Call Volume Explodes on the XLF

Options Unusual Activity

Posted September 14th, 2012 by The Options Insider in Unusual Activity

Shares of the Financial Select Sector SPDR Fund (XLF) are moving higher this morning. Currently, the ETF is up 1.21%, trading at $16.34. After a historic move from the Federal Reserve yesterday and a subsequently historic rally, options traders are after upside calls en masse.

The heaviest action is coming on the October $16 call, where over 270,000 contracts have traded on open interest of 215,271. The orderflow has been consistent and heavy:

It started with the purchase of 42,964 Oct $16 calls, on the offer, for $0.12. This was followed by the purchase of 99,999 calls for $0.12. Finally, 100,999 calls were purchased, on the offer, for $0.12.

Overall historical volatility popped two points along with yesterday’s move, currently registering 13%. Implied vol has remained steady, at 16%. At $0.12, the Oct $16 calls traded at 17% vol.

The Financial Select Sector SPDR Fund seeks to provide investment results that before expenses correspond generally to the price and yield performance of publicly traded equity securities of companies in The Financial Select Sector Index.