Too Many Options: $VIX, $EEM, $WAG, $AAPL, $YUM, $HLF, $IP

by Enis January 10, 2014 7:20 am • Commentary

10 day realized volatility in the S&P 500 has fallen to 7 as the indices remain quiet while single stocks make the headlines to start the new year.

1.  VIX – Trader sold 107k of the Feb 13 puts at 0.25 to buy 107k of the Feb 16/20 call spread for 0.39, net debit of 0.14 on the package.  That structure is very similar to the portfolio protection trade that we outlined last month.  The VIX last registered above 17 in early October.

2.  EEM – Almost 3 times as many puts traded as calls as EEM hit its lowest level since early September.  EEM is down 5 of the first 6 trading days of 2014.  Buyer of 83k of the March 35 puts for 0.335 shortly after the open.  Dan detailed a potential protection position in EEM last Friday.

3.  WAG – Someone rolled up their long call position, selling 24,971 of the Jan15 50 calls at 11.35, and buying to open 37,500 of the Jan15 60 calls for 5.30.  WAG hit a new all-time high on Thursday on its largest volume day since July.

4.  AAPL – Weekly calls were active as AAPL closed back below its 50 day ma at 541.  The weekly 545 and 540 calls traded over 25k.  AAPL reports earnings on January 27th after the close.

5.  YUM – Stock down 2% after Morgan Stanley downgrade.  Trader sold 39 of the Jan18th 65 puts at 0.04 to close, bought 23k of the Feb 67.5 puts for 0.69 to open.

6.  HLF – 25k of the Jan15 50 puts trade at 7.25 in the afternoon.  Break-even on those puts are 42.50 about a year from now.  Bill Ackman has already outlined his long put position, so could possibly be related to either a bank hedging that risk or someone else getting involved as well.  Meanwhile, 15k of the Aug 110 calls traded for 4.40 separately as well.

7.  IP – The Jan18th 50 calls traded around 20k at 0.17 shortly after the open.  IP has not traded above $50 except for 2 days in late July, and has not closed above that level since the year 2000.