Wednesday, August 10, 2011

Options Flow Recap Aug 10th



Macro / Thematic

EEM iShares MSCI Emerging Markets Indx – 76,000 of the September 39 / 36 put spread was bought for $0.87. The trade was tied to stock at $39.50.

SPY SPDR S&P 500 ETF: seller 70,000 Sep 112 quarterly puts at 5.84, selling 55,000 Sep 115 quarterly puts at 6.96
SPY: buyer 22,000 Aug 108 puts for 2.05
SPY: seller 15,000 Aug 109 puts at 1.95




VIX saw 110% the normal volume with 312K calls and 301K puts traded.  Some large trades in the pit:
·         Seller 29,000 Sep 24 puts at 1.85
·         Buyer 20,000 Sep 35/47.5 call spreads for 1.65
·         Seller 10,000 Oct 25 puts at 2.85
·         Seller 7,900 Oct 24 puts at 2.20
·         Seller 7,000 Aug/Sep 30 call spreads at 1.30
·         Seller 7,000 Oct 18 puts at .30
·         Buyer 5,000 Sep 50 calls at 1.00
·         Seller 8,000 Sep 25 puts at 2.50 (4K), 2.45 (4.5K)
·         Seller 3,500 Sep 50 calls at 1.05
·         Seller 2,500 Aug 30 puts at 1.95
·         Buyer 2,000 Aug 35 calls for 3.10



 IV Changes
Largest IV Increases: HBC, HCBK, FAZ, CSE, HIG, XLF, SKF, USB, DUK, WFC
Largest IV Decreases: VSEA, HAR, CREE, BJ, OKE, SUG, PGH, FXF, ABH, GA


Consumer

AXL American Axle & Manufact. Holdings, Inc.   – 6750 of the January’12 7.5 puts were bought for $0.90.

JBLU JetBlue Airways Corporation  – 2000 of the December 3 puts were bought for $0.30.

SPLS Staples, Inc. – 4850 of the December 13 calls were sold at $0.825. The calls were sold to open.

URBN Urban Outfitters, Inc. – 20,000 of the March 20 puts were sold at $1.25. The puts were sold outright and to open. The investors risk is that being put stock at an effective price of $18.75, which is 31.5% below the current price over the next 220 days.


Energy

HES Hess Corp. – 2500 of the September 50 puts were bought for $2.20. The puts were bought to open.

KMP Kinder Morgan Energy Partners LP   – 2400 of the September 72.5 calls were sold at $1.00. The calls were sold to open.

MMP Magellan Midstream Partners, L.P. – 2500 of the September 60 calls were sold at $0.95. The calls were sold to open.


Industrials / Materials

CX Cemex SAB de CV (ADR)  – 4260 of the January 5 / 3 1x2 put spread was sold at $0.36. It appears to be a roll down in strikes.

HRBN Harbin Electric, Inc.  – 2150 of the December 20 calls were bought for $1.85.

MT ArcelorMittal (ADR)  – 43,650 of the September 35 calls were bought for ~$0.08.

TIN Temple-Inland, Inc. – 7000 of the August 27 calls were sold at $0.60. The calls were sold to open.


Tech

CREE Cree, Inc.  – 10,000 of the September 40 / 47.5 1x2 call spread was bought for $0.68.

SAP SAP AG (ADR)   – 6900 of the August 50 puts were sold at $1.35. The puts were sold to open.

SNDK SanDisk Corporation – 10,000 of the September 37 / 41 put spread was sold at $2.325.

AT&T Inc.  – 3550 of the April 31 calls were sold at $0.83. The calls were sold to open.


Financials

BAC Bank of America Corp – 19,400 of the January’13 of the 12.5 calls were sold at $0.72. The February 14 calls were also appeared sold at $0.14, 19600x. Also a buyer 10,000 Jan 6 puts vs 6.86 d-neu for 1.34

BCS Barclays PLC  – 10,500 of the August 14 calls were sold at $0.05.

Citigroup Inc. – 20,000 of the January 30 puts were bought for $5.70. The trade was delta neutral tied to 940,000 shares at $29.30.


Healthcare

HCA HCA Holdings Inc  – 10,000 of the December 20 / 25 call spread was bought for $1.35. The call spread was bought to open.

PCYC Pharmacyclics, Inc.  – 6000 of the August 9 puts were sold at $0.35. The puts were sold to open. 

TEVA Teva Pharmaceutical Industries Ltd  – 5000 of the September 35 / 30 put spread was bought for $0.68. Separately, the December 40 / 47.5 call spread was bought for $2.17. The call spread was bought to open.





http://seaofopportunity.blogspot.com/ 


 *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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