The CBOE composite put/call ratio closed at a 5 year high in the scramble for put protection:
The S&P 500, Nasdaq composite, and DJIA all closed below their 200 day moving averages yesterday.
1. SPY – 30 day implied volatility in SPY hit its highest level of the past 2 years, as options traders were aggressively buying protection into the close yesterday:
Puts traded over 4 million contracts in total, by far the most in one day in the past 2 years. Calls only traded about 1.4 million contracts in SPY. The top 10 most active lines were all puts between the 180 and 190 strikes in Oct and Nov expiries.
2. VIX – VIX spot closed at its highest level of the past 2 years. Options volumes were about twice the 1 month average. The most active lines were the Nov 18 puts and the Oct 25 calls, both trading over 50k on the session. Oct VIX expiration is next Wednesday, October 22nd.
3. XLE – A big put roll in XLE, as the energy ETF hit a new 52 week low, and is now down more than 20% from its late June high. Trader sold 53,
4. GPOR – Buyer of 22k of the Jan15 45 / 52.5 call spread for 3.30 in the morning. GPOR is now down 33% year to date. The $40 level is important long-term support.
5. YHOO – YHOO closed below its 50 day moving average for the first time since July. One trade that looked like a trader taking off a bullish ratio spread in Nov expiration – sold 15,