Macro / Thematic
Select Sector Industrl Slct Sctr SPDR Fd XLI - 28,500 of the September 34 calls appeared to be bought for $0.07. The calls were bought to open.
SPDR S&P Retail (ETF) XRT - 15,000 of the October 40 puts were bought for $1.75. The puts were bought to open.
Financial Select Sector SPDR XLF sweep: 31,130 8/26 12 puts trade on the offer for .26, opening, 40 delta (115,000 trade all day – 95% on the offer)
SPX saw 62% the normal volume with 244K calls and 487K puts traded. Some larger trades in the pit:
· Buyer 8,100 Sep 1240 calls for 5.80 vs 1136.75· Seller 5,400 Sep 775 puts at 1.50 live vs 1134.75
· Buyer 2k/4k/2k Oct/Nov/Dec 1100 put fly for 1.90 (buying Nov) for 1.90 vs 1129
· Buyer 2k/3k/2k Dec 900/1100/1300 call fly (1.5 middles) for 119.50, tied to 1133 w/11 delta to wings
· Buyer 3,000 Sep 1100/1160 strangle for 61.10 vs 1125.75
· Seller 2,000 Oct 775 puts at 5.40, tied to 1133, 4 delta
· Buyer 1,500 8/26 950 puts for .50 vs 1126.50
VIX saw 58% the normal volume with 193K calls and 155K puts traded. Some large trades in the pit:
· Seller 10,000 Sep 35/45 call spreads at 2.45· Seller 10,000 Oct 30 puts vs 32.45, d-neu at 3.25
· Buyer 10,000 Sep 60 calls for 425
· Buyer 7,500 Sep 32.5/42.5 strangles for 5.55
· Buyer 5,000 Sep 22.5 puts for 10
· Buyer 2,400 Oct 40/50 call spread for 1.25
· Buyer 2,000 Sep 50 calls for 1.20
IV Changes
Largest IV Increases: WMB, BAC, LPHI, PANL, PCYC, PAA, KWK, NRGY, TIN, HFC
Largest IV Decreases: PSEC, TWO, MHS, NLY, DWA, VE, VRI, CADX, ETE, ANH
Money Flow
Buying on Weakness: XLU, CSCO, QCOM, JPM, BIIB, XLE, ESS, SHY, NWSA, SYY, QID, MSFT, PCLN, VPU
Selling on Strength: SPY, XOM, XLK, DBV, CAT, TIP, PSB, GLD, ESRX, EDU, MCD, EL, LO, DE, ABX, BHP
Consumer
General Motors Company GM - 10,000 of the November 24 / 28 call spread was bought for $0.81. The call spread was bought to open.
Liberty Global Inc. LBTYA – 5000 of the January 30 / 22.5 put spread was bought for $1.45. The put spread was bought to open.
OpenTable Inc OPEN – 2450 of the January’13 60 / 85 call spread was bought against a sale of the January’13 45 puts for a net $1.10 debit.
Collective Brands Inc. PSS – Over the day 5000 of the September 10 calls appeared to be sold at ~$0.55. 5000 of the September 8 puts also appeared sold at $0.15. The two trades were both traded to open and appear to reflect a belief the shares will remain between $8.00 and $10.00 between now and September expiration.
Wal-Mart Stores, Inc. WMT – 2500 of the January 52.5 straddle was bought for $5.91.
Lennar Corporation LEN: seller 4,000 Sep 10/11 put stupid at 36
Energy
Denbury Resources Inc. DNR – 3000 of the December 14 calls were sold at $1.70. The calls were sold to open.
SandRidge Energy Inc. SD – 2600 of the September 10 / 8 put spread was sold at $1.75. The trade is possibly to close.
Industrials / Materials
Barrick Gold Corporation (USA) ABX – 4460 of the October 50 calls were bought for $4.35 to sell 7377 of the January 60 calls at $2.05.
Gold Fields Limited (ADR) GFI – 13,038 of the October 17 calls were bought for $1.35 as well as 7300 of the October 16 calls bought for $1.90 against a sale of ~26,732 of the January 20 calls at $0.75
Kinross Gold Corporation (USA) KGC – 13,580 of the November 19 / February 21 call spread was bought for $0.10. The February 10 calls were sold to open.
Tech
Cree, Inc. CREE – 14,850 of the January 22.5 puts were sold at $2.07 and bought 9900 of the January 25 puts for $2.93 and sold 24,750 of the January 30 call at $5.70 all done against stock at $30.262.
Micron Technology, Inc. MU – 2500 of the January 7.5 / 10 call spread was bought for $0.24
Symantec Corporation SYMC – 9900 of the January’13 20 call were bought for $1.50. The calls are 27.8% out of the money.
Western Digital Corp. WDC - 4850 of the September 28 puts were sold at $2.51 to buy 10,185 of the September 25 puts for $1.14.
Financials
Goldman Sachs Group, Inc. GS – Implied volatility rose 36% following a report that Chief Executive Lloyd Blankfein has hired a high profile defense attorney
JPMorgan Chase & Co. JPM – 5000 of the December 18 / 23 / 28 put fly was bought for $0.39. The maximum profit comes at 23.00 or 31.16% below the current price.
Healthcare
HCA Holdings Inc HCA - 2990 of the December 25 calls were bought for $0.70.
BioDelivery Sciences International, Inc. BDSI - 2300 of the October 2.5 calls appeared to be bought for $1.15. The calls were 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.
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