Options Flow Recap May 16th

Macro / Thematic

XRT SPDR S&P Retail (ETF) – 15,000 of the December 44 puts were bought for $1.27. The puts were bought to open and are currently 17.3% out of the money. Note that ~32% of the ETFs components report earnings this week.

VIX saw 130% the normal volume with 299K calls and 151K 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

EXPE Expedia, Inc.  – 6500 of the May 24 calls were bought and the June 23 / 25 bearish risk reversal traded for a net $0.67. It appears to be a closing of the calls in a bearish risk reversal intiated in April and opening of a new position in June. The trade may also be an adjustment of a collar.

BBY Best Buy Co., Inc. – Nearly 8000 of  the June 28 puts appeared to be bought for ~$0.22 with 99 percent trading on the offer.

MGM MGM Resorts International. – 1000 of the September 18 calls were bought for $0.52. The calls were bought in a multi exchange sweep and appear to be opening.

Energy

EP El Paso Corporation – 15,000 of the June 19 / 20 call stupid was bought for $0.75.

Industrials / Materials

NGD New Gold Inc. (USA) – 2000 of the May 9 calls were bought for $0.70. The calls were bought to open.

ID L-1 Identity Solutions, Inc. – 5000 off the June 9 / 11 bearish risk reversal was bought for $0.05. Safran has agreed to acquire the company for $12 per share in cash, but the wide arb spread and bearish trades in the options market reflect concerns about the deal.

CAT Caterpillar Inc. – 5000 of the January’12 72.5 puts were bought for $1.59 tied to 50,000 shares at $106.38. The puts were bought to open.

AXL American Axle & Manufact. Holdings, Inc. – 2500 of the June 12 calls were bought for $0.40. The calls were bought to open. (Take over rumors)

Tech

EMC EMC Corporation – 7000 of the June 29 calls were sold at $0.33. It appears to be an investor over writing an existing position.

HPQ Hewlett-Packard Company – 10,000 May 41 / 43 call spreads were bought for $0.41. The company’s earnings are scheduled to be released Wednesday after the close.

DELL Dell Inc. - reports earnings after the close tomorrow, traded over 9 times its usual option volume with 72K calls and 216K puts.  According to Bloomberg, analysts are estimating .432 EPS on $15.4B in revenue.  In an AP article published today, Barclays wrote a note to investors predicting “strong margin performance” and an “upbeat” call with analysts tomorrow citing positive demand for its products.  In terms of options, the most active today were the November 16 puts with over 31K traded between 1.38 and 1.57 with a VWAP of $1.4920.  IV was between 32.5 and 35.4% while historical vols are: 20.8% (20 day), 26.6% (60 day), 29.4% (120 day).  Also actively traded were: Nov 15 puts (31K), Aug 16P (29K), Aug 15P (26K), Nov 14P (14K).  The top positions in Dell right now are: Jan 15C (65K), Jan 12.5P (57K), May 14P (47K), Jan 15P (42K), Aug 16C (38K). 

Financials

NYX NYSE Euronext – 3000 of the December 34 puts were bought for $1.99 tied to 108,000 share at $36.55. The puts were bought to open.

NDAQ NASDAQ OMX Group, Inc.  – 5100 of the September  25 / 29 bearish risk reversal traded for $0.40. It is possibly a closing position.

MS Morgan Stanley  – 2200 of the June 26 calls were bought traded at $0.21. It is possibly upside call buying.

Healthcare

FRX Forest Laboratories, Inc.  – 2500 of the June 35 calls were bought for $1.30. The calls were bought to open. The company hass been cited as a potential takeover target.

CEPH Cephalon, Inc. – 10,000 of the August 80 calls were bought for $1.00. It is possibly a closing trade given the nearly 28,000 in open interest in this particular line.

*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.