Tuesday, April 26, 2011

Option Flow Recap April 26th

Macro /  Thematic

VIX saw 65% the normal volume with 165K calls and 37K puts traded.  The most active VIX options were: June 25C (19K), May 19C (16K), May 18C (13K), July 25C (10K), June 22.5C (9.5K).  The top open interest positions are: May 30C (187K), May 25C (179K), Jun 32.5C (156K), June 18P (151K), May 18P (135K).  VIX closed down 15 to 15.62.

EEM iShares MSCI Emerging Markets Indx  – 17,500 of the January 42 puts were bought for $1.89.

SLV iShares Silver Trust (ETF) – 10,000 of the May 37 / 35 1x2 put ratio spread traded at $0.03.

TLT iShares Barclays 20+ Yr Treas.Bond (ETF)  TLT May $94/$97 1x2 ratio spread. A trader sold 10,000 May $97 calls at $0.13 and bought 5,000 May $94 calls at $0.68 for a debit of $0.42 or $210,000.

UNG United States Natural Gas Fund, LP - Trader bot over 8K October 14 calls for .42


MPEL Melco Crown Entertainment Ltd  – 50,500 of the May 12 calls were bought for $0.15. The trade went up nearly the same time as a sale of 10,000 of the May 9 calls at $1.15.

CLX The Clorox Company  1500 of the May 72.5 calls were sold against a purchase of May 67.5 / 65 1 x 2 for $0.15. The bearish trade comes ahead of earnings on May 3rd.

EK Eastman Kodak Company – 10,000 EK May 3 Puts for $0.14. The puts were bought to open.

VCI Valassis Communications, Inc. – 7000 of the May 27.5 calls were bought to open today against 287,000 shares of stock at $26.12

UAL United Continental Holdings, Inc. – 8800 of the June 19 puts were bought for $0.40. The company will report earnings on Thursday morning.


TSL Trina Solar Limited (ADR) – 2000 of the June 32 calls were sold at $0.57.

Industrials / Materials

ANV Allied Nevada Gold Corp. – 2200 of the September 30 puts were bought for $1.05. Over 6000 traded on the day.

TIE Titanium Metals Corporation – 3000 of the May 21 calls were bought for $0.45.

CLF Cliffs Natural Resources Inc - traded over 13k calls in the first 2 hours of trading, above daily average of 10,000.  More than 50% of the action on the offer, as far out as the $115 strike with 4,000 trading and 3,000 at the $110 strike, pushing IV30 up 3.5% and creating a bullish IV Skew.  The action comes ahead of 4/28 after market earnings.


YHOO Yahoo! Inc.  – 25,000 of the October 15 puts were sold at $0.69 and the October 18 / 20 call spread was bought for $0.63. The position was tied to 1.05 million shares of stock at $17.25. Also the October 15 / July 19 bullish risk reversal was bought for $0.15, 21,000x. The position was tied to 1.21 million shares at $17.19.

MSFT Microsoft Corporation – Over 12,000 of the weekly (April 29) calls were bought. The put buying appears to be ahead of earnings on the 28th of April.


C Citigroup Inc. – Over 80,000 of the June 4.5 calls were sold at $0.14.


BSX Boston Scientific Corporation – 10,000 of the January 6 puts were bought for $0.39. The puts were bought to open.

NWL Newell Rubbermaid Inc. - June $20 calls trading much more than its OI of 1,351 with earnings 4/29, but ahead of Tupperware earnings tomorrow morning.  Call volume is 9X daily average with IV jumping, bending IV Skew bullishly.  Often rumored a buyout target. 

*Special thanks to Flotilla Partners, Option Radar, BMO Capital, MEB Options, 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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