Options volumes were dominated by ETFs once again. After yesterday’s 2% decline, 10 day realized volatility in the S&P 500 index is now at 21, very close to a 2 year high:
1. SPY – Puts traded over 3 million contracts on the day (vs. 1.8 million 1 month average), and calls traded nearly 2 million (vs. 1 million average). The bulk of the activity was concentrated in October expiration. 30 day implied volatility closed at a 6 month high of 16.50. The widely watched 200 day ma is now around $190.50.
2. IYR – The REIT ETF actually closed flat on the session, the best performing sector on a very weak day. Buyer of 38k of the Dec 75 calls to open for 0.29 in the morning. IYR’s high of the year is $74.95.
3. KRE – Buyer of 37k of the Nov 32 puts for 0.25 to open, large size for an ETF in which options rarely trade. The regional bank ETF closed right at its support level for 2014:
4. XLI – Puts traded over 70k, vs. a 1 month average of 8k, dominated by outright put purchases and put rolls in the weekly and Oct18th expiries. The industrials ETF went from flat on the year to down 2% on the year with yesterday’s move.
5. AMD – The chipmaker closed at a 52 week low after the company replaced its CEO. The Jan15 4 puts traded 30k at 1.12 at the same time that the Jan15 3 puts traded 52k for 0.37, possibly a trader rolling down a put position.
6. HRB – Seller of 50k of the Jan15 32 calls for 0.50 in the morning, likely to close after those calls were purchased in the past month at prices between $1 and $2. HRB has declined more than 15% since its late August high.