SPY options volumes were very active on Friday as implied volatility spiked in the last few hours of the session. 30 day implied volatility in SPY is now right at the 2 year high from the fiscal cliff in Dec 2012:
1. SPY – Puts traded more than 2x as actively as calls. The Oct18th 190 puts were the most active line, trading over 280k at an average price of 1.47 on the session. Outside of October, the most active line was the Nov 150 puts, which traded 73k for 0.12 midday. SPY closed right at its 200 day moving average, and has not closed below it since November 2012.
2. VIX – VIX options traded nearly twice the 1 month average. The Oct 25 calls and the Oct 15 puts were the most active lines. Implied volatility of VIX options hit a 2 year high on Friday:
3. INTC – Chip stocks were hit hard on Friday, and INTC closed down 5% at its lowest level since its July earnings gap higher. The Oct18th 33 call was the most active line, trading around 30k at an average price of 0.60 ahead of INTC’s earnings tomorrow afternoon.
4. MU – Micron closed at its lowest level since May, and right on its 200 day ma for the first time since late 2012. Calls were actually more active than puts despite the weakness, with the Jan15 27 and Jan15 28 calls trading over 25k on the session.
5. DAN – The industrial parts maker’s stock hit a 52 week low on Friday. However, there was a buyer of 20k of the Nov 18 calls for 1.30 to open. The stock reports earnings in late October.
6. LEN – There was a bullish roll in the afternoon. Trader sold 30,000 of the Nov 42 calls at 0.44 to close, and bought 30,000 of the Jan15 42 calls for 1.44 to open. LEN has held up well compared to the rest of the sector, as XHB hit a new 52 week low on Friday.
7. CVX – Buyer of 12,500 of the Nov 105 puts for 1.24 in the morning. CVX has not traded below $125 since December 2012. $110 is the important near-term support level in the stock.