Tuesday’s Notable Options Activity: $SPY, $VIX, $PBR, $AAL, $MU, $AMJ

by Enis October 15, 2014 8:05 am • Commentary

SPY options and VIX options dominated volumes once again, though the CBOE put/call ratio fell back down to 1.05 from Friday’s 5 year high of 1.54.

1.  SPY – The S&P 500 found intraday resistance near 1900, and that will be an important spot to watch going forward.  The Oct 190 puts were the most active line, trading over 280k on the session.  Buyer of 105k of the Nov 160/150 put spread for 0.27 was also a large trade.

2.  VIX – Trader sold 146,000 of the Nov 20 calls at 2.55 to close in the morning.  That call was initially opened for 0.83, so that’s a large profit on either a hedge or a speculative position.  VIX futures were weak for most of the session after that sale, but found a bid into the close for the 4th straight day.  VIX implied volatility is trading near a 5 year high:

VIX 30 day implied volatility, courtesy of Bloomberg
VIX 30 day implied volatility, courtesy of Bloomberg

3.  PBR – PBR remains very volatile, with 10 day realized volatility near 100.  Buyer of around 35k of the Nov 20/22 call spread for 0.60.  PBR and EWZ options have been very active in the past month on election speculation in Brazil.

4.  AAL – The stock bounced 10% after selling off hard on Ebola affecting travel in the past week.  Buyer of around 16k of the Nov 38 call for 0.45 in the morning.  AAL was last trading above $38 in early September.

5.  MU – MU touched its 200 day ma in the past week for the first time since late 2012.  Buyer of 6500 x 13000 of the Jan15 31/37 1×2 call spread for $0.79, looking for a cheap way to add leverage to the upside on a bounce.

6.  AMJ – The MLP index neared a 1 year low, as the AMJ chart illustrates the concept of escalator up / elevator down:

AMJ daily chart, courtesy of Bloomberg
AMJ daily chart, courtesy of Bloomberg

Trader rolled down put protection, selling around 7500 of the Nov 48 puts at 3.60 to close to buy around 15k of the Nov 44 puts for 1.95 to open.