Macro / Thematic
EEM iShares MSCI Emerging Markets Indx – 10,000 of the August 46 / 47 strangle was bought for $1.85, tied to 46.82 stock.
SPY SPDR S&P 500 ETF – 30,000 of the August 131 / 121 puts spread was sold to buy the August 125 / 115 put spread with the investor collecting $1.89.
IWM iShares Russell 2000 Index – Over 200,000 of the September 87 calls were bought on the day for $0.24 to $0.26.
UUP PowerShares DB US Dollar Index Bullish – 10,000 of the January 22 calls were bought for $0.22 & 10,000 Dec 21 puts trade on the offer for 55
In the VIX
VIX saw 113% the normal volume with 345K calls and 147K puts traded. Some large trades in the pit:
· Seller 10,000 Sep/Oct/Nov 17 call flys at .675· Buyer 9,000 Sep/Dec 35 call spreads for .35
· Buyer 5,000 Aug 37.5 calls for .25
· Buyer 5,000 Aug 22.5 calls for 1.15
· Buyer 4,000 Aug 30/35 call stupids vs 20.25 d-neu for .775
· Buyer 4,000 Aug/Sep 22.5/32.5 call swap for .325
· Buyer 3,500 Aug 20 puts for 1.35
· Seller 2,500 Sep 20 puts vs 20.25 d-neu at 2.35
· Buyer 2,500 Aug 19/22.5 strangles for 2.30
· Buyer 2,000 Aug 20 puts for 1.45
Largest IV Increases: LIWA, GA, IO, HYG, KMP, HS, BVN, PFCB, GILD, GRMN
Largest IV Decreases: AGNC, NLY, NYB, TWO, HTS, ETP, JAZZ, ALL, HBC, D
Consumer
MGM MGM Resorts International – 10,000 of the January’13 15 puts were bought for $3.40. The trade was tied to 380,000 shares at $15.25.
PG The Procter & Gamble Company – Over 9500 of the Janaury’13 75 calls were bought for ~$0.61.
F Ford Motor Company - sweep: 11,147 Oct 15 calls trade on the bid at 13, 14 delta (recalling 1.1miln pickups for gas tank issues)
M Macy’s - the $12.5B retailer, traded twice the normal volume of call options versus half the expected puts. The company reports 2nd quarter earnings on August 10th and is expected to come in at .486/share compared to last quarter’s 30/share. On the tape, someone traded 6500 Sep 30 calls on the offer for 1.06 in an opening transaction. The trade has a 41 delta and an IV around 29 compared to historical levels of: 30.6% (20 day), 32% (60 day), 29% (120 day). Macy’s has traded between 18.70 and 30.62 in the past 52 weeks and the mean price target for analysts is about $35.
Energy
COP ConocoPhillips – 1500 of the August 70 / 75 bearish risk reversal appeared to be bought for $0.43.
MPC Marathon Petroleum Corp – 5000 of the August 45 calls were sold at $1.30. The calls were sold to open.
MMR cmoran Exploration Co – 1300 of the August 16 puts appeared bought for $0.38.
CNP Centerpoint Energy - $8.29B public utility holding company, traded 8 times the usual options volume in anticipation of earnings on August 4th. Analysts are expecting 227/share compared to last period’s .35/share. The company’s stock has ranged between 14.12 and 20.36 in the past 52 weeks and ATM IV is quite high around 28 compared to historical levels of: 17% (20 day), 15% (60 day) and 20% (120 day). In what appears to be a sweep, someone bought 1500 Feb 20 calls for 1.10 at the CBOE. The trade is an opening transaction with a 27 IV and 47 delta.
Industrials / Materials
GR Goodrich Corporation – 2500 of the August 55 calls were bought for $0.60.
HMY Harmony Gold Mining Co. – 5000 of the August / November 15 call spread was sold at $0.475. The trade appears to be a roll of a short call position from August to November.
Tech
LEAP Leap Wireless International, Inc – 2000 of the August 13 straddle was sold against a purchase of January’13 10 puts for $0.50.
SNDK SanDisk Corporation – 5000 of the September 41 / 37 put spread was bought for $1.25.
Healthcare
BLUD Immucor, Inc. – 3000 of the August 25 puts were sold at $0.10.
TEVA Teva Pharmaceutical Industries Ltd – 10,000 of the January’13 47.5 calls were sold at $3.675. The trade was tied to 450,000 shares at $44.00.
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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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