International Flavor and Fragrance shares are off 50c to $62.80 and sees notable trade as the June $65 calls trades a 13,000 contract block at the 30c bid price in what looks like an opening sale.

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

EMC shares are off 65c to $27.40 and option volume is 2x the daily average being driven by trading in the LEAPs. Notable trade in Jan 2013 sees the $30 call and $25 put each trade 5,000 contracts in what looks like sale of the strangle for a $5.05 net credit. This could have been done against the Jan 2012s in which the $28 line as both puts and calls traded a 2,500 contract block in what looks like an opening purchase of the straddle for a $5.15 net debit except the transaction were about 20 minutes apart and done on different exchanges.

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

BofA (BAC) loses 16 cents to $11.42 and the Aug 12 – 13 call spread is bought on the bank at 24 cents, 20000X. Open interest is sufficient to cover in both contracts. So, it might be closing or a roll. Or, it might be a bullish play targeting a move to $13 and beyond in BAC shares through the August expiration.

CBOE Volatility Index (.VIX) hit a morning high of 20.03 and its best levels in two months early Monday. Implied volatility is higher marketwide as anxiety levels are elevated after S&P downgraded Italy’s credit rating to negative from stable. The move adds to recent worries that the European Debt Crisis is still worsening. Stock benchmarks are sharply lower across the Euro-zone and volatility is spilling over onto Wall Street. VIX is now up 2.17, or 12.4 percent, to 19.60 and early trades in the volatility index include a1740-contract block of VIX Jul 22.5 calls at the 2.20 ask price. 12,000 calls and 3,000 puts traded in the first ten minutes of trading.

American Eagle (AEO) is down $1 to $13.62 and puts are active in the retailer after peer Aeropostale (ARO) shares lost 15 percent on an earnings miss. Gap Stores (GPS) is also reeling on earnings news. In America Eagle options action, June 14 puts are the most actives. 5,139 traded (55 percent Ask) against open interest of 5,155. Similar action in the Jun 13 puts. Jun 14 and 15 calls are busy as well. Implied volatility is tp 13 percent to 46.5, as investors now set sights on American Eagle’s May 25 (before market) earnings report.