The S&P 500 index had its first 1% move in either direction in 3 months. VIX spot had its largest one day percentage increase since April 2013. Not surprisingly, options volumes were dominated by macro ETFs and indices.
1. SPY – SPY puts traded over 2.7m on the session, more than double the 1 month average daily volume. Weekly puts and calls were the most active by far ahead of expiration today. Outside of July, the Aug 195 puts and the Aug 196 puts both traded over 60k on the session, and 30 day implied volatility increased to above 12 for the first time since early May. The 50 day ma in the SPY is around $193.60, while the all-time high is $198.29 (nearly broken twice this week, but held as resistance).
2. VIX – Calls traded nearly 1 million on the day, more than double the 1 month average. The Aug 18 calls were the most active line, trading over 75k at an average price of 0.49. Aug VIX futures, which are now the front month, rose 8% on the session, to close at 13.70. Outside of August, the Oct 18 calls were the most active line.
3. IWM – The Russell 2000 closed below its 200 day moving average for the first time since late May. The index is now down around 2% year-to-date. July puts and calls were quite active, but a longer dated collar was a notable trade – seller of 20k of the Dec 120 calls at 2.63 to buy 20k of the Dec 106 calls for 3.25, which traded in the morning. IWM’s low of the year is $107.27.
4. QQQ – Once again, puts traded double the average. Buyer of 20k of the Sept 91.63/84.63 put spread for 0.87 in the afternoon. QQQ is still nearly 3% away from its 50 day moving average, which is now around $91.90. We currently own the following trade from last week.
5. EEM – EEM fell nearly 2% in its worst day since April. The $44-$45 area remains crucial long-term resistance. The Oct 43 puts traded over 50k on the session at an average price of 1.10, mostly buying midday.
6. AAPL – By far the most active single stock options name after selling took the stock back below the $95 level. The rising 50 day moving average is now around $90.73, and has not been touched since the late April earnings gap higher. Weekly options dominated volumes (nearly twice average) ahead of today’s expiration. The $92.86 strike has the most open interest of nearby strikes expiring today ($95 is more, but now 2% away).