Morning Note Oct 14

October 14, 2011


Equity futures are trading above fair value ahead of today's Oct Michigan Consumer Sentiment at 09:55 ET and as G20 Finance ministers are meeting in Paris today to find a solution to the debt crisis. Greece remains the central focus but fears of a spread to other Eurozone countries and banks remains high.

Options Flow Recap Oct 10

Macro / Thematic

iShares MSCI EAFE Index Fund EFA - 2200 of the November 52 calls were sold at $1.66.
iShares MSCI Japan Index EWJ - 30,000 of the December / March 10 call spreads were bought for $0.20. Likely a roll of a bullish position out to March.
SPDR Gold Trust GLD - 6000 of the November 163 / 171 1x2 call ratio spread was sold at $0.10. The investor bought one 162 call and sold two 171 calls.
Direxion Small Cap Bear 3X Shares TZA - 10,000 of the November 45 / 50 call spread was bought for $3.00. The calls spread appears to be bought to open. (I could see the argument that TZA is at support but risk 3 to make 2? There are better ways to play this)
PowerShares DB US Dollar Index Bullish UUP - 46,300 of the December 22 calls were sold at $0.38.  ($ bounce might be over... traders taking profits)

Morning Note Oct 7th

October 7, 2011


US equity futures are trading lower ahead of September unemployment data due at 8:30 ET

Lipper reports equity fund outflows of ($5.9B) in w/e 5-Oct vs outflows of ($5.9B) in w/e 28-September. Ex-ETFs, outflows were ($638M) in w/e 5-Oct vs outflows of ($1.7B) in w/e 28-Sep.

Option Flow Recap Oct 3rd

Macro / Thematic

IWM – 43,000 x 49,000 of the October 63 / 69 ratio put spread was sold at $3.87 (as if 1 to 1). The trade appears to be a roll down from the October 69 puts to the October 63s.

IYR – 20,000 of the December 60 puts were bought for $10.10. The puts appear to be bought to open.

SPY – 13,000 of the November 100 / October 115 put spread was sold at $3.55. The trade appears to be roll from the October 115 puts down to the November 100 puts.

UNG – 28,000 of the January 10 calls were bought for $0.35 tied to $8.95 stock.

XOP – 10,000 of the December 49 / 43 put spread was sold at $3.65 to buy 20,000 x 30,000 of
the December 40 / 30 ratio put spread for $0.13 (as if 1 to 1) and sold 20,000 of the December 52 calls at $1.12. The ratio put spread collar was an opening transaction.

Morning Note Oct 3rd

October 3, 2011


US equity futures are off the worst levels of the morning following Asia and Europe lower as continuing concerns over the banking sector and slowing global growth are once again highlighted after Greece admitted over the weekend it would miss it's Fiscal targets. With no resolution in sight to the EU debt crisis, anxiety continues to weigh on markets.

Morning Note Sept 30th

September 30, 2011


US equity futures are lower following Asia and Europe lower after slowing manufacturing numbers in China and weaker retail sales figures out of Germanyweigh on the markets.

Lipper reports equity fund outflows of ($5.9B) in w/e 28-Sep vs outflows of ($1.6B) in w/e 21-September. Ex-ETFs, outflows were ($1.7B) in w/e 28-Sep vs outflows of ($171M) in w/e 21-September.

Options Flow Recap September 1st

Macro / Thematic

IWM - 10,000 of the October 71 / 63 put spread was bought for $2.34.

SPY - 10,400 of the September 102 / 112 put spread bought for $0.45; bought 5000 September 107 puts for $0.30 and bought 10,000 of the September 117 / 108 put spread for $1.00 as a package. 

XLI - 5000 of the December 34 calls were sold at $1.15 tied to stock at $32.16 on a 36 delta.

Consumer

DISH - 10,000 of the January'13 40 calls were bought for $0.95. The trade was tied to 158,000 shares and appears to be to open.

LIZ - 8500 of the October 4 calls were bought for ~$0.30. The calls were bought to open.

ZQK - 2500 of the September 4 calls were bought for $0.375. The calls were bought to open ahead of earnings on September 2nd (before the open)

Energy

BP - 4500 of thre October 34 puts were sold at $0.72. The puts were sold to open.

Industrials / Materials

AUY - 2500 of the January 15 puts were sold at $1.16. The trade was tied to stock at $16.05 on a 35 delta.

DOW - 3000 of the January 26 puts were bought for $2.14. The trade was tied to stock at $28.25 on a 34 delta.

X - 6500 of the October 33 calls were bought for $1.10.

Tech

ALU - 6245 of the December 3.5 puts and 5437 of the December 4 puts were sold at $0.40 and $0.70 respectively. Both trades appear to be sold to open.

LXK - 5200 of the October 32 puts were bought for $1.75. The puts were bought to open.

RIMM - 9200 of the September 29 / 42 risk reversal was bought for $0.27. The risk reversal was tied to 375,000 shares at $32.81

XRX - 15,000 of thhe October 8 / 9 strangle was sold at $0.68. The strangle was sold to open.

Financials

ETFC - 9000 of the September 11 / 13 strangle was sold at $0.78.

ITUB - 4000 of the Janaury'13 20 calls were sold at $2.52. The trade was tied to stock at $19.18.

Healthcare

IRWD -  6100 of the February 17.5 calls were sold at $0.20. The calls were sold to open. 

http://seaofopportunity.blogspot.com/ 


 *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.

