Tuesday, July 26, 2011

Options Flow Recap July 26th

Macro / Thematic

GLD SPDR Gold Trust – 20k of the August 167 / 175 call spread was bought for $0.29. 20,000 of the August 168 / 176 call spreads were bought for $0.23.

SPY SPDR S&P 500 ETF – 30,000 of the July (29th) 131 puts were bought for $0.37.

XLE  Energy Select Sector SPDR – 54,000 of the September 79 / 83 call spread was sold at ~$1.60.

XME SPDR S&P Metals and Mining – 15,000 of the September 63 / 58 1x2 put ratio spread was bought for $0.13. The open interest in the September 58 puts (17% out of the money) are nearly 37,000, meaning the trade could be a roll up in strikes.

XRT SPDR S&P Retail – 40,000 of the December 44 puts were sold at $0.645 to buy 15,000 of the December 50 puts for $1.755.

IV Changes


GRMN Garmin Ltd. - 7500 August 33 calls were bought for $1.00. The calls were bought to open. The company is expected to report earnings on August 3rd.

LEN Lennar Corporation – 4000 of the September 18 puts were bought for $0.86.

SPLS Staples, Inc.  – 5000 of the August 16 calls were bought for $0.50 in a multi exchange sweep.

SVU SUPERVALU INC. – 20,000 of the August 9 puts were sold at $0.35. The trade was tied to $9.1625 stock delta neutral.


NOV National-Oilwell Varco, Inc.  – 7000 of the January 50 puts were bought for $0.59 versus a sale of 3000 of the January 60 puts at $1.26

WFT Weatherford International Ltd. – 2000 of the November 26 calls were sold at $0.635 versus stock at $22.20.

WMB Williams Companies, Inc.  – 25,000 of the February 40 calls appeared to be sold at $0.46. The calls were sold to open.

Industrials / Materials

CMC Commercial Metals Company - a $1.68B recycler and manufacturer of steel and metals in the US and abroad, traded lower with 27 times the usual options flow changing hands.  Overall, 22K calls traded versus 614 puts and most of the calls traded on the offer side.  The Sep 16 calls traded over 12K times followed by the Dec 16 calls 4.5K times and the Sep 18 calls 3.5K times.  A good portion of the Sep 16 calls must be opening as there are 6K contracts outstanding.  The VWAP on the Sep 16s is 3950 with IV about 41% compared to the following historical vols: 26.4% (20 day), 26% (60 day), 27.5% (120 day).  In June 2008, CMC hit a high of 39.80 before falling off a cliff and has traded under 20 since September 2009. 

AEM Agnico Eagle Mines - a $10.5B capitalized gold producer with operations in Canada, Finland and Mexico, traded over 4 times its normal daily options volume.  Throughout the day, traders pecked away at the Sep 65 calls and traded it across the options exchanges.  Roughly 68% traded on the offer indicating these were buyers opening contracts as there are only 399 contracts outstanding.  The implied vol was about 36% at the time compared to historical levels of: 31% (20 day), 32% (60 day), 32% (120 day).  All day, almost 15K contracts traded which is roughly 11% of total open interest in the company’s options.  Also active were the August 60 and 65 calls which traded mostly on the offer.  AEM will report earnings at 4PM CST on Thursday, July 28th


GLW Corning Incorporated – 2000 of the August 17 / 18 call spread was bought for $0.37.  

MRVL Marvell Technology Group Ltd.  – 10,000 of the November 16 / January 14 call spread was sold at $1.43.


BCS Barclays PLC  – 12,250 of the September 11 puts were bought for $0.20. The puts were bought to open.


BSX Boston Scientific Corporation - 4000 of the January’13 5 / 7.5 bullish risk reversal traded $0.80. The position appears to be opening and comes ahead of earnings ahead of the open on Thursday July 28th.


 *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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