Wednesday, June 8, 2011

Options Flow Recap June 8th

Macro / Thematic

SMH Semiconductor HOLDRs (ETF) – 14,900 of the July 33 puts at $0.77 appeared to have been sold.

IWM iShares Russell 2000 Index (ETF)  13,500 September 60 puts were bought for $0.38.

FXI iShares FTSE/Xinhua China 25 Index (ETF) - 1013 July 47 puts trade on the offer for 4.30, opening 80 delta

XHB SPDR S&P Homebuilders - traded 2.5 times its usual volume with 18K calls versus 7K puts.  Price of Jan12 16 calls kept dropping as shares kept sliding.  A block of 35K XHB Jan 16 calls was sold yesterday at $2.36 and open interest declined by 32,543 contracts to 18,313.  Another 12,300 contracts were sold at $2.10 per contract today.  It seems today’s flow close out most of the remaining open interest, as the contract is still $1.23 in-the-money despite the recent losses in the housing sector.   XHB closed down .27 to 17.20.

VIX saw 126% the normal volume with 349K calls and 72K puts traded.  Some larger trades in the pit:
·         Buyer 71K July 35 calls for .325
·         Buyer 12K June 21/July 30 call spread for .15
·         Buyer 3K June 20/21 call spread for .125

Greatest increase in 30 day ATMIV vs prior session: SPWRB, SPWRA, VRGY, RENN, MTG, MNTA, CPKI, JKS, TSL, MW
Greatest decrease in 30 day ATMIV vs prior session: AVY, ICO, LZ, CIEN, MA, CMTL, BJ, ID, LDK, CHBT


VIA.B Viacom, Inc. – A total of 20,000 September 50 calls were bought for $1.50. The trade appeared to be tied to 800,000 shares at $48.61.

ODP – Office Depot traded 14 times its usual volume while shares were falling to new 52-week low today.  Bullish flow detected in ODP with 47K calls trading, or 18X normal call volume, versus only 770 puts trading.  Longer-dated calls were purchasing in big volume.  Top trade was a buyer of 8450 Oct 4.5 calls for $.30 per contract.  Jan12 5 calls were bought for 7500 times for $.29 - The trade was tied to 400,000 shares at $3.47.  Overall, Jul 4.5 calls were the most actives, more than 12K traded (84% on ask), followed by Jul 3.5C, 11391X (95% on ask).  Implied volatility was up 30 to 87%, compared to 46.9%, its 120 day historical IV.  ODP closed down 0.03 to 3.57.  Additionally 10,000 of the July 3.5 calls were bought to open in a multi-exchange sweep for $0.25.  Double bottom? new low was by .01 and with all this bullish flow watch this name for a bounce. 

SAFM Sanderson Farms, Inc.  – 5000 of the August 35 / 40 2x3 out ratio spread was bought for $1.625 (on a 1-to-1 basis)

MW The Men's Wearhouse, Inc. – 1500 of the June 30 / 28 put spread was bought for $0.775.


COG Cabot Oil & Gas Corporation – 10,000 of the January 45 puts were sold at $2.00 and 5000 of the January 70 calls bought for $3.65. The bullish ratio risk reversal was tied to 670,000 shares at $59.65.

Industrials / Materials

ANR Alpha Natural Resources, Inc. – 7500 of the September 50 / 60 call spread was bought for $2.29. The spread appears to be a roll down in strikes.

EGO Eldorado Gold Corporation – 5000 of the July 15 calls were bought in a multi exchange sweep for $0.40.

X United States Steel Corporation - 1557 Wkly 44 calls trade above the offer for 15, looks opening, 19 delta


RIMM Research In Motion Limited – 2000 of the June 37.5 / 42.5 call spreads were bought for $1.30.

AMD Advanced Micro Devices, Inc. – 20,000 of the January 10 call appeared to have been bought for $0.32. It is possibly a closing trade. Separately a block of 4000 of the June 7 puts were bought for $0.04. The puts were bought to open.

CY Cypress Semiconductor Corporation – Over 10,000 June 21 puts traded and it appeared to be primarily buyers paying between $0.20 and $0.25.


COF Capital One Financial Corp.  – 1475 of the June 52.5 calls were bought in a multi exchange sweep for $0.41. The action comes amid renewed takeover chatter.

C Citigroup Inc.  3019 Jan 12 37 puts trade on the bid at 3.20, opening, 43 delta


WCRX Warner Chilcott Plc – 1900 of the October 22 puts were sold at $1.35.

EXEL Exelixis, Inc. – 1800 of the June 9 puts were bought for $0.30.

*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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