E WhatsTrading Recap - 02/27/2015

The S&P 500 sees a modest breakdown heading into the final hour of trading for February 2015. Action had slowed to a crawl through midday, but a wave of selling pressure rippled through the afternoon session to send the S&P 500 to the lows of the day. It’s now off 5 to 2105.72.

There doesn’t seem to be a specific catalyst for late-day dip and the weakness might be due to some end-of-money position squaring after the S&P gained nearly 6% for February.

Indeed, Treasury bonds are little moved on mixed economic data and the yield on the benchmark ten-year remains near 2.01%. Crude gained $1.28 to $49.45 and gold added $2.5 to $1212.5.

But the weakness across the equities market is rather broad with only the SPDR Consumer Staples (XLP) names posting gains among the nine SPDR Sector ETFs. Healthcare (XLV), Financials (XLF), and Energy (XLE) are leading the retreat.

CBOE Volatility Index (VIX) is taking the events in stride and is down .12 to 13.79. For the month, the market’s “fear gauge” dropped more than 7 points, or roughly 34%.

Indeed, implied volatility is lower across much of the options market from a month ago and volumes have dropped off notably as well. Average daily volume across the options market over the past month is 15.7 million contracts, down sharply from the one-month average of 18.6 million on 1/30.

Roughly 6.9 million calls and 6.8 million puts traded across the exchanges so far today. Projected volume for the day is roughly 15.3 million.

Longer-term 2017 options on GE are the most actives du jour, as one player opened a whale of trade in the 30 – 35 call spread, 125000X.

Apple’s (AAPL) expiring Weekly (2/27) 130 calls, which have consistently topped the most active list in recent days, are the next most actives. More than 105,000 traded. With the stock dropping to $129, those calls seem poised to expire worthless.

Notable single stock flow was also seen in Bank of America (BAC) Weekly (3/13) 16.5 calls, Herbalife (HLF) Weekly (3/27) 24 puts, Sysco (SYY) Aug 41 calls.

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