Options Flow Recap May 19th

Macro

EEM The iShares MSCI Emerging Markets Index Fund - had the largest print on the exchanges today after 25,000 of the July 50 calls traded on the offer for .52 on a 24 delta.  It appears the options were bought to open as there are only 12K contracts outstanding in the series.  Implied volatility at the time was about 24.7% compared to historical volatilities of: 20.9% (20d), 19.9% (60d), 19.1% (120d).  The top positions right now are: June 46P (158K), June 45P (154K), June 42P (142K), June 55C (133K), June 43P (123K).  

VIX saw 136% the normal volume with 321K calls and 168K puts traded.  Some larger trades in the pit:

·         Jun 25 - 32.5 [1:2] ---- Jul 30 - 22.5 [2:1] c/sprd-swap… paper pd .10 on 27,000 ratio sprd-swaps

·         Seller 7.5K June/Aug 25 put spread at .35

·         Seller 5K Aug 21 straddles vs 20.55 at 5.925, delta neutral

·         Buyer 5K June 37.5 calls for .125

·         Aug - Jun 24 p/sprd paper collected 1.325 on 27,000

Volatility Movers

Greatest increase in 30 day ATMIV vs prior session: PDLI, CHBT, AMSC, D, MDVN, VSEA, GPRO, HRBN, GTE, CBST

Greatest decrease in 30 day ATMIV vs prior session: JACK, SNTA, LWSN, DLTR, SMOD, AAP, HEK, BIG, PLCE, MWE

Consumer

HRB – 18,000 of the October 17 / January 12.5 put spreads was sold at $1.10. Along with January 10 / 15 put spread was bought for $1.25. The October 10 / January 12.5 put spread appears to be closing while the January 10 / 15 put spread was opening.

EXPE – 7500 of the October 24 puts were sold and the October 27 / 31 call spread bought for $0.325 net. The position looks opening and tied to 420,000 shares at $26.80.

TTWO – 10,000 of the June / December 20 call spreads were bought for $1.00.

Energy

SO – 950 of the June 39 puts appear to have been bought for $0.14. The trade was an opening transaction.

Industrial / Materials

CX – 3125 June 8 puts were bought for $0.22. The puts were bought to open.

FCX – 11,000 of the June 49.5 / August 50 call spreads were sold at $1.37

Tech

CRM – 1000 of the May 145 / 150 call were bought for $0.83.

T – 1100 of the August 25 puts were bought for $0.14. The puts were bought to open.

Financials

XL – 7000 of the June 23 / 24 bullish risk reversal was bought for even money. The trade was an opening position

CBOE – 700 of the June 31 calls were bought for $0.25.

Healthcare

PCYC – 4930 of the August 6 puts were sold at $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.