Macro ETFs comprised the vast majority of options volume on Thursday, as yesterday’s decline was only the 5th drop of over 1.5% in the S&P 500 index in 2014.
1. VIX – VIX spot closed above 15 for the first time since early August. The Oct 22 calls traded nearly 200k on the session at an average price of 0.576. 30 day implied volatility in the VIX rose to 98, which is near the early August high of 106. VIX spot has not moved above 23 since June 2012.
2. SPY – Puts were very active (9 of the top 10 most traded lines were puts). Aside from short-dated September puts, the Oct18th 195 put was the most active line, trading over 70k at an average price of 1.89. SPY closed below its 50 day ma for the first time since mid-August. The 100 day ma is around $195.50, and the 200 day ma is around $190. SPY has not touched its 200 day ma since November 2012.
3. IWM – IWM options traded about 1.75x the average 1 month volume. The ETF was able to close above the critical $110 support level. The Oct18th 109 put was the most active line, trading over 78k at an average price of 1.63. The $107-$110 area is a key area to watch in IWM:
4. AAPL – Stock closed below its 50 day moving average for the first time since April. Volume has picked up in September ever since the highly anticipated iPhone 6 event (AAPL is on track for its highest volume month since January). Puts traded over 2x the 1 month average (vs. the calls trading 1.5x the 1 month average). 30 day implied volatility in AAPL rose above 28 – its 1 year high is around 34. Dan currently has this open trade in AAPL.
5. INTC – Buyer of 25k of the Jan15 32 / 28 put spread for $0.74 to open, likely the same trader who bought 25k of the same put spread for 0.65 on Tuesday, detailed here. INTC, like AAAPL, closed below its 50 day moving average for the first time since the spring (was May for INTC). AAPL, MSFT, INTC, FB, and GILD have been the mega cap leaders in the Nasdaq in 2014, so their price action is particularly important to watch.
6. ADSK – Two prints around 17k, possibly a spread. The Oct 57.5 calls traded around 17k for 1.15, while the Oct 65 calls traded around 17k at 0.19. There is a highly anticipated analyst day in ADSK on Oct 1st. The stock’s all-time high is $58.68 from February.