Morning Note

August 15, 2011




US futures are all trading higher relative to fair value following last week's unprecedented volatility.

Options Flow Recap Aug 11th

Macro / Thematic

GLD SPDR Gold Trust - 20,000 of the September 158 calls were sold to buy the December 195 / 205 call stupid collecting $7.15 on the leg legs. The December  call stupid was bought to open.

SPY SPDR S&P 500 ETF - 100,000 of the September 124 calls were bought for $0.24 early in the day's session. The calls were bought to open.

Morning Note

August 11, 2011


US equity futures are lower this morning following yesterday's selloff over continued European sovereign debt wories, this time over rumors that France's triple-A credit rating could be cut. These rumors have since been vigorously denied, but concerns over US bank exposure to European banks coupled with prolonged low interest rates and prolonged slow growth in the US persist. Weekly jobless claims will be the economic focus at 08:30 ET.

Options Flow Recap Aug 9th

Macro / Thematic

FXI – 25,000 of the January 36 puts were bought for $3.10. The trade was tied too 1.12 million shares at $36.71.

IYR – 50,000 of the December 50 puts were sold at $3.30.

SPY – 30,000 of the August 109 / 116 put spread were sold at $2.67 following the release of the FOMC statement.

XRT – 28,500 of the September 58 calls were bought for $1.50.

Morning Note

August 9, 2011

US futures continue to be volatile, with Dow futures oscillating between a loss of (318) points and a gain of 324 points.

Today's main focus will be the release of the Fed statement from today's FOMC meeting, scheduled for 14:15 ET.

Treasury Auction of 3-yr notes at 13:00 ET

Greece sells €812.5M 6M T-Bills, average yield 4.85% vs prior auction 4.90%, bid to cover 3.06 vs prior 2.88

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

Morning Note

(added some support/resistance levels on this note... let us know if its helpful or not)


August 8, 2011




US equity futures are trading sharply lower following S&P's historic US credit rating downgrade to 'AA+' from 'AAA' after the market closed on Friday. US futures did recover somewhat after the European Central Bank promised to intervene in the Eurozone Bond market, though have moved back down again.

New Options Exchange in.... Iran

this article originally appeared here: 

Tehran bourse moves towards options launch

Iran’s bourse plans to expand its fledgling derivatives market by launching options in the coming months despite the cold shoulder traders have given to single stock futures.

Morning Note

August 5, 2011

Equity futures are trading near fair value, following yesterday's sharp selloff, which sparked corresponding weakness in Asia and Europe today. All major indices are in correction mode as traders contend with weakening US economic data and the latest debt drama in Europe. Today's key will be the July employment data at 08:30ET.

EU's Rehn says political will to defend the euro should not be underestimated; finalisation of the details of the 21-July leaders agreement expected in weeks, not months. Rehn's says markets have not reacted to 21-Jul agreement as expected and work is continuing to put flesh on the bones of the agreement. The lending capacity of EFSF and its scope should be boosted.

ECB said to have purchased bonds of Portugal and Ireland for second consecutive day. ECB was buying a small amount of short-term debt, according to one source.

Lipper reports equity fund outflows of ($7.5B) in w/e 3-Aug vs outflows of ($2B) in w/e 27-Jul

Morning Note

August 2, 2011

Equity futures indicate a lower opening following yesterday's disappointing ISM number and continued worries over potential US sovereign debt- downgrade.

The debt ceiling deal passes in House with more support than expected. The Senate will vote on debt deal at 12 EST. Given the size of the deal, the question remains whether S&P (or the other rating agencies) still cut the US credit rating.

Italian and Spanish yields hit new highs relative to German Bund yields – yesterday’s sell off blamed on concern that EFSF does not have enough funding.

Morning Note

*As I add to my morning note I'll try to update this post up until about 10 mins before the market so refresh or check back. 

July 21, 2011

Equity futures are now near fair value having initially followed European indices and the euro lower, after Eurogroup's Juncker said that selective default for Greece was a possibilty and after it was reported the draft EU statement for Greece proposed lowering the EFSF lending rate for Greece to 3.5% and public sector support for Greece extended for a minimum of 15 years. It was also reported that Germany and France have ruled out a bank tax as part of a deal on Greece.

HSBC July Flash China PMI 48.9 vs 50.1 sequentially.

Japan recorded an unexpected trade surplus in June, the first in three months.

Morning Note

July 13, 2011

Equity futures are trading above fair value as European indices and the Euro bounce, on the absence of any bad news rather than good news. Asian markets started slow and rallied after the release of positive Chinese data showing the tightening measures have not slowed the economy down to date.

Fed Chairman Bernanke testifies before House Financial Services Committee at 10:00 ET

Treasury Auction of 10-yr notes at 13:00 ET

Bullish sentiment increases to 44.1% from 40.9% in the latest US Investor's Intelligence poll. Bearish sentiment decreases to 22.6% from 24.9%. Those expecting a market correction decreases to 33.3% from 34.4%.

Death Derivatives Emerge From Pension Risks of Living Too Long - Bloomberg

Death Derivatives Emerge From Pension Risks of Living Too Long - Bloomberg

I'd love to hear people thoughts on this... very interesting and could have all kinds of unintended consequences. 

"Pension funds sitting on more than $23 trillion of assets are buying insurance against the risk their members live longer than expected. Banks are looking to earn fees from packaging that risk into bonds and other securities to sell to investors. The hard part: Finding buyers willing to take the other side of bets that may take 20 years or more to play out."