Friday’s Notable Options Activity: $VIX, $EEM, $S, $AMAT, $ODP, $SPLS, $SLB, $EBAY

by Enis September 15, 2014 6:13 am • Commentary

Options traders were looking for portfolio protection on Friday, with macro ETFs the most active in the options market.

1.  VIX – The Oct 22 calls traded over 130k on the session at an average price of $0.445, mostly buyer initiated in the morning.  VIX spot has not spent any time above 22 since 2012.  We have an open VIX structure for Sept expiration, expiring on Wednesday morning.  We detailed our thoughts on that position in Thursday’s COO post.

2.  EEM – EEM’s breakout to a 3 year high looks like a failure after last week’s weakness:

EEM daily chart, courtesy of Bloomberg
EEM daily chart, courtesy of Bloomberg

Put options were active throughout the past few days.  There was a buyer of 70k of the Sept20th 44/43 put spread paying $0.36 on Friday, in what looks like a trader rolling up protection from the 43 to the 44 put strike.

3.  S – The Sept20th 6 calls traded over 40k at an average price of $1.02.  Sprint touched $7 for the first time since its withdrawal from trying to buy T-Mobile USA.  $7.28 is the early August gap that is still unfilled.

4.  AMAT – Big call roll in AMAT.  Trader sold 35k of the Jan15 22 calls at 1.705 to buy 35k of the Apr15 23 calls for 1.755, paying $0.05 for the roll out and up.  AMAT has been unable to get above the July high of $23.46 in the past couple of months.  The next earnings report is in mid-November.

5.  ODP – Trader sold 25k of the Oct 5.5 puts at 0.15 to buy 25k of the Oct 6 calls for 0.20, paying 0.05 for the risk reversal to open.  ODP has encountered resistance near $6 for the past 4 years, though the stock did close at a 52 week high on Friday.

6.  SPLS – Another office supplies store with active options activity.  The Dec 14 calls traded over 18k on the session at an average price of $0.344, mostly buyer initiated.  SPLS has encountered resistance near $13 in the past couple of weeks.  We sold our long call position for a profit nearly two weeks ago.

7.  SLB – Buyer of 9k of the Sept20th 103 puts for 1.02 to open in the morning.  SLB closed at a 3 month low on Friday and is only 3% from its rising 200 day ma, which is around $99.30.

8.  EBAY – Calls traded over 5x the 1 month average.  The Oct 52.5, Oct 55, and Jan15 60 call lines all had over 10k of volume.  30 day implied volatility jumped from 23 to 28 as the rumor mill was in full force.  Dan initiated a new trade on Friday in EBAY amidst the activity.