Too Many Options: $CSCO, $EEM, $VIX and more

by Dan February 11, 2014 4:02 pm • Commentary

Here is a list of the some of the most interesting untied options activity from today:

1.  CSCO – reports fiscal Q2 results tomorrow after the close (read our preview here), the options market is implying about a 6% move which is shy of the 4 qtr avg move of about 7.75%.  Options were active today, trading about 2x the average daily volume over the last month, with puts outnumbering calls at about a 2 to 1 pace.  The 2 most active lines were the Feb 21 and 20 puts where it looks like there was a buyer of the Feb 21/20 1×2 put spread paying about btwn .08 and .10 for 25,000 by 50,000.

2. VIX – the fear index has nearly round-tripped its entire spike from the January highs in the SPX, once again sitting on 14.  A buyer of protection emerged paying .66 for 42,000 April 20/30 call spreads.

3. EEM –  saw its monthly roll down & out in puts, trader sold 125k Feb 40 Puts at 1.39 to close & Bought 125k Mar 39.50 puts for 1.54 to open when the stock was $38.72.  Given the size of the previous rolls I would expect to see another print equaling a similar size over the coming days, but prior to February expiration. And right before the close it looks like a roll down in calls where a trader sold 25,000 May 44 calls at .15 to close and bought 25,000 May 42 calls for .54 to open

4. WAG – stock surged today to new all time highs, a buyer paid .82 for 10,000 March 65 calls to open when the stock was 62.50 making the break-even up 5% in uncharted territory on March expiration.  Later in the afternoon with the stock up $1 from the prior trade, a trader sold 5,000 of the March 67.50 calls at .53, this could possibly be the prior buyer legging into a call spread.

5. HAS – stock has had a nice 10% bounce since last weeks gap lower after disappointing Q4 results.  A trader today rolled some calls up and out, selling 9k March 52.50 calls at 1.20 to close and bought 9k of the July 57.50 calls for 1.30 to open.

6. LINE – A trade rolled out and up a large put position. They sold 13,215 of the April 30 puts closing and bought 6,850 of both the July and January’15 33 puts.