Wednesday, August 21, 2013

Aqumin Volatility Newsletter 08/21/2013 $K

Very Unusual Activity

While the market sits on its hands waiting for the Fed I thought I would bring up some unusual activity that I picked up in the OptionVision™ Relative Volume landscape yesterday.

Note here that the activity is in a normally quiet name Kellogg (K). It trades some but the strike activity was at 5x normal volume in the Jan 57.5 calls and 2x normal on most of the other strikes. This snap shows huge volume. The Relative Volume calculation divides the Average Daily Volume (ADV) by the number of active strikes. That adds up to a whole lot of activity as total ADV hit 45,000+ contracts yesterday. Also note that the IV change for the most part is all red. That means in a stock like K which moves about 60 cents a day paper crushed the IV (implied volatility) on all the paper sold.

8-21-2013 12-17-50 PM

Now that was very interesting since the day saw mostly higher IV in other names. The reality was a computer malfunction that sent dozens of orders cascading into the system and the contracts executed in 1000 lot sizes at a $1. It is very easy to see relative activity in the 3d environment. We’ll see if those trades will get busted or not.

OptionVision™ – data from ORATS

Read more from Andrew at Option Pit

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