Options Flow Recap July 19th

Macro / Thematic

VIX - 19,000 of the September 16 puts were bought for $0.29.

XLE Energy Select Sector SPDR  - 32,000 of the September 83 calls were sold at $0.94. The trade appears to be to open and possibly tied to 300K shares at $77.29. 

Options Flow Recap June 21th

Macro / Thematic

SPY SPDR S&P 500 ETF  – 25,000 of the  July 129 / 125 put spreads were bought for $1.08.

GDX Market Vectors Etf Trust – 2250 of the August 59 calls were sold at $0.77. The calls were sold to open.

Options Flow Recap June16th

SPY SPDR S&P 500 ETF  buyer 17,000 July 127 puts vs 127.10 d-neu for 2.90


XLF Financial Select Sector SPDR (ETF) buyer 7,500 March 14/18 call spread vs 14.80, 47 delta for 1.45


XLB Materials SPDR (ETF)  buyer 7,500 June 36 puts for .14 vs 36.72, 26 delta


GDXJ Market Vectors Junior Gold Miners ETF buyer 3,000 July 30 calls vs 32.40, 50 delta for 3.25

Options Flow Recap June15th

Macro / Thematic

Financial Select Sector SPDR (ETF)  XLY – 20,000 of the July 37 puts were bought for $0.57. It appears to be to open.

SPDR Gold Trust (ETF)  GLD buyer of 22,150 July 150 calls vs 149.19, 45 delta for 2.14 

SPDR S&P 500 ETF SPY buyer 12,000 July 123 puts vs selling 3,000 July 127 puts, selling 9,000 July 125 puts=collecting $870,000

PowerShares DB US Dollar Index Bullish UUP buyer 5,000 Dec 21 calls for 1.08

iShares MSCI Brazil Index (ETF) EWZ seller 3,250 June 71 puts vs 71.45, 40 delta at 47

iShares Barclays 20+ Yr Treas.Bond (ETF)  TLT buyer 4,000 Sep 100 call vs 96.48 for 1.21, 25 delta

Financial Select Sector XLF saw large blocks of Jan 16 calls two days in a row.  Today, 25K-contract blocks traded at .59 (hard to tell side).  Two more (10K each) Jan 16C totaling 20K also traded at .59.  All three blocks traded on the ISE, where sentiment data indicated a customer bought a new position – 45K total, which increased the open interest of Jan 16C by 44,985 contracts to 142,582.  XLF will also have ex-dividend day on June 17.

Options Flow Recap June 14th

Macro / Thematic

EEM iShares MSCI Emerging Markets Indx (ETF) – 25,000 of the July 50 calls were bought for $0.18.

SPY SPDR S&P 500 ETF - 24,000 of the June 130 calls were bought for $0.38.

VIX saw 181% the normal volume with 316K calls and 251K puts traded.  Some larger trades in the pit:

·         Seller of 9500 July 25 call for .925
·         Seller of 13K June 17/18 put spread for .4125
·         Seller of 25K Aug 17/June 18 put spread 1:2 for .05
·         Seller of 8450 Jul 20/Sep 25 call spread for .10
·         Buyer of July 25 call, Seller of Jul 20 straddle 10K times, collects 3.475

Options Flow Recap June 13th

Macro / Thematic

Financial Select Sector SPDR (ETF) XLF – 20,000 of the September 16 / 15 put spread were sold at $0.59.  (Bullish action continues)

SPDR Gold Trust (ETF)  GLD 20,000 July 149 calls trade above the offer @ 2.57, looks opening, 50 delta

 VIX saw 124% the normal volume with 303K calls and 106K puts traded.  Some larger trades in the pit:

·         Buyer of 5k July 30 call for .60
·         Buyer of 10k Jul 20/25 call spread for .925
·         Buyer of 5k Jul 20 call for 2.075
·         Buyer of 7650 Jul 20 call for 2.375
·         Buyer of 10k June 17 put for .075

Options Flow Recap May 24th

Macro / Thematic

SMH Semiconductor HOLDRs – 7500 of the June 32 / 34 put spread was bought for $0.31. The spread was bought to open.

VIX saw 66% the normal volume with 185K calls and 49K puts traded.  The most active VIX options were: June 25C (17K), Nov 35C (15K), June 32.5C (15K), July 30C (14K), Sep 30C (14K).  

Options Flow Recap May 17th

Macro / Thematic

XLE Energy Select Sector SPDR – 17,000 of the June 40 / 45 call spreads were sold at $3.20.


XLV The SPDR Healthcare Fund - has traded over 4 times its usual volume after 41,100 Sep 35 puts have changed hands.  It appears they were bought in blocks from an opening put buyer with a 38 delta on the trade.  Implied vol was about 17% on the trade while historicals are: 10% (20d), 11.8% (60d), 10.8% (120d).  The IV30 52 week high is 30.99 while the low is 12.13.  The fund has hit a 52 week high of 36.34 and a low of 27.09.  XLV closed unch.

SPY SPDR S&P 500 ETF – 10,000 of the May 135 calls were bought for $0.15.

