Too Many Options: $VIX, $IWM, $EEM, $GLD, $CNX, $DHI, $NOV, $GDX

by Enis February 3, 2014 8:30 am • Commentary

Macro instruments dominated options volumes once again on Friday, and the VIX closed at its highest level since early October.

1.  VIX – Seller of 120k of the Feb 16/20 call spread at 1.10 to close early in the session.  A total of over 200k of the spread traded, with what looks like more selling in the afternoon.  Despite the selling, Feb VIX Futures closed at 17.60, their highest level since early November.

2.  IWM – Buyer of 80k x 160k of the March 113/105 1×2 put spread for 1.00 in the afternoon.  IWM’s rising 200 day moving average is at 105 (for a full index chart check, see our CotD post from Friday).  The 1×2 put spread does not lose money on the downside until 98 or lower, a level that IWM has not seen since early July.  IWM implied volatility hit its highest level since early October on Friday as well.

3.  EEM – The March 36/40 risk reversal (selling put, buying call), traded 22k times for a credit of 0.21.  EEM has not traded below 36 since October 2011, so a technically interesting spot to sell that put.

4.  GLD – The gold ETF held above its 50 day moving average, though flirted with it for the second straight day.  Buyer of 23k of the Dec20th 130 calls for 4.30 to open.  GLD has not traded above the 130 level since later October.

5.  CNX – Seller of 30k of the July 36 puts at 2.40 to open, unusually large volume for a trade in this name.  The stock ended slightly lower on Friday after a mixed earnings report.

6.  DHI – Trader rolled long calls up and out in DHI after the strong earnings report, selling 24,700 of the Feb 22 calls at 2.00 to close and buying 24,700 of the Mar 24 calls for 1.18.  DHI has not traded above 24 since June.

7.  NOV – In what looks like an overwrite, someone sold 20k of the Aug 75 calls at 4.55 to open.  The stock had its strongest volume day on Friday since February 2013 on a better-than-expected earnings report.

8.  GDX – The June 25 calls traded around 20k at an average price of $1.57.  The declining 200 day moving average in GDX comes into play right around the $25.50 level.