Midday Unusual Options Activity Update: VIX, ARNA, EFA, XRT, EA, XLB, XLI
Implied Volatility Mover
CBOE Volatility Index (VIX) rallies to recapture the 20 ìpsycheî level Tuesday. The marketís ìfear gaugeî is up 1.41 to 20.35 and has now rallied more than 25 percent over the past eight trading days. Not everyone seems convinced the gains can last, however, as May 17, 18 and 19 puts are the most actives in VIX Tuesday. May options on VIX expire one week from today. So some of the activity is possibly closing or offsetting trades. Total volume in the VIX pit through midday is 133,000 calls and 96,000 puts.
Volume Signals
Arena Pharmaceuticals (ARNA) options volume is running 4.5X the (22-day) average, with 140,000 contracts traded and call volume accounting for 61 percent of the volume.
iShares MSCI Europe, Asia, Far East Fund (EFA) options volume is 2X the average daily, with 134,000 contracts traded and put volume representing for 78 percent of the activity.
SPDR Retail Trust (XRT) options volume is running 3.5X the average daily, with 92,000 contracts traded and put volume accounting for 94 percent of the activity.
Increasing options activity is also being seen in Electronic Arts (EA), SPDR Basic Materials (XLB), and SPDR Industrials (XLI).
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