VIX saw 129% the normal volume with 331K calls and 125K puts traded.  Some larger trades in the pit:

·         Buyer 10K May 20 calls for .175
·         Seller 9K June 16 puts at .45, vs 18.60, 20 delta
·         Buyer 8K May 17 puts for .475
·         Buyer 5K May 21 calls for .125 vs 17.40, 10 delta
·         Seller 5K May 16 puts at .275, vs 16.85, delta neutral

MKM Partners Morning Derivatives Note

Open publication - Free publishing

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.

Options Flow Recap May 10

Macro / Thematic

iShares MSCI Japan Index (ETF) EWJ – 20,000 of the June 10 calls appear to have been bought for $0.70.

SPDR KBW Bank (ETF)  KBE – 20,000 of the June 26 calls were bought for $0.35

Option Flow Recap May 9th

Macro / Thematic

EEM iShares MSCI Emerging Markets Indx (ETF) - 15,000 of the June 46 puts were bought for $0.65. 10,000 of the June 49 calls were sold at $0.65.

SPX saw 51% the normal volume with 109K calls and 212K puts traded.  The most active SPX options were: Sep 800P (10K), May 1250P (9.9K), May 1350C (8.2K), June 1350P (8.1K), June 1350C (8K).  The top open interest positions are: Dec 1400C (196K), June 1300P (153K), June 1325P (150K), June 1325C (148K), Dec 400P (142K).

VIX saw 88% the normal volume with 246K calls and 42K puts traded.  Some larger trades in the pit:

·         Buyer 14K May 27.5 calls for .20
·         Buyer 10K May 25 calls for .25
·         Seller 7.5K June 19 puts at 2.075
·         Buyer 5K May/June 18 put spread for .025
·         Buyer 5K July 22.5/27.5 call spreads for .85

Option Flow Recap May 5

Marco

Technology led the way with 2.4M contracts traded (97% normal with 66% calls and 34% puts). The Oil & Gas sector followed with 1.4M contracts traded (168% normal with 59% calls and 41% puts). The Basic Materials were the next most active with 1.3M contracts traded (132% the normal with 62% calls and 38% puts).

UUP PowerShares DB US Dollar Index Bullish - buyer 26,400 Jan12 24 calls for .18

Financial Select Sector SPDR (ETF) XLF - seller 75,000 May 15 puts at .035 

VIX - 

·         Buyer 9,700 May 16 puts for .30
·         Buyer 5,000 May 16/17 put spread for .375
·         Buyer 3,500 June 22.5 calls for 1.525
·         Seller 3,000 May 19/June 24 call spread at .10
·         Buyer 10,000 June 18 puts for 1.15 (3K), for 1.20 (7K)

Option Flow Recap May 4th

Macro / Thematic

REE Rare Element Res Ltd Ordinary Shares - 12,000 of the July 12 puts were sold at $1.20. The puts were sold to open.

SLV iShares Silver Trust (ETF) – 25,000 of the May 36 / 38 put spread were sold at $0.76. This could be the closing of an existing position or a roll of a position down from the 38 to the 36 puts.

XLE Energy Select Sector SPDR – 10,000 of the June 76 straddles were sold at $5.50.

XOP SPDR S&P Oil & Gas Explore & Prod. (ETF)  – 10,000 of the June 63 puts were sold to buy 20,000 of the June 59 puts with the investor collecting $0.025.

Option Flow Recap & Chart Review May 3

Click the links to pull up the chart

Macro / Thematic

UUP 

PowerShares DB US Dollar Index Bullish 

– 2500 of the September 23 / December 24 calls stupid was purchased for $0.29. The calls were both bought to open.  Has UUP capitulated? 

IWM 

iShares Russell 2000 Index 

– 10,000 of the June 77 puts were sold at $0.81.  Found support on its 20 ema today... 77 puts are below support from Jan and March. 76.19 break even

Option Flow Recap April 29th

Consumer

DDS Dillard's, Inc. – 6000 of the May 35 / 38 risk traded for $10.25 and 6000 of the June 40 / 45 bearish risk reversal traded for $4.15. It appears to be a roll from the May risk reversal into a June risk reversal.

EK Eastman Kodak Company – 5000 of the May / October 3.5 call spread was bought for $0.34. It is likely a roll of a position out several months.

AMR AMR Corporation – 3700 of the June 7 calls were bought for $0.13. The calls were bought to open.

Option Flow Recap April 28th

Macro / Thematic

XLF Financial Select Sector SPDR  - ~37,000 of the June 16 / August 15 put spreads traded with the investor collecting $0.025.

Option Flow Recap April 27th

Macro / Thematic

KRE SPDR KBW Regional Banking (ETF)  - 10,000 of the June 22 puts were bought for $0.09

SPY SPDR S&P 500 ETF - 21,200 of the July 145 calls were bought for $0.31 against a sale of 4800 of the July 125 puts at $1.37

XLF Financial Select Sector SPDR (ETF) - 35,000 of the June / July 16 put spread was bought for $0.14.