SPY was within 50 cents of the April low at yesterday’s low, before staging a big rally in the afternoon to close down less than 1%. Volume was the highest since 2011, but back then, the ETF was 30% lower, so the notional volume yesterday was extremely elevated. VIX spot touched 30 for the first time since December 2011.
1. SPY – Once again, SPY options volumes dominated. Puts traded over 5 million the session, a high for the year, and calls traded over 2 million. The Oct18th 185 puts traded over 240k, and the Nov 180, Nov 150, and Nov 185 puts were the next 3 most active lines. The next two big support levels on the downside are $181 and $174.
2. VIX – VIX calls traded over 1.2 million in total (2x the 1 month average), vs. about 600k puts (3x the 1 month average). The Oct 27 calls traded over 100k on the session. VIX spot closed at 26.25, while the Oct VIX future closed at 23.95, so there is still a couple of points of difference with Oct expiry next Wednesday.
3. IWM – Interestingly, calls traded almost as actively as puts, with 800k calls trading vs. about 1.05 million puts. IWM closed in the green and outperformed throughout the session. The Nov 100 put traded over 85k, and the Oct18th 104 put traded over 70k on the day.
4. AAPL – 30 day implied volatility in AAPL hit its highest level of 2014:
Weekly options were very active, and total volume was about 1.7x the 1 month average. Outside of weekly options, the Jan15 100 calls traded over 20k. AAPL closed at its lowest level in 2 months ahead of today’s media event.
5. KKR – Buyer of around 33k of the Dec 21 calls for an average price of 0.327 in the afternoon. KKR touched a new 52 week low yesterday before bouncing.
6. BWP – The Jan15 15/17.5 call spread traded 30k times at 0.67 in the afternoon. BWP has come under pressure along with the pipeline sector overall, and the stock touched $15 for the first time since April.