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

A significant number of options on the volatility index are expiring worthless after the index settled at 21.36 for the Dec expiration and below today’s lowest reading in the spot index, which is 21.87. VIX settled 36 percent below the levels seen at the previous expiration, when the settlement value was 33.36. The largest open interest position in the index heading into the expiration was VIX Dec 20 puts. OI is 166,600. Upside Dec 35, 40, and 45 are among the largest positions as well. The settlement of VIX, which is computed using implied volatility in the options on the SPX rather than the spot index itself, might be one factor driving the unusual behavior of the index today. The market’s “fear gauge” is down .55 points to 22.67 and falling to multi-month lows, even as the S&P 500 is down 7 points on the session.

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

CVS touches a new 52-week high today and is up a dime to $39.90. The top options trade on the stock is a 14,200-contract block of Jan 40 calls, bought for $1.24 per contract on CBOE. It’s possibly closing, as the contract is now at-the-money and has 43,136 in open interest, which is the largest position in the name. 16,800 now traded. Or, it might be a bullish play on CVS the day after the company backed its guidance and announced plans to raise its dividend. Shares rallied 8.8 percent on the news yesterday.