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.

Morning Note Oct 11th

October 11, 2011


US equity futures are following European markets lower as ECB's Trichet reiterated a sense of urgency in regard to dealing with the Eurozone Sovereign debt crisis in order to avoid contagion. The Slovakian vote on approving changes to the EFSF rescue fund is expected at ~7:00 ET is looking less likely to be approved though there are reports that the parliament can put the ratification to repeated ballot once a political agreement with the opposition is in place. Earnings season unofficially kicks off with Alcoa (AA) after the close.

EU/IMF/ECB inspectors say Greece will miss 2011 target, says Greek 2011 fiscal target no longer within reach.

Sep NFIB Small Business Index 88.9 vs. 88.1 in August

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.

Morning Note Oct 4th

October 4, 2011


US equity futures are lower as continuing concerns over contagion risk to the EU debt crisis, capital needs in the banking sector and slowing global growth concerns all weigh on investor sentiment. Attention will turn to Fed Chairman Bernanke's testimony on the economy to Congress today at 10:00 ET.

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 Sept 12

Macro / Thematic

EFA – 6000 of the September 49 puts were sold at $1.46.

SPY – 6000 of the October 110 puts were sold at $4.00

Morning Note Sept 7th

September 7, 2011




US equity futures are all trading higher following higher openings across Asia and Europe, which got an additional boost after the constitutional court in Germany rejected lawsuits aimed at blocking participation in euro zone bailouts.


II Data: Bullish sentiment declines to 38.7% from 40.9% in the latest US Investor's Intelligence poll. Bearish sentiment increases to 37.6% from 36.6%. Those expecting a market correction increases to 23.7% from 22.5%

Morning Note Sept 6th

September 6, 2011


US Equity futures are trading lower relative to fair value, playing catch-up after yesterday's sharp selloff in Europe as global growth worries and heightened concern in dealing with the region's sovereign debt crisis continue to take center stage. Attention will focus later today on August growth in the service sector due at 10:00 ET.

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 Sept 1st

September 1, 2011
US equity futures are trading lower following European Economic data that generally came out weaker than expected abd begative sovereign debt headlines. The market is awaiting ISM Manufacturing data due at 10:00 ET where consensus of 48.5 suggests contraction which was last seen in Jul 2009.

Spanish T-Bond: Spain treasury sells €3.62B in new 5-yr bond. Bid-to-cover ratio 1.8. Average yield 4.489%

Options Flow Recap Aug 25th

Macro

iShares Russell 2000 Index (ETF)   IWM: buyer 50,000 Oct 50/63 put spreads for 1.75 to sell 25,000 Oct 78 calls at .54


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

Morning Note & Options Flow Recap

August 17, 2011




US Futures are trading higher this morning, following yesterday's volatile session, when the US markets rebounded twice from negative headlines out of Europe, though still closed lower. First was the disappointing GDP figure from Germany (considered Europe's strongest economy) showing the economy had all but stalled and second came after the meeting between French President Sarkozy and German Cancellor Merkel after they reiterated opposition to Eurobonds. After the close, DELL beat on Q2 EPS, though missed on revenues and guided Q3 revenues below consensus, and reduced full-year revenue guidance.


Dallas Fed President Fisher speaks on monetary policy at 13:20 ET

Morning Note

August 15, 2011




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

Morning Note

August 12, 2011

Equity futures have reversed earlier declines and are all now pointing to a positive open following a strong reversal in Europe after a ban on short-selling in many financial stocks was imposed by France, Spain, Belgium and Italy.

EC, ECB and IMF issue press release following First Review Mission to Portugal. The assessment is that the program is on track and that economic growth and inflation for the year as a whole are expected to remain in line with the program framework. Exports have been relatively strong; consumer confidence indicators are steady; and employment has remained broadly stable
While GDP is expected to contract by 2.2% this year, a recovery remains projected to begin taking hold in early 2013.

Lipper reports equity fund outflows of ($14.4B) in w/e 10-Aug vs outflows of ($7.5B) in w/e August 3rd. Equity fund outflows were the largest since late-May of 2010. Ex-ETFs, equity fund outflows were ($11.4B) in w/e 10-Aug vs ($3.4B) in w/e 3-August.

Fed reports balance sheet assets of $2.88T on Wednesday, +$5.2B w/w and $545.3B y/y. Holdings of US Treasury securities were $1.64T on 10-Aug, +$3.8B w/w and +$867.7B y/y. Holdings of mortgage-backed securities were $897.3B on 10-Aug, unch. w/w and ($22.2B) y/y. Holdings of federal agency debt securities were $112.4B on 10-Aug, unch. w/w and ($46.9B) y/y

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.

Trade of the Day: Teva Pharma December $40/$47.50 call spread

The Trade

Trader bought the December $40 call and sold the December $47.50 call 5,000x for a debit of $1.92. Maximum risk is $960,000, the total debit. Profit potential is limited to $2,790,000 with a move to $47.50 or more.