Too Many Options: Lowest $SPY Volume Since Christmas Eve

by Enis February 11, 2013 4:04 pm • Commentary

On a day that saw the lowest SPY volume since 12/24/2012, index ETFs traded a good bit of protection.

  1. AAPL – Call to put ratio near 2 today, as the weekly 500 calls traded around 40k on the day.  That the bulk of options volume is buyer-initiated is evident from the increase in implied volatility today, with 1 month at-the-money now up to near 30.
  2. SPY – The March 28(w) 149/141/133 put butterfly traded 30K times or 30Kx60Kx30K.  This is a bearish butterfly reaching its max value at $141, a bit more than $10 lower in the ETF.
  3. IWM – The March 28th 88/85/82 Put Fly was bought 50K times (so 50K, by 100K, by 50K).  Similar trade to the SPY above, targeting the 85 level in IWM.
  4. MNX – mini nasdaq 100 index – around 15K  Feb 272.5 / 267.5 put spreads traded opening.  On average 3K option contracts a day.  From the CBOE site:  “The MNX index has a price based on 1/10 the value of the NDX index, so, for example, if the NDX index is at 1400, the MNX will be 140. MNX index options have a multiplier of 100; thus, if the MNX price level is 140, an investor could consider hedging $14,000 of equity exposure with one MNX options contract.”
  5. XLK – the  Mar 31/ Jun 32 call spread traded 25K times.  Likely rolling up and out.
  6. HAS – Someone bought the Feb 40/ July 42.5 call spread 14000 times.  Probably a roll up and out as well.  The Feb 40’s do have sufficient open interest and are unusual in this product in having such a large open interest.
  7. DELL – The Apr 14 and Aug 15 calls both traded around 25k, as traders bid up farther dated upside after Southeastern’s comments about deal price too low on Friday.
  8. AOL – the Apr 31/36 risk reversal traded 13000 times, selling the puts and buying the calls.  Stock is up $2 today and IV30 up 4 points.
  9. T – Another likely roll up and out, someone selling the Feb 35 calls 15k times, to buy the Mar 36 calls, 20k times.
  10. NDAQ – Trader sold Mar 28/31 call spread, 3750 times.  Stock has been straight up this year.  Average volume is under 1000.  Today 17K+ have traded and IV30 is up 9 points, after reports that NDAQ held talks with Carlyle on going private.