Thursday, July 21, 2011

Options Flow Recap July 21st

Macro / Thematic

SPY SPDR S&P 500 ETF: buyer 10,000 Aug 130 puts for 1.10

 XLP Consumer Staples Select Sect. SPDR : buyer 6900 Aug 33 calls for 05

EWZ iShares MSCI Brazil Index: buyer 2,560 Sep 76 calls for 76

EWJ iShares MSCI Japan Index - 10k Sept 11 calls bot
VIX saw 143% the normal volume with 483K calls and 95K puts traded.  Some larger pit trades:
·         Buyer 53,000 Oct 22.5/30 call spreads to sell 53,000 Sep 32.5/25 call spreads, paid 525
·         Buyer 17,500 Aug 22.5/Sep 32.5 call spreads for .03 (12.5K) and .05 (5K)
·         Buyer 10,000 Sep 20/27.5 call spreads for 1.42 vs 20.20, 33 delta
·         Buyer 5,000 August 24 puts for 6.10
·         Seller 5,000 Aug 22.5/Sep 32.5 call spreads at .025
·         Buyer 4,200 Aug 25/30 call stupids for .775

IV Changes
Largest IV Increases: LZ, SVU, GNW, ANH, ABC, BJ, THC, MMI, SUG, FLEX
Largest IV Decreases: NLC, SBAC, RY, HSP, AZN, QCOM, FFIV, NYT, SCSS, CA


Ford Motor Company sweep: 5261 7/29 13 puts trade on the offer for .25

CPB Campbell Soup Company: seller 2200 Sep 36 calls at 1625

MCD McDonalds - the $89B enterprise king of cheap burgers and fries, reports earnings pre-market tomorrow and estimates are 1.284/share.  Last period, the company reported 1.15 against estimates of 1.137 and shares fell almost 2%.  The company touched it’s 52 week high of $87.04 and it looks like option traders are taking both sides of the burger – buying the August 87.5 calls and the 85 puts. 

WAG Walgreen Company - 5k Jan 43/38 bull risk reversals bot for a credit of .10


CVX Chevron Corporation - 9k Sept 115/120 cs bot @ .85 (5k bot earlier this week)

SM SM Energy Co.  - 5k Aug/Nov 90 calendars bot @ 1.65.  Long vol short gamma. Stock has been hot since HK was taken out.

Industrials / Materials

GG Goldcorp Inc. - seller 2000 Aug 47 puts at 22

CAT Caterpillar - The $71B global manufacturer of construction and mining equipment reports earnings before the open tomorrow.  The company has a history of positive earnings surprises with the last reporting period surpassing analyst expectations by over 40% with a 268% increase in earnings.  Shares soared over 2.25% after they reported.  According to Bloomberg estimates, EPS is expected to come in at $1.742 versus the prior period’s $1.84.  In options, it appears the majority of contracts were calls traded on the offer.  In particular, the August 115 calls, August 110 calls, Wkly 7/22 110 calls and the Wkly 7/29 115 calls were actively traded on the ask side.  This implies that option traders are bullish going into earnings and are likely expecting CAT to beat the street once again.  The last time CAT disappointed traders was back in Q4 ’08 when analysts expected 1.294/share and the company reported 1.08.  Shares fell over 8% following the announcement. 

GE General Electric - the $203B conglomerate with 287,000 employees, will report earnings tomorrow and estimates are 325/share compared to the prior period’s actual earnings of .30/share.  Like CAT, General Electric has consistently surprised analyst estimates since Q4 08.  On the surface, it appears option traders are looking for weakness as the majority of August 20 calls and the Wkly 7/22 19 calls were traded on the bid.  On the flip side, it could be a slight “tug of war” as traders also look like they are buying to open the 7/29 20 calls and the 7/22 20 calls.  Overall, options traded twice the usual volume with 170,000 calls versus 75,000 puts. 

OC Owens Corning  - 10k Aug 38/33 bull risk reversals trade @ .05 

IR Ingersoll-Rand PLC - over 5k Dec 42/39 bull risk reversals bot @ .70 debit


MSFT Microsoft Corporation: buyer 2500 7/29 27 puts for 50
AAPL Apple Inc. : paper bot 2325 jan 450c, bot 775 jan 300p, bot 6650 jan 400c, bot 2825 jan 295p, bot 7000 jan 390c - sld 5550 jan 350c, sld 1100 jan 330c, sld 14,000 jan 440c, sld 7000 jan 350p collected 22.75 million!

TER Teradyne, Inc.- sweep: 3028 Aug 14 calls trade on the offer for .70

CDNS Cadence Design Systems, Inc. - 2k Feb 13's bot @ .25.  The trade is opening.  Traders looking for 52 week highs. 


BAC Bank of America Corporation: 146,982 Jan 20 calls traded on the offer for .02, less than 2 delta (most likely closing)

TER Teradyne, Inc. sweep: 3028 Aug 14 calls trade on the offer for .70


PFE Pfizer Inc. - buyer 10,000 Sep 22 calls for 08

ABC AmerisourceBergen Corp. - 7k sept 40 calls bot @ 1.35.  Aug 39 calls hot.  Net put sellers on the day. 

07/22   ACO Earnings before open
07/22   APD Earnings before open
07/22   APPY Earnings
07/22   CAT Earnings before open
07/22   CLS Earnings before open
07/22   COL Earnings before open
07/22   CPX Earnings before open
07/22   DOV Earnings before open
07/22   FLIR Earnings before open
07/22   GE Earnings before open
07/22   HON Earnings before open
07/22   HRZ Earnings
07/22   IDXX Earnings before open
07/22   LPHI Earnings
07/22   MCD Earnings before open
07/22   NWBI Earnings
07/22   OFG Earnings before open
07/22   PRSP Earnings before open
07/22   RAI Earnings before open
07/22   SLB Earnings before open
07/22   STI Earnings before open
07/22   SXT Earnings before open
07/22   UBNK Earnings
07/22   USG Earnings before open
07/22   VZ Earnings before open
07/22   XRX Earnings before open
07/22   YRCW Earnings before open 

 *Special thanks to Option Radar, BMO Capital, MEB Options, Bloomberg, Reuters, Optionistics, LiveVolPro, CBOE, AMEX, Option Monster, T.O.P. group, 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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