SPDR Oil Exploration and Production Fund (XOP), which holds shares of major oil companies like Chevron, Conoco and Exxon, is down $2.56 to $57.92 and puts on the ETF are seeing interest for a second day. Shares are under pressure following an impressive slide in oil prices today. Crude is down $5.11 to $98.98 per barrel on bearish weekly inventory data and a rebound in the buck. Yesterday, some investors were buying XOP Dec 56 puts (see 5/10 color). Today, the focus has shifted to the Sep 47 puts. 22,130 traded and 100 percent traded at the ask. Also of note in XOP today: a Dec 59 – 62 strangle, bought-to-open at $9.90 per contract, 8500X. Implied volatility in the ETF has jumped 15 percent to 32.

*Scanning all single-stocks subject to 2500 contracts minimum call or put volume

Level 3 (LVLT) shares notch a new 52-week high of $1.93 today. The stock is up a dime to $1.89 and in the mist of a four-day 19 percent run higher. The stock’s upward trajectory has caught the attention of players in the options market. 9,130 calls and 900 puts traded in the Broomfield, CO communication services company. January 2013 $2 calls are the most actives. 1,570 traded (93 percent Ask). Jun 1.5, jun 2, Sep 1.5, and Sep 2 calls are seeing similar action. Shares are up today after HBO selected the company to deliver network services for the HBO GO Mobile app.

*Scanning all single-stocks subject to 2500 contracts minimum call or put volume

45,000 calls and 25,000 puts traded in Macy’s so far today. Shares are up $2.33 to $28.66 after the retailer reported quarterly earnings of 30 cents per share, which was 11 cents better than Street estimates. Macy’s also raised full year guidance and announced plans to increase its dividend. Shares are up and the top options trade is a Jun 23 – 37 strangle, apparently bought at $1.87. It was tied to 670K shares and likely closes a position opened last week when the same strangle was sold at 79 cents, 10000X (see 5/4 color). While the strategist is taking a loss on the strangle, they’re likely banking a larger profit on the stock position after today’s post earnings rally in Macy’s shares.

CBOE Volatility Index (.VIX) is up .36 to 16.27 today, but down 11.6 percent on the week. In options action yesterday, a noteworthy spread was a May 21 – 25 (1X2) call ratio at a nickel, 25000X in midday action (bought 25,000 VIX May 21 calls, sold 50,000 May 25 calls). The position, which appears opening, seems to be targeting a sizable move in the VIX, towards 25, in the very near future. VIX May options expire a week from today.