Too Many Options: $VIX, $SPY, $XLE, $XLF, $EEM

by Enis August 1, 2014 6:53 am • Commentary

Options volumes were dominated by the macro ETFs as the VIX touched 17 for the first time since mid-April.  CBOE composite put/call ratio closed near 1, relatively tame compared to the large move in the indices.

1.  VIX – VIX calls traded over 1 million on the session.  Dan laid out the trade on Fast Money yesterday where the buyer paid 0.69 for 90k of the Nov 21 / 30 call spread.  That was the largest trade of the session in the VIX.  August calls were also very active, and 30 day implied volatility in the VIX moved to 103 on the back of all of the call buying, which is the highest level for VIX implied volatility since early February.

2.  SPY – SPY closed below its 50 day moving average for the first time since mid-April.  Puts were about 2.5x as active as calls, with the bulk of the volume focused on August expiration (both weekly and Aug16th).  Outside of August, the biggest traded was a buyer of 90k of the Dec20th 155 puts for 0.64 in the morning.  Those puts closed at 0.80 by the close.

3.  XLE – XLE closed below its 50 day moving average for the first time since February. 78k of the Sept 98 puts traded at 2.80 and 78k of the Oct 95 puts traded for 2.20, looks like a trader rolling down a long put position from September to October.  The $90-$92 area is the key to watch on the downside, as $91.42 was the prior all-time high from May 2008.

4.  XLF – Put volumes have been heavy all week, and yesterday was no exception.  Looks like a buyer of the Aug/Sept 21 put spread, selling Aug to close and buying Sept to open, paying .13 for 34k.  XLF’s unchanged mark on the year is $21.86.  

5.  EEM – EEM was rejected at the crucial $45 resistance level this week (see last week’s CotD for the full story).  The ETF touched its 50 day ma for the first time since March.  Buyer of 50k of the Jan15 41/36 put spread for 1.10 midday.  EEM is still up 5.7% year-to-date.