Tuesday’s Notable Options Activity: $VIX, $PBR, $BWP, $SDRL, $SPLS

by Enis December 3, 2014 6:30 am • Commentary

The S&P 500 index closed up 0.64% yesterday, the largest one-day percentage gain since Oct. 31st.  Interestingly for an up day, the CBOE composite put/call ratio closed at 1.13, its highest level since Oct. 22nd.

1.  VIX – The put/call ratio for the VIX closed at 1.67, its highest level in more than a year.  The main driver for the skewed ratio was the large buying in the Dec 12.5 put line, which was bought 100k times for 0.13 in the morning, and traded over 180k at an average price of 0.12.  The last VIX settlement below 12.50 was in August.  VIX settlement has been between 11 and 16 in every month in 2014 (see the CBOE site for all VIX settlement values).

2.  PBR – Petrobras made a new 10 year closing low.  Despite the weakness, there was one large put seller, selling 50k of the July 8 puts at 0.83 to open.  PBR has not traded below $8 since 2004.

3.  BWP – Trader rolled a call position, selling 83k of the Jan15 17.5 calls at 0.50 to buy 86k of the March 17 calls for 1.60 to open.  BWP is still down 35% year-to-date after unexpectedly cutting its distribution in February.

4.  SDRL – Seadrill has declined for each of the past 6 trading sessions, and is down nearly 40% in that period.  Offshore drilling is one of the worst performing sectors globally in 2014.  Bullish risk reversal traded in the afternoon, however, with the trader selling around 32k of the Jan15 11 puts at 0.25 to buy around 28k of the Jan15 17 calls for 0.25, both to open.

5.  SPLS – Buyer of 15k of the June 13 calls for 1.75 midday.  The break-even on that trade is $14.75.  SPLS last traded above that level in January 2014.  The stock has traded between $10.57 and $17.30 since May 2011.