Macro
SPDR S&P 500 ETF SPY: buyer 22,900 Sep 109/115 qrtly put spread 2x1 for .86
SPY: seller 5,300 Oct 108/114 put spreads at 1.36
SPX saw 58% the normal volume with 257K calls and 442K puts traded. Some larger trades in the pit:
· Buyer 9,000 8/26 1200/1215 call spread for 1.00 vs 1158.50· Buyer 5,000 Sep 1160 puts for 30.00 vs 1173.75
· Buyer 5,000 March 950 puts for 40.40 vs 1163.00
· Buyer 3,000 Nov 1075/1250 risk/reversals for 17.80, buying put, 38 delta
· Buyer 2,000 Oct 1000 puts for 15.30, 18 delta, tied to 1181.00
VIX saw 46% the normal volume with 190K calls and 272K puts traded. Some large trades in the pit:
· Buyer 15,000 Sep 25 puts for .35 (10K) and .325 (5K)· Buyer 10,000 Oct 25 puts for 1.05
· Buyer 10,000 Sep 25 puts for 325
· Seller 10,000 Nov 22.5/24/30 put tree at 2.325
· Seller 10,000 Nov 24 puts at 925
· Seller 7,500 Sep 60 calls at 575
· Buyer 5,000 Oct 50 calls for 1.475
· Buyer 2,500 Sep 32.5/45 call spreads for 2.80
· Seller 2,000 Sep 45/50 call spread at 1.25
IV Changes
Largest IV Increases: MFA, NLY, PEG, AOL, HTS, SHAW, AGNC, HCBK, ALL, CB
Largest IV Decreases: TIVO, PSS, SIGM, VIX, GES, BIG, BSBR, TWO, BAC, PGN
Money Flow
Buying on Weakness: GOOG, EWZ, MBB, MSFT, PEP, VWO, WMB, CSCO, IWM, MMI, EZU, S, CAT, JNJ, INTC
Selling on Strength: BAC, GDXJ, SHY, C, SCHO, WFC, FAZ, TIP, ITUB, TWM, PFF, GVI, FMCN, IAU, MS, SIG, SHO
Consumer
Abercrombie & Fitch Co. ANF - 1300 of the February 60 / 75 1x2 call ratio spread was bought for $2.11. The call spread was bought to open.IAC/InterActiveCorp IACI - 8500 of the April 25 puts were bought for $0.65 versus stock at $37.00 a share delta neutral. The puts were bought to open.
Liz Claiborne, Inc. LIZ - 4000 of the October 5 calls were bought for $0.45. Separately, 8000 of the October 6 calls were bought for $0.275.
Energy
Halliburton Company HAL - 37,000 of the January 30 / 45 bullish risk reversal was bought for $1.35 tied to 1.11 million shares at $40.28. The combo was bought to open.
Noble Energy, Inc. NBL - 4600 of the October 82.5 calls were sold at $5.51. The calls were sold to open.
Industrials / Materials
Honeywell International Inc. HON - 10,000 of the December 35 / 48 bullish risk reversal was bought for $1.00. The trade was not tied to stock and appears to be to open.
Harbin Electric, Inc. HRBN - 6000 of the December 17.5 calls were bought for $3.40. The trade was tied to 115,000 shares at a price of $17.00.
Knight Capital Group Inc. KGC - 25,000 of the January 20 / 25 call spread was bought for $0.50. The transaction is possibly to close.
Newmont Mining Corporation NEM - ~8700 of the January 67.5 / 80 calls spread appeared to be sold at $1.62. At the same time the ~3300 of the January 60 / 75 call spread was bought for $3.95. The two transactions took place on two different exchanges, it is likely that one investor closed the further out of the money call spread and bought to open the January 60 / 75 call spread in a smaller quantity.
The Shaw Group Inc. SHAW - 10,000 of the September 25 calls were bought for $0.15. The calls were bought to open.
Tech
Cisco Systems, Inc. CSCO - 8000 of the January 10 / 15 3x1 put ratio spread was sold at $0.66. The spread was sold to open.
NetApp Inc. NTAP - 10,000 of the September 33 / 39 bullish risk reversal was bought for $0.60. The position appears to be to open and was tied to stock at $37.55.
Virgin Media Inc. VMED - 5000 of the January 33 calls were bought for $0.55. The calls appear to be bought to open.
Financial
Bank of America Corp BAC - 10,000 of the August 26th (weekly) puts were bought for $0.05. The puts were bought to open.
Annaly Capital Management, Inc. NLY - 4500 of the September 18 calls appear to have been bought for $0.27.
Wells Fargo & Company WFC - 10,000 of the January 20 / 30 bullish risk reversal was sold at $0.80. The combo is tied to 498,000 shares at $24.66.
Healthcare
Merck & Co., Inc. MRK - 7500 of the January '13 20 / 35 2x1 bullish ratio risk reversal was sold at $0.16. The investor sold twice as many of the downside puts.
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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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