Too Many Options: $VIX Active, Quiet Otherwise

by Enis December 3, 2012 4:29 pm • Commentary

In a low volume day for single stock options, the heavy VIX options volume stood out.

  1. VIX – The largest print of the day was someone selling the Jan13 14 puts at 0.25, and buying the Jan13 25 / 30 call spread for 0.23, collecting 0.02 on the spread, more than 40k times.  The Dec 35 calls also traded more than 40k, with most of the buying around 10am
  2. CSCO – The Dec 20 calls traded more than 65k on the day, with the average price at 0.05.  The largest block traded around 10am, with someone selling 40k at 0.045.
  3. MSFT – Large The largest print in the name was the Apr 27 / 29 1×2 call spread, which traded 20k x 40k this morning, for around $0.10.  There was also a buyer of 10k of the Jan14 37 calls for 0.58
  4. FB – Stock had its largest down day since the November lockup expired.  The Dec regular 27 puts traded more than 35k, with most trading only 10 minutes before the close, buyer initiated, paying 1.15.  The weekly 28 puts and Dec regular 29 calls also traded more than 25k on the day
  5. BAC – Trader bought 19k of the March 10 calls this morning paying 0.67.  That was the most traded line in the name.  BAC has failed to breach 10 on 4 attempts in the past month.
  6. AAPL – Light volume day by AAPL standards.  Call to put ratio at 1.65 was high relative to the last week.  Weekly calls were top 5 most traded lines.
  7. PBI – With the stock at 20 year lows, the stock bounced 4% today, but put volume still dominated.  Looks like someone sold 10k of their Jan13 12 puts and rolled into 12k of the Jul 6 puts, collecting about 0.60 for the roll.
  8. VRSN – Traded 7x normal options volume as the stock rebounded 5% after falling 13% on Friday due to a weaker-than-expected registry pricing approval by the U.S. Dept of Commerce.  The Jan13 36 and March 34 puts were the most active lines
  9. QCOM – Interesting trade in the Jan14 80 call line.  A trader bought 3k paying 1.72 for calls that breakeven if the stock is up about 30% in the next 13 months.
  10. AZO – Options traded almost 5 times normal volume, with puts trading twice as much as calls.  The Dec 360, 370, and 350 put lines all traded more than 1k.