Tuesday, March 29, 2011

Option Flow Recap March 29th

Thematic / Macro

SPY SPDR S&P 500 ETF – 30,000 of the September 144 calls were sold to buy 30,000 of the September 128 / 120 put spreads for $1.00. An also investor traded 10,000 of the May 131 reverse conversion for $0.04 over.

EEM iShares MSCI Emerging Markets Indx (ETF) - buyer 24,500 April 49 calls for 25 & 18,842 April 49 calls for 33

more after the jump: 


LINTA Liberty Media Corp (Interactive) – 13,900 July 15 straddles were sold at $2.00

APOL Apollo Group, Inc. – 10,000 January 50 / 65 calls were sold at $1.30

HD The Home Depot, Inc. – An investor sold 23,000 August 34 puts and bought 11,500 August 41 calls; collected $1.22 on this bullish 1x2 risk reversal.

CVS CVS Caremark Corporation – Over 8000 November 30 / 35 bullish risk reversals traded at $0.51. The November 35 calls were bought to open.

SKX Skechers USA, Inc. – 3000 of the April 21 calls were bought for $0.10. The calls were bought to open.


NBR Nabors Industries Ltd.  – 3000 of the April 31 calls were sold at $0.41

Materials / Industrials

HMY Harmony Gold Mining Co. (ADR) – 5000 August 15 calls were bought for $1.20

STLD Steel Dynamics, Inc. – 1500 August 23 calls were bought for $0.45.


Visa Inc.  – 12,000 off the April 80 calls were bought for $0.06 each to open. The contract is 10.5% out of the money with 17 days left until expiration.

SFI iStar Financial Inc. – 10,000 of the July 10 / 13 call spreads were sold at $0.40.


LSI LSI Corporation – 3000 May 7 calls were sold at $0.30. The calls were sold to open.

RAX Rackspace Hosting, Inc. - 3000 of the June 40 straddles appeared to be sold to open at $6.55

MRVL Marvell Technology Group Ltd.  – Nearly 5000 of the May 16 / 18 call spreads were bought with the investor selling 5000 of the May 14 puts for ~$0.50

Sohu.com Inc (SOHU), a Chinese Internet Company, saw relative strength and increasing options action this morning when its shares touched the 52-week high at 91.04.  Bullish flow detected with 14K calls trading, or 9 times the average daily call volume, versus 3K puts.  May 95 calls were the most active with almost 3K contracts changed hands.  April calls with strikes ranging from 80 to 95 were busy.  No news on the stock.  Other names in the space, such as BIDU, YOKU and NTES, saw strength as well.  SOHU closed up 6.49 to 89.60.

VASCO Data Security Intl Inc VDSI - a US and Zurich-based IT security and authentication provider, spiked today to its 52 week high and traded 12x usual options volume on news the company will vamp up its presence in the EMEA region by focusing on “specific needs of resellers and distributors”.   Implied volatility for 30 days jumped 21% to 52.15 compared to 30 day historical vol of 66, and 60 day of 54.55.  On a normal day, under 200 option contracts trade while today over 2K traded, the majority being calls bought-to-open.  The most active were: May 15C (342), June 7.5C (334), April 12.5C (302), May 12.5C (253), May 15P (213).  The top positions are: June 12.5C (602), Sep 10P (446), Apr 12.5C (397), Jun 10C (370), Sep 7.5P (267).  VDSI closed up $2.19 to $14.01. 


Neoprobe Corp NEOP - Ohio based biomedical company, saw unusual trading in both stock and options markets.  18K calls versus only 292 puts traded in the name, which was 24.8x the norm.  July 5 calls were the most actives, more than 10K changed hands (58% on bid / 34% on ask).  Oct 5C and Oct 2.5C saw some interest as well and most of the premium traded on ask.  The stock was upgraded by several analysts recently and the target price range is from 5.50 to 6.00.  NEOP closed up 0.20 to 4.07.

*Special thanks to MEB Options, BMO Capital, Flotilla Partners, Option Radar, LiveVolPro, CBOE, Option Monster, and all of the options desks and traders we work with to provide the option flow!

No position at this time. Position declarations are believed to be accurate at time of writing but may change at any time and without notice.

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