Monday, June 6, 2011

Option Flow Recap June 6th

We're getting some nice trading opportunities as options volume picks up a bit.  I hope you're trading them well.  As always let us know how we can improve the blog.  We will be implementing some suggestions we've received recently. 

Macro / Thematic

SPX – 35,000 of the July 1300 / 1290 put spread was sold at $4.25.

XLF Financial Select Sector SPDR – 35,000 of the June 15 puts appear to have been bought for $0.26.

EWI iShares MSCI Italy Index - 2k Dec 21/18 strangles for a 2.4 debit. (you can see more details here) Interesting trade looking for Italy to be the next name to get hit or expand in volatility.  Personally would look to get out of this quickly.... tick tock $480,000 on the line.  I'd be they blow out of one leg when we get more clarity and let the other leg run or adjust accordingly. 

EEM iShares MSCI Emerging Markets Indx – 30,000 of the June 45 / 49 put spread was sold at $1.38.  

VIX saw 53% the normal volume with 142K calls and 43K puts traded.  Some larger trades in the pit:
·         Buyer 10K June 22.5 calls for .375 vs 18, delta neutral
·         Seller 3K Aug 18/20 call spread at .85
The most active VIX options were: June 20C (17K), June 25C (15K), June 22.5C (15K), June 16P (12K), June 15P (11K).  The top open interest positions are: July 30C (268K), June 18P (195K), June 17P (158K), July 25C (151K), June 22.5C (150K).  VIX closed up .54 to 18.49.

Greatest increase in 30 day ATMIV vs prior session: LZ, RF, LO, AMJ, C, PDLI, EPB, NTES, SMG, AVY
Greatest decrease in 30 day ATMIV vs prior session: UTHR, YNDX, EPU, BMY, CFSG, LIFE, BRCD, CNP, ID, INCY


F Ford Motor Company – 35,000 of the January 12.5 calls were sold at $2.185, to buy 7500 January 15 calls for $0.91, 17,500 of the January 16 calls for $0.62, 35,000 of the August 15 calls for $0.35 and 10,000 of the December 15 calls for $0.82. Separately 15,000 of the August 13 / 14 1x2 ratio put spread were bought for $0.04. The trade appeared to be to open. (This is positioning ahead of investor day tomorrow)

HOG Harley-Davidson, Inc. – 4800 of the August 40 calls appeared to have been sold at $1.28.

SVU SUPERVALU INC. – 4000 of the July 8 puts were sold at $0.30. The puts were sold to open.


MRO Marathon Oil Corporation – 2300 of the July 52.5 / 55 call spreads were bought for $0.70.

NBR Nabors Industries Ltd. – 2500 of the July 30 calls were bought for $0.40. Over 14,000 calls and only 1000 of the puts traded on the day.

PPC Pilgrim's Pride Corporation – 2500 of the September 5 puts were bought for $1.275

UNG The US Natural Gas Fund LP - traded 157% the normal volume with 52K calls and 35K puts.  The most active contracts where the June 12 calls with 17K traded and 7K July 12 calls.  The majority of the contracts were executed on the offer but may be closing positions as open interest is sufficient to cover.  Volatility right now is sitting around the 36 level compared to 20 day HV at 32 and 60/120 day at about 35 on the dot.

Industrials / Materials

AWI Armstrong World Industries, Inc. – 2500 of the September 40 / 35 put spreads were bought for $1.00. The spread was bought to open.

IVN Ivanhoe Mines Ltd. – 20,000 of the June 24 calls were bought for $0.35 tied to approximately 640,000 shares of stock at $22.71.

RRD R.R. Donnelley & Sons Company – 2500 of the September 20 calls were sold at $1.10. The calls were sold to open.


EMC EMC Corporation – 13,700 of the January’13 35 calls were sold at $1.20 to buy 22,000 of the January 25 puts at $1.37.

MSFT Microsoft Corporation – 1000 of the January 24 / 25 call spread was bought for $0.45


BPOP Popular, Inc.  – 20,000 of the January 2.5 / 3.5 put spread was bought for $0.67. It appears to be a roll down in strikes.

BAC Bank of America Corporation – 10,000 of the January’13 15 calls were sold at $0.66 versus 280,000 shares of stock at $11.02


HMA Health Management Associates, Inc.  – 10,000 of the August 11 straddles were sold at $1.35. The trade appears to be to open and is tied to 28,000 shares at $10.60.

GPRO Gen-Probe Incorporated – 6100 of the August 85 calls were sold at $0.65. It is possibly a closing sale. 

*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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