SPY options dominated volumes yesterday. The top 6 lines were all SPY puts, as investors reached for protection after the second 1%+ down day in the index in the past week.
1. SPY – The index closed firmly below its 100 day moving average for the first time since April (the S&P 500 has closed below the 100 day ma on only 10 days since the start of 2013). Puts traded over 3 million on the session (vs. 1.5 million 1 month average). Outside of October, the most active line was the Nov 195 put, which traded over 80k at an average price of 4.18.
30 day implied volatility in SPY closed near 15, and its 2 year high is around 18.50:
2. EWZ – EWZ has declined nearly 25% in the past month, an incredibly steep decline for a country ETF. Both Brazilian stocks and the Brazilian Real have been in a straight line lower since the start of September. The Dec/Jan15 50 call calendar traded around 50k times for 0.04 midday. EWZ’s 5 year low is $38 from February.
3. FXI – Puts traded over 240k, vs. the 1 month average of 72k. The weekly 37.50 put was the most active line, trading over 35k at an average price of 0.16. Trader likely bought that put in case the situation in Hong Kong heats up today and tomorrow. FXI closed at its lowest level since June yesterday.
4. KMI – Looks like a trader bought the Jan15 37.5 / 40 1×2 call spread, as the Jan15 37.5 call was bought 25k times for 1.88, and the Jan15 40 call was sold 50k times at 0.85, which would be 0.18 net for the 1×2 call spread. KMI has traded between $37.35 and $42.49 since the company consolidation was announced.
5. RIG – The Nov 35 puts traded 20k at 3.89, and the Nov 27 puts traded 23k for 0.40, possibly a put spread sale to open. In the afternoon, there was a buyer of 10k of the Jan15 28 puts to open for 0.99. RIG closed at another multiyear low yesterday.
6. MU – Micron stock has remained very resilient, even in the face of the recent selloff. The stock is still up 54% year-to-date. One large put buyer yesterday, paying 3.875 for 19k of the Jan16 30 puts to open. MU has traded in a $30-$35 range since mid-June.