Noteworthy print in the NASDAQ 100 Index. With NDX off 65.6 points to 3,983.80, the Oct 3625 – 3600 put spread on the index trades at 60 cents, 41500X. The new position appears to be a seller and stating that the NASDAQ is unlikely to drop below 3625, or another 9%, through the Oct expiration.
VIX adds 1.03 points to 17.34 as the S&P 500 drops 25 and probes session lows. Trading in the options market reflects the cautious underlying tone, as 6.7 million calls and 7.8 million puts traded across the exchanges. The total put/call ratio of 1.16 is the highest since Aug 1 (on a closing basis).
Big VIX trade this morning as an investor is possibly selling 74,380 Oct 20 calls on the index at 72 cents and buying 74,380 Nov 17 – 23 call spreads for 97 cents. The Nov 17 – 23 call spread might add to positions opened two days ago for 79 cents (see 9/24 color). Also [...]
Noteworthy trade in the VIX pit, as an investor sells 120,000 Oct 22 calls on the volatility index and bought 56,000 Nov 20 calls, for even money. The Oct 22s traded at 58-60 cents today and probably cover a position opened earlier this month for 42.5 and 45 cents (see 9/12 color). VIX is up [...]
292,000 calls and 52,000 puts traded in the VIX pit, with a three-way spread driving 40% of today’s volume. One player is apparently selling 45,792 Oct 17 calls on VIX at 91 cents to buy 45,972 Nov 17 – 23 call spreads for 79 cents. If so, it might roll positions opened on 9/12 when [...]
Massive spread in CBOE VIX calls rolls position opened a month ago. Initiator paid 6cents for the Nov 20 – Oct 16 call spread (buying Novembers) 178,000x. Nov 20s open and Oct 16s appear to close a trade from Aug 19 when a trader sold the Oct 16 Jan 20 call spread in similar size [...]
Heavy trading in the VIX pit as the index drops 8.6% to 12.92 on the last day to trade Sept options. 648,000 calls and 356,000 puts traded on the “fear gauge”, with nearly half (47%) of the flow in the expiring September term. Sep 13 puts and 15 calls are the most actives. The August [...]
VIX Oct 22 calls are today’s most active options contract. One player was paying 42.5 and 45 cents for large blocks this morning. A total of 138,606 traded on the day against 121,800 in open interest. There’s a lot of open interest in upside VIX Sep calls that expire in four days, including nearly 300,000 [...]
Put spread in the Russell 2000 Index. RUT is down 12.7 points to 1152.40 and the Sep 1090 – 1100 ps on the index is sold at 15 cents, 26415X. The opening position is expressing the view that the Russell is unlikely to drop by more than 52.4 points, or 4.5%, to less than 1,100 [...]
Overall, very light volumes again today. Average daily volume this week has less than 12 million contracts and well below the one-month average of 15.3 million. VIX volume is less than 200K today and trading has been quiet in the VIX pit through out the week, with the index pinned near 12. However, over the [...]