Midday Unusual Options Activity Update: .VIX, QCOR, TJX, GIS, DAL, BAX, TOL

Implied Volatility Mover

CBOE Volatility Index (.VIX) is down .43 to 13.75 and options on the index are actively traded. Some investors are probably rolling positions to the October term after the September contracts on the index expired this morning. The settlement for VIX Sept options is 14.03. Any call option with a strike of 14 or less is expiring in-the-money and any put with a strike of 15 or higher is also ITM. 304,000 calls and 85,000 puts have traded in the VIX pit so far today and 66 percent of the activity is in the front-month October options. Oct 24 calls, 20 calls, 16 puts, 16 calls, and 14 puts are the most actives.

Volume Signals

Questcor Pharmaceuticals (QCOR) options volume is running 22.5X the (22-day) average, with 126,000 contracts traded and put volume accounting for 57 percent of the volume..

TJX options volume is 12.5X, the average daily, with 52,000 contracts traded and call volume representing for 99 percent of the activity.

General Mills (GIS) options volume is running 4.5X the average daily, with 28,000 contracts traded and call volume accounting for 63 percent of the activity.

Increasing options activity is also being seen in Delta Airlines (DAL), Baxter (BAX), and Toll Brothers (TOL).

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