Here is a summary of key options movers from today's close. Two names interested us with several strikes for each.
Traders are still going crazy to buy volatility. Options volume was again led by CBOE Volatility Index (VIX) calls that saw 80,564 of the November $28 Calls (11/21/16) trade along with 77,189 of the November $30 Calls (11/21/16 Calls). The VIX closed at $17.40 and is now below $20 so this action of buying calls that are $11 to $13 out of the money perplexes me.
A move to $28-30 on the VIX would take the S&P 500 down another 5% from here. Basically back to the January low (2532) on the S&P 500 and the high on the VIX which was $50.
To reiterate from Monday, "You want to buy the VIX before it spikes above $20 and sell the calls as soon as it begins to put it lower highs"
Macy's (M) moved to $31.84 and saw aggressive put buying for November $29 Puts (11/16/18) as 90,210 puts traded and it closed at $0.84. This is not in the money until $29 and needs to close at $28.16 to break even. November $32 Puts also traded 55,265 puts for a price of $1.99. This makes a little more sense but is still very pricey. Not our favorite trade.