Options Flow Recap May 17th

Macro / Thematic

XLE Energy Select Sector SPDR – 17,000 of the June 40 / 45 call spreads were sold at $3.20.


XLV The SPDR Healthcare Fund - has traded over 4 times its usual volume after 41,100 Sep 35 puts have changed hands.  It appears they were bought in blocks from an opening put buyer with a 38 delta on the trade.  Implied vol was about 17% on the trade while historicals are: 10% (20d), 11.8% (60d), 10.8% (120d).  The IV30 52 week high is 30.99 while the low is 12.13.  The fund has hit a 52 week high of 36.34 and a low of 27.09.  XLV closed unch.

SPY SPDR S&P 500 ETF – 10,000 of the May 135 calls were bought for $0.15.

VIX saw 129% the normal volume with 331K calls and 125K puts traded.  Some larger trades in the pit:

·         Buyer 10K May 20 calls for .175
·         Seller 9K June 16 puts at .45, vs 18.60, 20 delta
·         Buyer 8K May 17 puts for .475
·         Buyer 5K May 21 calls for .125 vs 17.40, 10 delta
·         Seller 5K May 16 puts at .275, vs 16.85, delta neutral

Consumer

GIS General Mills, Inc – 9200 of the October 37 / 43 call spread was bought for $2.65. It is possibly a roll higher in strikes.

JACK Jack in the Box Inc.  – 2000 of the June 22.5 calls were bought for $0.25. It appears to be an opening call buyer ahead of earnings.

FMCN Focus Media Holding Limited (ADR) – 1600 of the June 30 puts appear to have been bought for $1.20. Separately, 1500 of the June 31 call were bought for $2.45. The June 31 calls were bought to open.

BIG Big Lots, Inc. – 7100 of the May 35 / 40 risk reversal traded at $0.20 and was rolled in to the June 35 / 40 bearish risk reversal for $0.45. The position could either be a collar on an existing stock position or a bearish position in the retailer.

Energy

CHK Chesapeake Energy Corporation – 25,000 of the January’12 17.5 puts were bought for $0.45. The puts were bought to open.

CNQ Canadian Natural Resource Ltd – 2500 of the June 40 / 45 call spread was bought for $1.67.

Industrial / Materials

LYB LyondellBasell Industries NV – 6500 of the September 40 / 46 1x2 call spread was bought for $1.00. Separately 10,000 of the June 39 / September 45 call spread was bought for $0.525. The spread was bought to open and tied to 220,000 shares at $38.50.

GE General Electric Company  – 10,000 of the January 20 straddle was sold at $3.49.

Tech

NVDA NVIDIA Corporation – Nearly 2800 of the May 18 calls were bought for $0.17. There was noise today that Qualcomm may have interest in the company.

DELL Dell Inc. – 4750 of the May 14 / 15 1x2 put spread was bought for $0.06.

ADBE Dell Inc. – Over 12,000 of the May 35 calls traded today as noise circulated that Microsoft may have interest in the company.

HPQ Hewlett-Packard Company – 12,000 of the January 35 calls were bought for $4.60. It is possible that it is a closing trade.

Financials

NYX NYSE Euronext – 3000 of the September 34 buy writes traded at $1.35 over. The September 34 calls were sold at $2.35 and tied to a purchase of 300,000 shares for $35.00.

USB U.S. Bancorp – 10,000 of the January’13 30 / 35 1x2 call spread was bought for $0.28. It appears that the spread was bought to open.

Healthcare

VRTX Vertex Pharmaceuticals Incorporated – 2100 of the May 60 calls were bought for $0.50.

LLY Eli Lilly & Co. – 1100 of the June 40 calls were bought $0.31. The calls were bought to open.

*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.