896 0 0 PEABODY ENERGY CORP COM 704549104 3058 105595 SH SOLE 3058 0 0 PEPSICO INC COM 713448108 3472 52327 SH SOLE 3472 0 0 PETROLEO BRASILEIRO SA PETRO SPONSORED ADR 71654V408 2613 98394 SH SOLE 2613 0 0 PFIZER INC COM 717081103 12001 529601 SH SOLE 12001 0 0 PFIZER INC COM 717081103 360 4829 SH CALL SOLE 360 0 0 PHARMACYCLICS INC COM 716933106 294 10591 SH SOLE 294 0 0 PHILIP MORRIS INTL INC COM 718172109 1904 21487 SH SOLE 1904 0 0 PNC FINL SVCS GROUP INC COM 693475105 265 849 SH CALL SOLE 265 0 0 POWER ONE INC NEW COM 73930R102 61 13500 SH SOLE 61 0 0 PRICELINE COM INC COM NEW 741503403 860 1199 SH SOLE 860 0 0 PRIMORIS SVCS CORP COM 74164F103 232 14467 SH SOLE 232 0 0 PROCTER & GAMBLE CO COM 742718109 2001 29779 SH SOLE 2001 0 0 QUALCOMM INC COM 747525103 1443 21217 SH SOLE 1443 0 0 RADIAN GROUP INC COM 750236101 51 11828 SH SOLE 51 0 0 RAYTHEON CO COM NEW 755111507 232 4400 SH SOLE 232 0 0 SALESFORCE COM INC COM 79466L302 539 657 SH CALL SOLE 539 0 0 SANDISK CORP COM 80004C101 3180 64116 SH SOLE 3180 0 0 SANDRIDGE ENERGY INC COM 80007P307 160 20400 SH SOLE 160 0 0 SEAGATE TECHNOLOGY PLC SHS G7945M107 1679 62300 SH SOLE 1679 0 0 SELECT SECTOR SPDR TR SBI INT-ENERGY 81369Y506 4519 63000 SH SOLE 4519 0 0 SELECT SECTOR SPDR TR SBI INT-ENERGY 81369Y506 1323 4201 SH CALL SOLE 1323 0 0 SELECT SECTOR SPDR TR SBI MATERIALS 81369Y100 244 6600 SH SOLE 244 0 0 SEQUENOM INC COM NEW 817337405 46 11326 SH SOLE 46 0 0 SIMON PPTY GROUP INC NEW 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COM 912909108 1369 46616 SH SOLE 1369 0 0 UNITED TECHNOLOGIES CORP COM 913017109 1194 14390 SH SOLE 1194 0 0 VAALCO ENERGY INC COM NEW 91851C201 116 12271 SH SOLE 116 0 0 VALE S A ADR 91912E105 1438 61640 SH SOLE 1438 0 0 VALSPAR CORP COM 920355104 262 5420 SH SOLE 262 0 0 VERISIGN INC COM 92343E102 2838 74014 SH SOLE 2838 0 0 VERIZON COMMUNICATIONS INC COM 92343V104 1216 31819 SH SOLE 1216 0 0 WAL MART STORES INC COM 931142103 437 7147 SH SOLE 437 0 0 WELLPOINT INC COM 94973V107 13943 188923 SH SOLE 13943 0 0 WELLS FARGO & CO NEW COM 949746101 542 1291 SH CALL SOLE 542 0 0 WELLS FARGO & CO NEW COM 949746101 249 1890 SH PUT SOLE 249 0 0 YAHOO INC COM 984332106 666 43759 SH SOLE 666 0 0