Options Flow Aug 8

Macro / Thematic

SPY SPDR S&P 500 ETF - 20,000 of the September 121 puts were bought for $9.90 tied to $113.50. Separately, 22,900 of the August 117 puts were sold at $5.06 to buy 30,400 of the August 112 puts for $3.01. 33,000 of the August 119 puts were sold to buy 23,000 of both the August 112 and 113 puts.  Also, buyer of 78,000 Aug 123 calls for .45-.50

IWM iShares Russell 2000 Index: seller 26,000 Dec 68/72 put spread at 1.80.

IWM: seller 23,000 Sep 68/72 quartly put spread at 1.85

IWM: buyer 20,000 sep 71/76 1x2 call spread to sell 20,000 Sep 61 puts, paying .20

RUT: buyer 7,500 Aug 650/660 put spread for 5.20

RUT: seller 4,500 Aug 620/650 call spreads at 22.00

QQQ PowerShares QQQ Trust, Series 1 : 45,477 Dec 42 puts trade on the offer for 1.32, opening, 18 delta

QQQ: buyer 19,675 Dec 43 puts trade on the offer for .62, opening, 13 delta

EEM iShares MSCI Emerging Markets Indx : seller 20,000 Sep 39/41 put spread at 78

EEM: buyer 7,500 Aug 41 puts vs 41.02, 48 delta for 1.46

EWM: buyer 1,750 Sep 13 puts for 25

VIX saw 155% the normal volume with 533K calls and 248K puts traded.  Some large trades in the pit:

·         Seller 23,000 Aug 32.5/40 call spreads at 1.80 (13K), 1.35 (5K), 1.25 (5K)
·         Seller 10,000 Aug 50 calls at .75
·         Seller 7,000 Dec 35 calls at 2.60
·         Seller 4,500 Oct 18 puts at .275
·         Seller 3,500 Sep 50 calls at 1.00
·         Seller 2,000 Aug 19/27.5 call spreads at 7.20

 IV Changes

Largest IV Increases: C, BBBB, SLM, FAZ, APL, ED, CROX, MRX, AMJ, WFC

Largest IV Decreases: DLB, CCMP

Consumer

AMR AMR Corporation – 25,000 of the January 2.5 / 4 put spread was sold at $0.75. It appears the investor rolled a position from the January 4 puts down to January 2.5s.

ATVI Activision Blizzard, Inc. – 16,000 of the August 11 puts were sold at $0.29 tied to 736,000 shares at $11.05. The puts appear to be sold to open.

COST Costco Wholesale Corporation – 10,000 of the October 70 / 75 put spread was sold at $1.90. It appears the investor rolled a position from October 75 puts down to October 70s.

Energy

DUK Duke Energy Corporation – 860 of the January’13 15 calls appeared to be sold at $3.20.

WFT Weatherford International Ltd.  – 15,000 of the August 18 / September 17 call spread was bought for $0.91. It appears to be a roll of a position from August 18 calls out and down to the September 17 calls.

Industrials / Materials

CLF Cliffs Natural Resources Inc – 4500 of the January 97.5 calls were bought for $3.20. The calls were bought to open.

DRYS DryShips Inc – 2000 of the August 3 / 2 put spread was sold at $0.67. It appears to be a roll of a position from August 3s down to the August 2s which appear to be bought to open.

VALE Vale (ADR) – 13,000 of the (VALE1) January 22.5 / January’13 20 call spread was bought for $3.20. The January’13 20 calls were bought to open.

VMC Vulcan Materials Company  – 2000 of the September 35 puts appeared sold at $4.10. The puts were sold to open.

  

Tech

RIMM Research In Motion Limited - 36,875 of the January 24 puts were sold at $4.825 to buy 49,200 of the January 21 puts were bought for $3.25. It appears to be a roll from the January 24 puts down to the January 21s.

CREE Cree, Inc. - 14,485 of the September 32.5 / December 30 call spread were bought for $2.60. It appears to be a roll from the September 32.5 calls down to the December 30s. Separately, 5000 of the September 25 / 30 bullish risk reversal was bought for $0.45.

Financials

BAC Bank of America Corporation - 1,813,039 contracts traded on the day. 30day ATM IV in BAC is up more than 122%, nearly 87 points above levels seen at the end of last week. Enough said.

GNW Genworth Financial, Inc.  - 8750 of the September 5 / 6 call spread was bought for $0.76. It appears to be a roll of a bullish position down from the September 6s to the September 5s.

Healthcare

DNDN Dendreon Corporation  - 2900 of the September 12 / 18 call spread was bought for $0.95. The position was bought to open.

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 *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.