Today’s flows were dominated by macro-related instruments.
- VIX – Over 1 million VIX calls traded today, dominated by 2 structures. Buyer of 200k of the Sept 17/27 call spread for around $0.695. Likely same trader sold to close the August 18/28 call spread 100k times at $0.14. Essentially rolling VIX protection out to Sept.
- IWM – Buyer of 60k of the Sept 103 puts for $1.854 this morning. IWM has very important support around the $100 level, which coincides with the 50 day moving average.
- XLF – Right near the close, the Oct 20/18 put spread traded about 92k for $0.32, likely bought to open as protection.
- UNG – UNG is down an incredible 10 straight days. The Jan15 17 puts traded 50k at 2.80 this morning, looks like bought to open.
- GRPN – Stock reports earnings tomorrow after the close. The weekly 8.5 calls traded over 28k, and the weekly 10.5 calls and 8 puts also traded over 20k. Options are implying a move of about 17% on earnings.