Too Many Options: $VIX, $SPY, $EEM, $F, $TSLA

by Enis May 29, 2013 5:33 pm • Commentary

Macro protection and positioning dominated option volumes, particularly in the VIX.

  1. VIX – Call volumes were significantly above average, led by June call spread buyers.  Buyer of 37k of the June 20 / 25 Call Spread for 0.28 and 43k of the June 16 / 20 Call Spread for 0.65.
  2. SPY – Weekly 165 puts were the most active, trading over 100k for an average price of 0.805.  The weekly 164 puts, after yesterday’s activity, now has 350k of open interest, by far the most expiring this week.
  3. EEM – The ETF broke below its 200 day ma and closed at its lowest level in a month on heavy volume.  Dec 46 calls traded 133k at an average price of around 0.70, looks like selling to open.
  4. F – Strong breakout on a weak day for the market.  F now at 2 year highs.  The Sept 16 calls traded over 28k, mostly from a seller of 25k at 0.65 midday.
  5. TSLA – Very active again, dominated once again by weekly calls.  The weekly 115 and 110 calls both traded above 17k.  Implied vol was 1 point higher in June and July.