Too Many Options: $VIX Call Volume Spikes

by Enis March 19, 2013 6:30 pm • Commentary

Very active VIX call trading ahead of VIX expiry tomorrow morning, in a day that had more of a macro feel than most of 2013:

  1. VIX – The Mar 16 calls, Mar 14 puts, and Mar 15 calls all traded over 100k as traders clean up positions ahead of tomorrow morning’s VIX expiry.
  2. XLF – The Apr 17 puts and the Apr 19 calls both traded around 100k, though looks like separate trades.  The Apr 19 calls were bought 75k times around 10am for 0.07.  The Apr 17 puts were bought in the afternoon around 0.10.  While XLF was only down 0.6%, notable that European bank index, SX7E, was down 4% (7% this week)
  3. XLE – Energy the weakest sector on the day on oil’s weakness, and there was a buyer of f the Apr 78 puts, which traded almost 16k, with an avg price of 1.35.
  4. MSFT – Stock has been stuck around 28 for 2 months now.  Over 27K May 30 calls traded on the day, mostly buying for 0.16 in the morning.
  5. MU – Call to put ratio up to 6 today, as the Apr 10 calls traded over 30k, mostly buying around 0.31, and the Jul 10 calls traded more than 25k at 0.66.
  6. VOD – Stock has been on a tear in the past 2 months as Verizon indicated a desire to take over all of Verizon Wireless, 45% owned by Vodafone.  The Jul 29 / 30 call spread traded 8k times this morning.
  7. ALTR – The June 34 calls traded over 10k, quite unusual volume.  Stock reports in April.
  8. S – Stock broke 6 for first time since October on decent volume.  The Apr 6 calls were mostly bought in the afternoon, trading more than 20k, while the May 6 calls were sold near the close, with that line also trading more than 20k.
  9. TSO – The Apr 65 calls traded 40k on the day, looks like a long call owner selling to close based on open interest.
  10. AAPL – Call to put ratio around 1.5.  The weekly 460 and 455 call lines continue to be the most active.  50 day ma at 463 now acted as resistance in the morning.