Options Flow Summary: General Sentiment, AAPL & August Expiry Pin Activity
Expiration Friday is always busy as traders make final position adjustments. Not surprisingly, there are plenty of adjustments to make after yesterday's volatile sell-off and recovery! With the fedís discount rate cut, the market is up, and implied volatilities have eased somewhat. The CBOE VIX peaked near 37.50 yesterday. Today, however, with the market up more than 1%, that indicator is down to 29.66.
Todayís volume wonít beat yesterdayís industry record of 23 million contracts. However, it is on pace to match recent levels near 15 million contracts. The volume is evenly split between puts and calls, compared with yesterdayís put bias of more than 13 million puts traded against 10 million calls. Directionally, option buyers are still the most active, as traders decide long gamma positions are the way to play this market for the time being.
Apple stock is near $122.60 and is leading the single stock option space for the second day. Over 300,000 contracts have traded with very few large institutional blocks. The volume is concentrated in August 120 straddle as a last minute play.
We are also seeing activity in longer dated Jan 2009 downside puts. Early this afternoon, a buyer on the CBOE paid $1.20 for 2,500 Jan09 50 puts. This was followed by another order buying 2,500 Jan09 60 puts for $2.20.
August Expiry Pin Activity
With the significant daily price swings this week, traders looking for stocks likely to pin have been watching a moving target. Going into the close, several near term expiring options have shown significant activity today:
CSCO Aug7 30 Calls volume=25,240 with 55% trading bid-side: CSCO 30.04 +0.74
CSCO Aug7 30 Puts volume=14,202 with 53% trading ask-side: CSCO 30.04 +0.74
GOOG Aug7 500 Calls volume=15,044 with 51% trading bid-side: GOOG 499.78 +8.26
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