Too Many Options: Macro Focus, $VIX and $SPY

by Enis April 15, 2013 8:44 pm • Commentary

Single stock options volume was much more muted relative to options volume in macro instruments for protection, like SPY puts and VIX calls.

  1. VIX – Apr VIX expiry is on Wednesday morning, so Apr options dominated volume.  The Apr 13 puts, Apr 18 calls, and Apr 17 calls were the most active lines.  Total volume was about 2.5x 1 month average.  One of the largest percentage moves in VIX spot in history.  
  2. SPY – Almost 2x average options volume.  Weekly 155 puts traded almost 200k.  The 155 strike has the most open interest of nearby strikes for Friday expiry.
  3. QQQ – May 69 puts traded over 59k, mostly buyers to open.  68 is the 50 day ma, and 66.70 is the 200 day ma.
  4. S – Mostly long call and call spread sellers today, primarily in Jan14, locking in gains on Sprint’s 13% rally after the DISH bid.  There was a buyer of 45k of the May 7 calls for 0.28 midday.
  5. EA – Seller of 20k of the June 19 calls for around 0.49, likely to close.  Earnings slated for early May.
  6. VIAB – Unusually high call volume, led by a buyer of 10k of the May 70 calls this morning for around 0.70.  Possible stock replacement after the stock’s strong run.
  7. OPEN – Stock was downgraded today, and ended down 6%.  Vol screamed higher, with put buyers in the Apr 57.5 and 55 lines.
  8. JCP – Someone sold 20k of the Jan15 10 puts for 2.55, likely to close based on existing open interest.
  9. BAC – Buyer of the June 11 puts midday.  Total of 30k traded for an avg. price of 0.21.
  10. AAPL – Call to put ratio of 1.3 to 1.  Weekly 420 and 425 puts were most active.  AAPL closed right above its 52 week low at 419.