Options Activity Points to Further Pullback in Financials Page 2
Composite S&P 500 implied volatility as measured in the CBOE Volatility Index rose 4.5% to a reading of 22.28 that still finds the index well below the erstwhile 25 line. While we've observed some interest in calls at strikes 22.50 and 25 today, possible spreads looking for range-bound activity above current levels not to exceed 25, some traders played the other side of the coin, with what looks like a diagonal calendar put spread involving the purchase of 6,000 August 20 strike puts, funded by the sale of September 19 strike puts.
Elsewhere in the September contract, however, we did note heavy buying on volume of some 18,000 lots at the September 30 strike -- the volume here matching up to more than half the open interest at this strike. Option traders are currently pricing in about a 20% chance of a new crack at 30 for the VIX by Sept. 16. This dovetails fairly neatly with the scenario posed by trades in Citigroup and Bank of America that we detailed above -- i.e., immediate downside with clear limits, deepening into the fall.
Options Odd Options Action in the Coal Sector 7/23/2008 3:07 PM EDT After a bearish put position in Peabody, we see bullish call-buying in International Coal.
At the time of publication, Darst had no positions in the stocks mentioned.
Rebecca Engmann Darst is an equity options analyst for Interactive Brokers in Greenwich, Conn., and is the author of its daily "Options and Futures Intelligence Report." Each Thursday at 6:30 a.m. EST, she delivers the early-morning lowdown on option volume and sector trends on CNBC's "Squawk Box." She also appears on BNN Canada and has been a guest on Fox News' "Your World With Neil Cavuto."
Prior to her work in the equity options market, she spent seven years in Scandinavia as a Copenhagen-based chief reporter for a European Commission news service, correspondent for Spanish daily El Mundo and Radio Netherlands, followed by stints at Nordea Bank and Saxo Bank.
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