Friday’s Notable Options Activity: $CREE, $DAL, $GE, $VIX, $XLV

by Dan April 13, 2015 7:13 am • Commentary

Here is some generally directional, untied options activity that caught my eye during Fridays trading:

1. VIX – saw a sizable bullish roll, but with a bit of a twist. When the index was 12.87 a trader sold to close 84,000 June 20 calls at 1.10, sold to open 181,000 June 17 calls at 1.74 and bought 362,000 June 23 calls for .82 to open. The roll cost the trader $11.5 million. The trader is now apparently short 181,000 June  17 calls, and long two times the amount of June 23 calls. The two by one nature of the call spread offers the trader massive leverage to an upside spike in the VIX if it got well above the June 23 call strike, and minimal risk (about 10 cents) if below 17. Between 17 and 23 there is sizable risk on June expiration as the trader could face losses of up to 6.  VIX options are cash settled, but they can be hedged with futures, and trade a ton of volume over the counter (otc), sometimes making prints on exchanges hard to decipher as they can be a hedge against, or part of an otc trade structure.

2. CREE – looks like it saw a bullish roll. When the stock was 35.35 a trader sold to close 10,000 April 35 calls at .92 to close and bought 10,000 May 37.50 calls to open for 1.36 the company is scheduled to report earnings on April 21st

3. DAL – when the stock was trading at 43.27 a trader bought to open 10,000 Sept 50 calls for 1.80

4. XLV – saw a large bearish roll. When the healthcare select etf was 74 a trader sold to close 18,000 June 69 puts at .58 and bought to open 38,000 June 72 puts for 1.28

5. GE – saw a large bullish roll on a day the stock was up 10.5%. When the stock was $28.40 a trader sold to close 20,000 June 26 calls at 2.52 and bought to open 30,000 June 29 calls for .59