Monday, July 25, 2011

Options Flow Recap July 25th

Macro / Thematic

FXY CurrencyShares Japanese Yen Trust - traded over 6x its usual volume after hitting its all time high of 126.25 today.  On the NSYE, someone traded 9K Sep 124 puts on the offer @ $1.10 in an opening transaction.  The trade has a 10 IV with a 33 delta.  If this was a buyer, it looks like they are looking for some downside in the currency after clipping $126.  The trader is not the only one in the boat as the top 9/10 positions right now are in puts: Jan 110P (25K), Jan 100P (9.7K), Jan 90P (6.6K), Sep 117P (4.1K), Jan13 90P (4K), Jan 80P (3.2K), Jan 95P (3.2K).    

XLE Energy Select Sector SPDR – 15,000 of the August 80 / 77 put spread was bought for $1.22.

XLF Financial Select Sector SPDR - 59,000 of the August 15 puts were bought for $0.325.

 IV Changes


DTV  DIRECTV – 4500 of the September 48 / 52.5 bullish risk reversal was purchased for a net debit of $0.85. The trade was tied to stock delta neutral for 293,000 shares at $51.75.

SVU  SUPERVALU INC. – 5400 of the October 9 puts were sold at $1.15 to buy 7500 of the October 7 puts for $0.35

SIRI Sirius XM Radio Inc. – 7500 of the January 2 calls were sold at $0.34. Nearly 24,500 January 2 calls traded on the day, possible closing trades.

SKX Skechers USA, Inc. – 2000 of the October 15 calls were bought $1.05. The company is expected to report earnings on Wednesday July 27th.


EQT EQT Corporation – 3000 of the August 40 puts traded on the day. The puts appeared to be sold

PBR Petroleo Brasileiro SA  – 5250 of the September 35 calls were sold at $1.03. The calls were sold to open.

LNG Cheniere Energy, Inc. – 5000 of the December 16 calls appeared sold at $0.75. The calls were sold to open.

CZZ Cosan Limited - $3.47B Brazilian company that produces and sells sugar and ethanol products, traded 11 times its usual option volume today.  The apparent bullish call buying was in the August 12.5 calls which had an implied volatility of 44 and a 56 delta. It looks like the trader/s swept the offers across the exchanges paying between .50 and .73.  It was traded over 5K times all day and makes up 19% of total open interest.  In recent news, Unica, the Sugarcane Industry Association in Brazil, reported they were revising their projections for lower sugarcane production in the South-Central Brazil area due to aging fields and reduced rainfall.  Recently traded 30 day vol is 42% against historical vols of: 28.9%

Industrials / Materials

ACI Arch Coal Inc  – 2200 of the January 24 puts were sold at $1.46. The puts were sold to open versus stock at $28.15.

BA The Boeing Company – 3000 of the August 67.5 puts were bought for $0.72.

RRC Range Resources Corp. – 1000 of the March 75 / 90 call spread was bought for $2.95. The call spread was bought to open.

UPS United Parcel Service, Inc.  - 10,000 of the September 65 / 80 bullish risk reversal traded with the investor collecting $0.12. The position was tied to 158,000 shares at $73.90.


MSFT Microsoft Corporation – 25,000 of the October 27 puts were sold at $0.905. The options were tied to 950,000 shares at $27.89. Separately, 20,000 of the October 28 calls were bought for $0.99.

VSEA Varian Semiconductor – Options were very active today with over 15,815 options trading. The November 55 puts were the most active with 2900 trading on the day. 60% of the volume traded on the offer.


BAC Bank of America Corporation  – 60,000+ of the January 12.5 cals were bought this morning for $0.28-$0.31.

NLY Annaly Capital Management, Inc.  – 5000 of the August 18 straddles were bought for $0.56.

TWO Two Harbors Investment Corp  – 4870 of the December 10 puts were bought for $0.65. The puts were bought to open.


ESRX Express Scripts, Inc.  - 8000 of the January'13 65 / 80 call spread was bought against a sale of the January'13 42.5 puts for a $1.15 net debit. Separately, 10,000 of the August 60 calls were sold at $0.45.

HCA HCA Holdings Inc - 1950 of the March 25 puts were sold at $1.35. The puts were sold to open.

RPTP Raptor Pharmaceutical Corp.  - Nearly 3000 of the November 5 calls were bought for $1.25. The calls were bought to 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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