Options Flow August 3rd

Macro / Thematic

FXI – 20,000 of the November 46 calls were bought for $0.58. The calls were bought to open.

GLD – 10,000 of the August 159 / 167 risk reversal was bought for $0.23

IEF – 1500 of the August 99 puts were bought for $0.475. The puts were bought to open.

SPY – 20,000 of the August 127 / 132 put spread was sold at $3.57.

UUP – 5000 of the January 22 calls were bought for $0.37.

XLI – 10,000 of the September 32 puts were bought for $0.78. 39,000 of the September 34 puts were bought for $1.67. 49,000 of the September 36 puts were sold at $3.10.  Also a buyer of 5,000 Aug 34/35 call spreads for 26

JNK SPDR Barclays Capital High Yield Bond - traded 14 times its usual volume after 10K Jan 10 calls traded on the offer.  There are just under 3K contracts outstanding so most of these trades are opening transactions.  ATM IV is about 10% compared to historical levels of: 8% (30 day), 9% (60 day), 7.8% (120 day).  Currently in the bond fund, there are 3.5K calls outstanding versus 43K puts. 

VIX saw 92% the normal volume with 251K calls and 170K puts traded.  Some large trades in the pit:

·         Seller 10,000 Nov 19/20/25 put trees at 2.10
·         Buyer 7,500 Jan 35 calls for 1.50
·         Seller 5,000 August 25 calls at 1.10 (50%) and 1.075 (50%)
·         Buyer 5,000 Aug 21/27 call spreads for 1.40
·         Seller 5,000 Dec 35 calls at 1.225
·         Seller 5,000 Jan 24 puts vs 23.60 d-neu at 3.90
·         Buyer 4,500 Sep 18 puts for .70
·         Buyer 4,500 Aug 30 calls for .775
·         Seller 4,000 Aug 27.5/30 call spreads at .25

SPX saw 156% the normal volume with 499K calls and 750K puts traded.  Some large trades in the pit:

·         Buyer 15,000 Dec/March 1500 call spreads for 2.50, ref 1250
·         Seller 6,000 Aug 1265 puts at 35.00, ref 1240
·         Buyer 5,000 Aug 1240 straddle with Sep 1225/1250 strangle for 111.00
·         Buyer 5,000 Sep 800/950 put spreads for .80
·         Seller 1,000 Dec13 1250 straddles at 330.60

Largest IV Increases: ETFC, LZ, CEPH, NRGY, BKS, RAH, BBBB, CPHD, WPZ, SZYM

Largest IV Decreases: MSTR, SFSF, NLY, HRS, OPEN, GRMN, LBTYA, EZCH, VCLK, PWR

Consumer

CBS – 1800 of the August 27 calls were bought for $0.60. Over 10,000 traded on the day with 96.5% trading on the offer. With only 4600 in open interest at least half of the volume was bought to open.

ERTS – 3000 of the December 20 / 25 strangle was sold at ~$2.20.

TGT – 2000 of the September 50 call were bought for $1.66. The call were bought to open and tied to stock.

Energy

ENER – 5350 of the August 1 puts were sold at $0.11.

WMB – 14,000 of the August 28 puts were bought for $0.57.

BPL Buckeye Partners - traded 9x its usual volume and reports earnings on Aug 5^th.  Analysts are estimating 828/share this period compared to a disappointing .79/share last quarter when analysts were predicting .805.  The most active options were the Sep 60 puts which ended up trading over 1500 times on the offer in opening transactions.  The trades were executed on the PHLX and there were 42 contracts outstanding before the trade was done.  It has a 26 IV and a 31 delta.  This compares to historical volatilities of: 12% (30 day), 17% (60 day), 16.8% (120 day). 

Materials / Industrials

AKS – 14,550 of the January’13 20 calls for $0.58.

BHP – 6665 of the August 82.5 puts were bought for $1.13. The puts were bought to open.

IP – 7860 of the August 27 puts were bought for $0.58. The puts were bought to open.

MAS – 8500 of the January 10 call were bought for $1.15. The trade appears to be opening call buying.

Tech

RIMM - 36,900 January 24 puts were bought for $3.50. The puts were bought to open. 16,885 January 17.5 puts were bought for $1.00 and 20,600 January 27.5 puts were sold at $5.10. The January 17.5 / 27.5 put spread was sold to close.

VMED – 1450 of the September 26 / 24 put spread was sold at $0.85. The September 24 puts were bought to open. The spread appears to be a roll down form the 26 strike to the 24 strike.

Financial

BAC – 6650 of the January 7.5 puts were bought for $0.415. The puts were bought to open. Note the stock was near its lows of the day when the trade took place.

BPOP – 30,000 of the October 2.5 put was bought for $0.31. The trade possibly closes a position of the same size opened in early June.

MS – 34,000 of the October 16 puts were bought for $0.28. The puts are ~24% out of the money.

ETFC- buyer 2,389 Sep 16 calls for 48

Healthcare

ARIA – 12,000 of the November 8 puts were bought for $0.45.

ONXX – 5850 of the August 32 / 30 strangle appeared to be sold at $1.90. The strangle was sold to open.

PRGO – 1500 of the August 85 / 95 call spread was bought for $2.35.

McKesson Corp (MCK), a $19B pharmaceutical company, saw elevated options activity after a player(s) swept the August 82.5 calls across exchanges more than 7K times in what looks like opening transactions for 30.  The trade has a 15 delta and IV around 24.  Traders were also active in the August 80 calls picking up more than 3K between .75 and 80 with some traders paying up to 1.05.  Traders have quite the bullish views on the company after they reported stellar earnings on July 28^th at 1.27/share compared to estimates of 1.141/share.  Furthermore, the company raised their forecast for 2012 due to lower estimated tax rates. The company has traded between 57.81 and 87.32 in the past 52 weeks and hit its high back in May of 2011. 

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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.