Too Many Options: $VIX, $SPY, $UPS, $TSO, $XLP

by Enis October 4, 2013 6:31 am • Commentary

Macro-related instruments were much more active than single stocks given the increased correlation in the market on yesterday’s down day.

  1. VIX – Almost 3x the average 1 month volume.  The most active options were actually October puts.  The October 14 and October 15 puts both traded over 100k.  30 day implied vol in the VIX neared its highest level of 2013.
  2. SPY – 1.5x average 1 month volume.  The Nov 176 calls were the most active line, trading over 100k at an average price of 0.436, looks like mostly buyer initiating.
  3. UPS – For the second time in the past week, a buyer of 50k of the Jan15 110/120 call spread for 0.70 (traded 60k at 0.70 on Sept. 27th, detailed in our TMO post).
  4. TSO – Two large Jan14 call prints, both look like buys to open.  The Jan14 50 calls trade 8k at 1.88, and the Jan14 60 calls trade 33k at 0.49.  TSO’s high of the year in 2013 was 65.75 in May.
  5. XLP – Bullish risk reversal trades, as trader sold 15k of the Oct 38 puts at 0.09, 15k of the Oct 37 puts at 0.05, and buys 30k of the Oct 41 calls for 0.07, all to open (net flat premium)