Wednesday, May 18, 2011

Options Flow Recap May 18th


Macro / Thematic

XME SPDR S&P Metals and Mining (ETF) – 20,000 of the June 68 puts were bought for $1.85. It is possibly closing of the short leg of a June 68 /73 put spread that was initiated in April.

XLI Industrial SPDR (ETF) – 50,000 of the June / September 36 put spread was bought for $1.00

VIX saw 134% the normal volume with 289K calls and 179K puts traded.  Some larger trades in the pit:
·         Buyer 20K June 24 puts for 6.45
·         Buyer 10K June 19 puts for 2.20
·         Seller 5.8K June 18 straddles at 3.50
·         Buyer 5K July 21 calls for 2.175
·         Buyer 5000 Jun 30c  --- sld 5000 Jun 18 - 20 p/sprd collects 1.05 on 3-way , x=3000
·         Buyer 10,000 Jul 16 - 20 strgl ---- sld 10,000 Jun 18 strdl  collected 625



Volatility Movers
Greatest increase in 30 day ATMIV vs prior session: EXEL, MHR, RMBS, CYD, OMX, TOT, SVNT, CISG, CMED, AFFX
Greatest decrease in 30 day ATMIV vs prior session: VIX, DELL, CHS, JAG, NOG, PDLI, EDZ, AGQ, HSOL, EVEP 


Consumer

ARO Aeropostale, Inc. – 10,000 of the July 19 / 23 bullish risk reversal was bought for $0.35. The position was bought to open and tied to 545,000 shares at $21.41.

Ford Motor Company  6585 of the June 15 calls were bought for $0.47. The calls were bought to open.

HSY The Hershey Company – 2100 of the August 65 call were bought for $0.18. The calls were bought to open. Separately, another 1370 were bought for $0.20.

OMX OfficeMax Incorporated – 5500 of the August 10 calls were bought for $0.40.

SLE Sara Lee Corp. – A four way spread traded today which involved 7500 of the May 17 calls being bought for $2.47 and 2500 of the May 18 calls bought for $1.47 which both appear to be closing trades ahead of expiration on Friday. Along with the two closing transactions the investor sold 5000 of the July 16 / 19 bearish risk reversal at $0.50. This involved 5000 July 16 puts bought for $0.125 and 10,000 of the July 19 calls sold at $0.75.


Industrials / Materials

EGLE Eagle Bulk Shipping Inc. – 4500 of the June 3 puts traded at $0.20. The bearish trade shows some investors are looking for additional downside in the stock that is already down 44.6% year to date.


Energy

SM SM Energy Co. – 11,500 of the November 35 puts were bought for $0.625. The contracts are 45.5% out of the money. The bearish trade was bought to open.

WNR Western Refining, Inc. – Over 17,700 calls and only 1100 puts traded in Western Refining today. Investors appear to be speculating that there will be a deal coming soon.


Tech

DELL Dell Inc. – Options were very active today with over 82,600 calls and 47,000 puts trading on the session.

SYMC Symantec Corporation – Over 33,000 calls traded today in software security, storage and systems management company. Following the bid that McAfee received from Intel, the company is sole remaining publicly traded name in the space.

AAPL Apple - led the way with the most active option contract in the Technology Sector today and it appears traders might be closing out some of the May 340 calls they were short.  There are over 30,000 contracts outstanding in the series and 42,916 have traded with 44% executed on the ask.  The VWAP is about $1.92 and most of the trades were executed around the 19 IV level.  Going forward, 30 day IV is about 22 against historicals of: 15.68 (10d), 18.23 (20d), 17.39 (30d), 21.94 (60d).  The top positions in AAPL right now: May 350C (36K), June 320P (32K), May 340C (29K), May 360C (28K), June 330P (26K).  AAPL was also in the Goldman WOW report here and was our trade of the day here.

Financials

BAC Bank of America Corporation – 21,000 of the January 12.5 calls were bought for $0.87.


Healthcare

AET Aetna Inc.  – 5800 of the June 48 calls were sold at $0.43. The calls were sold to open.

*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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