Options Data Points to Biggest Bearish Bias in Years

The ISE Sentiment Index hit a record low on Monday

Sep 29, 2015 at 12:58 PM
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Amid yesterday's steep sell-off -- which sent the S&P 500 Index (SPX) and Nasdaq Composite (COMP) to levels not seen since just after the big August drop -- bearish betting ramped up on the International Securities Exchange (ISE). In fact, the ISE Sentiment Index hit a record low on Monday, while the equity-only reading touched its fifth-lowest mark since the exchange started tracking data in 2006. 

The ISE Sentiment Index is calculated by dividing calls bought to open by puts bought to open, then multiplied by 100. Yesterday's all-securities index came in at 35 -- less than half the 10-day moving average of 77, underscoring the recent ramp-up in overall put buying. The equity-only index came in at 68 -- its lowest point since Aug. 7. 

Among the names that saw notable put buying on the ISE yesterday was Apple Inc. (NASDAQ:AAPL), with roughly 12,000 contracts purchased -- the most of any stock or exchange-traded fund (ETF). Fellow blue chip Bank of America Corp (NYSE:BAC) saw the second-biggest long-put additions, with nearly 7,800 contracts bought. 

Biotechs were also popular, as the sector suffered in a big way. The iShares NASDAQ Biotechnology ETF (NASDAQ:IBB) saw close to 2,100 puts bought on the ISE yesterday, nearly triple the number of calls. Among healthcare stocks, Horizon Pharma PLC (NASDAQ:HZNP) puts bought to open roughly doubled calls on the exchange. 

So far today, Tesla Motors Inc (NASDAQ:TSLA) has seen puts more than double calls on the ISE, as traders prepare for the Model X. Nearly 900 Ambarella Inc (NASDAQ:AMBA) puts have been purchased, compared to just 113 calls, following a negative analyst note. Finally, Sirius XM Holdings Inc. (NASDAQ:SIRI) has seen 5,000 puts purchased -- and not a single call -- after rival Pandora Media Inc (NYSE:P) scored a price-target lift at Stifel.   

 

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