Too Many Options: $SPY, $XRT, $F, $ARCP, $BCOR

by Enis August 11, 2014 6:15 am • Commentary

Realized volatility in the S&P 500 index continues to pick up, with 10 day realized volatility only 4 points away from the 1 year high:

SPX 10 day realized volatility, Courtesy of Bloomberg
SPX 10 day realized volatility, Courtesy of Bloomberg

SPY options were active again, while the rest of the options market was relatively quiet.

1.  SPY – The Dec 155 puts traded 75k at 0.91 in the morning, possibly to close.  That line had over 200k of open interest, mostly built up over the last 2 months.  The Aug16th 193 calls and the Aug16th 191 puts also both traded over 75k on the session.  SPY closed higher on the week, and above the 5 day moving average (now around $192.50) for the first time since July 25th.

2.  XRT – Trader looks to have rolled the Aug16th 82 puts down to the Sept 80 puts, 20k times, paying 0.49 to buy the Sept 80 puts and sell the Aug16th 82 puts.  XRT remains down 3.25% year-to-date even with Friday’s rally, though the retail sector has outperformed in the past 2 weeks as some of the beaten up names rally.

3.  F – The Jan16 20 calls traded 16k for 0.85 and the Jan16 22 calls traded 12k for 0.53, both shortly after noon.  F has not traded above $20 since 2001, and the stock’s high for the year is $18.12.  Short term implied volatility looks relatively cheap given the recent volatility in the stock, as 10 day realized vol is now at 22.50, vs. 30 day implied vol around 19.75.

4.  ARCP – Buyer of 14,500 of the Jan15 12.5 calls for 0.80 in the morning.  That line has over 200k of open interest, most of it built up between late May and early July.  ARCP is up 1% year-to-date.

5.  BCOR – Blucora has had a rough 2014, down 46% year-to-date.  The stock hit a new 52 week low on Friday after disappointing guidance for Q3 even though Q2 earnings beat estimates.  The Sept 15 puts traded over 15k at 0.40 to open in the afternoon.