Shown below is a graph of the total put/call volume on the market year-to-date.  Total option contract volume had been running north of 10 million through much of February is now down near 7 million.  Generally, trading volumes in both stocks and options has been light as investors appear to lack conviction in either direction.

2013-03-28-A

In semi stock Xilinx Inc. (XLNX), whose put options average ~1k contracts a day, an opening investor bought 13k April 37 (.33d) puts for up to $0.50 in the first couple of hours of the day. The investor, who is getting long volatility with a bearish bias, sold the equivalent of ~430k deltas and bought ~52k vega.

In Spectra Energy (SE), we have seen June 31 call buying the past two days.   Midday Tuesday, an investor bought 15k June 31 calls for $0.55 vs. selling ~790k shares of stock, and then yesterday morning 3k of the .30d calls were purchased outright for $0.50.  This could be part of a stock replacement strategy.

In the past two days, options buyers have been buying downside protection on the S&P 500 via SPY options.  Although volume was not unusual, the action was noteworthy due to the consistent April put buying.  The most active option was the April 153 (.27d) put which traded nearly 100k contracts over the course of the day for roughly $0.90.  Investors also bought ~30k April13 weekly 153 (.30d) puts, ~30k April 154 (.34d) puts, as well as ~25k April13 weekly 155 (.38d) puts in the last hour of the session.

Share This