At-the-Money Puts Active on High Yield Bonds (JNK)

Shares of the SPDR Barclays Capital High Yield Bond Fund (JNK) are relatively flat on the session, off just 0.10% to $40.15, but downside puts are in play today.

The vast majority of the action is coming in December, where the $40.00 put was purchased 2,393 times, near the offer, for $0.80. Roughly 30 minutes later, another block of 2,000 puts was purchased, near the offer, for $0.80. In both cases the bid/ask spread was $0.70/0.85 at the time of trade.

With current open interest on the strike of only 1,766 contracts, this is clearly new positioning.

Given the proximity to the spot price, as well as the major run the fund has seen over the past four months (+9% since mid-May), it is possible that this is protective positioning on a long position.

Implied volatility is bumping up slightly today, +3.3%, to 7.48%; historical volatility remains in check, at 6.19%.

The SPDR Barclays Capital High Yield Bond Fund seeks to provide investment results that before fees and expenses correspond generally to the price and yield performance of an index that tracks the US high yield corporate bond market. 

About Michael Zerinskas

Originally from Chicago, Michael J. Zerinskas began his career as an intern for a small high-frequency trading firm based at the CME; he then moved on to become Chief Options Strategist at Benzinga.com. Michael is now Unusual Activity Editor at The Options Insider, specializing in VIX, volatility, and flagging unusual activity.