Largest volume day in the SPY since August 1st. Options volumes picked up across the board as well, as 10 day realized volatility in the S&P 500 index closed the day near 18, not far from the 2 year high of 21.50.
1. SPY – Options traded about 1.5x the average one month volume, with the put/call ratio of 1.6 slightly below the average of 1.8. Weekly options were by far the most active, but outside of October, the most active line was the Nov22nd 190 put, which traded over 50k at an average price of $2.51, mostly buying to open.
2. IWM – IWM made an intraday low that was nearly its lowest level in a year, then bounced back above the key $107 level. $110 is the big spot on the upside. Calls traded nearly as actively as puts (put/call ratio was only 1.15, vs. average of 1.9), with the Oct18th 110 calls trading over 80k on the session.
3. RSX – Puts were very active. One trader rolled the Oct10th 22 puts down to the Oct24th 21.5 puts for even money in the morning, 42k times. Separately, someone bought over 25k of the Nov 15 puts for 0.05 to open. The low of the year in RSX is $20.86.
4. GM – Buyer of 16,500 x 33,000 of the Jan15 34 / 37 1×2 call spread for 0.23. GM bounced intraday after touching its lowest level since May 2013. GM traded in the $34 – $40 range for much of 2014 before the recent break lower.
5. BWP – The Mar 17 / 19 call spread traded 28k for 0.90. Stock closed at its lowest level since June yesterday, even with the broader market strength.
6. DOW – The Nov 50 calls traded over 23k on the session at an average price of $1.45, mostly buyer initiated throughout the day. 30 day implied vol jumped to 26, close to the 1 year high of 30. DOW touched its 200 day moving average for the second time in the past week, but has not closed more than 5% below it since 2012.
7. DAL – Airlines remained very weak as Ebola concerns continue to be an overhang for travel-related stocks (see our MorningWord post from Tuesday morning). The Nov 30 puts traded over 20k at an average price of 0.60. DAL is trading below its 200 day ma for the first time since 2012.
8. SLB – Seller of over 18k of the Feb 115 calls at 0.94 in the afternoon. SLB touched a 6 month low yesterday before bouncing, and last traded above $115 in July.