Tuesday’s Notable Options Activity: $SPY, $INTC, $DG, $CTXS, $CBS, $PBR

by Enis September 24, 2014 6:30 am • Commentary

The VIX jumped to its highest level in a month.  30 day implied volatility in SPY jumped  above 12 for the first time since early August:

SPY 30 day implied volatility, courtesy of Bloomberg
SPY 30 day implied volatility, courtesy of Bloomberg

Puts were more active than calls as the CBOE composite put/call ratio closed at 1.01.

1.  SPY – The most active line was the Nov 160 puts, which only offer protection nearly 20% lower in SPY, with expiration two months away.  Buyer in the morning, with over 120k trading at an average price of 0.215 throughout the session.  SPY closed just above its 50 day ma, which has not been touched since mid-August.

2.  INTC – Puts traded nearly 4x the average 1 month volume.  Buyer of 25k of the Jan15 32 / 28 put spread for 0.65 just before the closing bell, possibly rolling up protection from the 28 to the 32 strike.  INTC has not traded below $32 since its mid-July gap higher on earnings.

3.  DG – Buyer of 25k of the Nov 67.5 calls for 0.95 to open.  DG’s all-time high is $65.99 from June.  Options are expensive in DG as investors speculate about the outcome of the company’s hostile bid for FDO.

4.  CTXS – Seller of 22k of the Nov 65 puts at 0.95 to open.  CTXS has not traded below $65 since its gap higher on earnings in late July.  The stock is up 11.5% year-to-date, and reports again in late October.

5.  CBS – Buyer of 20k of the Mar 57.5 / 67.5 call spread for 2.47 to open.  CBS bounced right around the $55 support level of the past year yesterday, and is at a critical technical juncture.  The stock is down 13.7% year-to-date.  It has struggled ever since the long-anticipated spin-off of CBS Outdoor in March.

6.  PBR – Petrobras stock has declined nearly 25% since early September after a false breakout that I highlighted in a CotD post 2 weeks ago.  A few large call prints – the Nov 17 calls traded 10k for 1.50, the Nov 18 calls traded 16k for 1.18, and the Dec/Jan15 17 call calendar traded at 0.08, 15k times near the close.