Options volumes were dominated by hedging activity. The CBOE put/call ratio rose to a 1 year high. Here is the 2 year chart:
Single stock option volumes were relatively quiet compared to ETFs.
- SPY – Very heavy SPY option volume, concentrated in June ahead of tomorrow’s expiration, with the weekly 160 put the most active line. However, the July 160 put also traded over 200k, and implied vol was 4 points higher in July.
- VIX – Closed above 20 for the first time in 2013. The Jul 15 puts traded over 90k, looks like buying to close, while the Jul 20 calls traded over 50k.
- EEM – Aug 38/ Sep 39.50 Put Spread trades 100,000x at 1.24, looks like a roll down, sold Sep to Close and bought Aug to Open. EEM hit its lowest level since Nov. 2011.
- XLF – July 19 puts (the line that Dan is long), were bought aggressively this morning, and traded over 250k at an average price of 0.37
- XLB – July 34 puts traded 130k for an average price of 0.144 this morning. That’s a form of crash protection for July, bought to open.