VIX - Options Volatility Sonar: Wednesday Recap

by: Erick McKitterick

VIX - Market Sentiment:

Wednesday S&P futures were soaring after another great quarter from Apple (NASDAQ:AAPL). Although this move was somewhat muted by the terrible durable goods order numbers coming in way below forecasts. However, overall the market looked positive and remained such moving into Wednesday trading.

The spot CBOE Volatility Index (VIX) was crushed on the open as SPX put bids just disappeared from the markets in general. Volatility ETF (NYSEARCA:VXX), 2x ETF (NASDAQ:TVIX), and alternative 2x ETF (NYSEARCA:UVXY) were slapped back down to earth dropped as one would expect as front month VIX futures were slapped hard. VIX futures are below.


May VIX futures 20.25

June VIX futures 22.15

July VIX futures 23.55


May VIX futures 19.23 (This was over 22 just this week)

June VIX futures 21.25

July VIX futures 22.70

As expressed in the sonar report treasury ETF (NYSEARCA:TLT) and 2x inverse (NYSEARCA:TBT) were moving hard after the FOMC announcement today. Although initially positive price action in TLT reversed hard after this statement was almost identical to last month. This continues to be positive for equities overall as people continue to speculate on additional accommodations from the Federal Reserve.

Options Paper:

Goodyear (NYSE:GT) is a friend of the sonar report and today it appears some players are gearing up for a run into earnings. Today 5,000 June 12 calls were bought between .50 and .55 in some rater large blocks. GT has been punished moving from the 16's down to low 10's just a few weeks ago and now it appears some bulls believe a bottom may be in. I'm more in the camp of wait and see on this one but those brave enough to do it could really get paid on this name into earnings if it continues to run. Calls outnumbered puts 12:1 on this name on more than 2.5x average daily volume.

Online gaming stock Zynga (NASDAQ:ZNGA) has been beaten down of late and today moving into earnings tomorrow recovered quite nicely. Interesting move today however was the June 11 call seller came in hot and heavy selling more than 83% of the calls out of the money on the bid. This appears to be at least one bull who is giving up the 11 strike call and could be rolling to a lower strike call. Calls outnumbered puts 4:1 on the day but on light volume in comparison to recent trading days. Selling strangles in this name could be great here as implied volatility is just 9 points off the 52 week high going into earnings.

Popular ETF's and equity names with bullish / bearish paper:

Bullish Option Flows / Percentage of Out of the Money Calls Bought On Ask:

Fairchild Semiconductor (FCS) 90% (2.5K OTM calls bought)

Corning (NYSE:GLW) 80% (I've been long this name for a very long time in pain all the way)

Emulex (NYSE:ELX) 70%


Arch Coal (ACI) 62% (Possible bounce in coal names)

Riverbed (NASDAQ:RVBD) 46% (5K OTM calls bought today possibly following Juniper (NYSE:JNPR))

Bearish Option Flows / Percentage of Out of the Money Puts Bought On Ask:

Interpublic (NYSE:IPG) 99% (Very thin name getting some put volume)

Radian (NYSE:RDN) 93% (4600 puts bought on the offer)

NII Holdings (NASDAQ:NIHD) 75%

Standard Pacific (SPF) 69%

Teva Pharma (NYSE:TEVA) 36%

Volatility ETF 35% (30K of 86K traded today were OTM puts bought on ask)

As always happy trading and stay hedged.

Remember equity insurance always looks expensive until you need it!


I am long APC, TBT, KERX, GLW, KGC

I am short: PBI, YHOO, NFLX, BIDU, SFD

I am short strangles: AAPL,

Disclaimer: The opinions in this document are for informational and educational purposes only and should not be construed as a recommendation to buy or sell the stocks mentioned or to solicit transactions or clients. Past performance of the companies discussed may not continue and the companies may not achieve the earnings growth as predicted. The information in this document is believed to be accurate, but under no circumstances should a person act upon the information contained within. I do not recommend that anyone act upon any investment information without first consulting an investment professional as to the suitability of such investments for his or her specific situation.

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