Friday’s Notable Options Activity: $SPY, $VIX, $HYG, $JNS, $JCP, $AVP

by Enis September 29, 2014 6:39 am • Commentary

Last week was the first week since June 2013 that the S&P 500 index moved more than 0.5% in either direction on every single day.  5 day realized volatility (in orange below) is nearing 20, and 10 day realized volatility (in white below) is nearing 15, still well below the highs of the past 2 years:

SPX 5 day realized volatility (orange) and 10 day realized volatility (white), courtesy of Bloomberg
SPX 5 day realized volatility (orange) and 10 day realized volatility (white), courtesy of Bloomberg

10 day realized volatility has hardly been above 20, and 5 day realized volatility has hardly been above 25 in that period.

With the recent pickup in volatility, SPY puts and VIX calls dominated options volumes last week.

1.  SPY – Puts traded over 2 million for the second straight day (vs. the 1 month average of 1.47 million).  The Sept30th 196 puts traded over 130k, and the Oct3rd 196 puts traded over 90k.  $196.27 is last week’s low, and the more important support level is $190, near the rising 200 day moving average.

2.  VIX – Calls traded about 1.5x the 1 month average.  The Oct 20 call line was the most active, trading around 90k.  It also traded around 90k last Wednesday.  VIX spot has not touched 20 since early February.

3.  HYG – The high yield bond ETF touched a 52 week low intraday on Friday.  Some traders attributed the weakness to PIMCO selling high yield credit to raise cash ahead of anticipated outflows due to Bill Gross’ departure.  The Oct18th 92 puts were most active, trading over 20k at an average price of 1.03, mostly buyer initiated in the morning.

4.  JNS – Janus Capital rose to near a 5 year high, up 43% in a single session, after news that Bill Gross was joining the firm.  Buyer of 10k of the Oct 15/14 put spread for 0.275 near the close.  JNS closed just below its 5 year high of $16.06.

5.  JCP – JCP closed below the $10 level for the first time since the stock broke out on August 19th.  Nonetheless, calls dominated volumes.  Buyer of 12,300 of the Oct10th 10 calls for 0.26 in the afternoon.  The Oct18th 10 calls also traded over 10k on the day.  JCP is still up 8% year-to-date.

6.  AVP – Avon hit a new 10 year low on Friday, accompanied by a flurry of put buying.  The most active line was the Nov 12 put, where a buyer paid an average price of 0.48 for around 13k in the morning.