Realized volatility remains elevated in the S&P 500 index, as it has moved more than 0.5% in either direction on 10 of the last 12 days.
1. YHOO – YHOO gapped higher after a strong earnings report, and options volumes were nearly 2x the 1 month average. Buyer of 10k of the Jan15 45 / 50 call spread for 1.13 in the morning. YHOO’s 10 year high is $44 from September. The stock has not traded above $45 since October 2000.
2. GLW – Saw some call buying yesterday. Trader paid 0.
3. LUV – Buyer of 12k of the Nov 37 / 39 call spreads for $0.47 throughout the session. LUV has had an incredible run in the past year, on track to advance for the 14th straight month, nearly tripling in that period. The stock’s all-time high is $35.49 from September. The stock beat earnings this morning, so it might test that high.
4. DOW – DOW reversed lower after a large gap up on earnings, getting rejected at the critical $50 resistance level in the morning. Interesting 3-way trade, looks like profit taking combined with a roll. Trader took off 20k of the Nov 43 / 49 risk reversals, buying back put to close, and selling call to close, collecting a $1.48 credit. That trade was put on October 16th for around even. The trader looks to have taken $1.08 of that profit to buy 20k of the Nov 51 calls, leaving a bullish position in DOW, but with limited risk, and a profit of $0.40 in the pocket.
5. HYG – HYG reversed after 6 straight days in the green. The Nov 93 calls and the Dec 92 calls both traded over 10k on the session.