The Morgan Stanley Retail Index (.MVR) October puts were active. The index slipped 3.08 points to 147.07 following a round of mostly disappointing August sales numbers from companies in the industry. In the options market, 11,000 MVR puts and 0 calls traded on the day. Most of the day’s action was focused on the October 140, 130, and 120 puts. A total of 5,200 of the 130s, 2,500 of the 120s, and 1,500 of the 140s traded. While all of the day’s volume traded offerside, it seems likely that the activity represents the opening of a substantial butterfly spread on the index. That is, the strategist was selling two of the Octobers to create the body of the butterfly and buying the 140s and 120s to form the wings. If so, it is bearish play on the index. The strategist paid $1.10 per fly and has a possible payoff of $8.90 if the retail index closes at 130 at October expiration (43 days). The profit zone is between 121.10 and 138.10, with the debit at risk if the index fails to move into that range.