A roller-coaster day for investors in Jefferies Group was reflected in the options market.
Traders dove into put options Thursday, buying puts at a 3:1 pace over calls, sending trading volume far above the open interest going into today's session.
Andrew Keene, independent trader and blogger said buyers came in on the open and scooped up thousands of December $5 puts for about $0.50.
"Volatilty exploded and then got crushed," he said, mirroring the mood swings on the stock intraday.
Fears that the same sort of sovereign debt exposure that had hit MF Global could be found in other financial firms had some raising questions about what was on the books at Jefferies.
Earlier in the Thursday session, shares of Jefferies were downgraded by credit-ratings agency Egan-Jones Ratings because of the firm's "sovereign obligations," halted twice and then verbally supported by famed analyst Meredith Whitney in a CNBC interview.
Later in the session, the stock was further supported when it was revealed via an SEC filing that Leucadia National had increased its stake in Jefferies Group by one million shares.
Jefferies' stock ended the session off just -$0.26 or, 2.12% and well off its intraday low of $9.79.
Most actively traded were the $10 puts expiring November 15th — 13,456 contracts traded vs. open interest close of business yesterday of 3,956. Volatility for at-the-money puts in November was over 128 percent at the end of trading, but had been as high as 170 percent, said Keene. For December expiration, $8 and $5 puts were most active. Jefferies does not have a weeklys contract listed.