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.

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.

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.

Options Flow Recap July 7th

Macro / Thematic

XLF  Financial Select Sector SPDR – 25,000 of the October 16 /15 1x2 put ratio spread traded at $0.05. One October 16 put was bought and two October 15 puts were sold.

XLP Consumer Staples Select Sect. SPDR – 20,000 of the January 37 calls were bought for $0.03. Separately, 10,000 of the January 36 calls were bought for $0.07. Both were bought to open.

SPY SPDR S&P 500 ETF – 22,000 of the July(8^th) 135 puts were bought for $0.35. The puts were bought to open and will expire on Friday (July 8^th)  This was tied to stock d-neu so they're looking for a big move tomo...

EFA iShares MSCI EAFE Index Fund - August $54/$57/$60 put butterfly 9,500x19,000 for a $0.45 debit, or $427,500.

Options Flow Recap July 6th

Macro / Thematic

XLF  Financial Select Sector SPDR– 24,000 of the September 16 / 17 call spread was bought for $0.23. The max payoff on the trade is at $17.00 per share or better, representing a 10.5% rally in the XLF over the next 72 days.

XLI Industrial SPDR (ETF) – 10,000 of the September 32 puts were sold to buy 5000 of the December 34 puts for $0.585

SPY SPDR S&P 500 ETF: buyer 15,000 Aug 126/132 put spreads for 1.34

VIX saw 57% the normal volume with 160K calls and 65K puts traded.   Some larger trades in the pit:

·         Buyer 7,500 Aug 18 calls for 2.15
·         Buyer 5000 Sep 27.5 calls to sell the Sep 22.5 straddle, collecting 5.025
·         Seller 4,000 Aug 16/18 call spread vs 18.55 at .91
·         Buyer 3,000 Aug 16/18 put spreads for .125

Options Flow Recap June 30th

Macro

EEM iShares MSCI Emerging Markets Indx (ETF) - Buyer 15,000 July 42/46 put fly for 14

FXE CurrencyShares Euro Trust - seller 5,000 July 140 puts vs 144.38 at .36

IV Changes

Largest IV Increases: LZ, ED, EBIX, TLVT, DNDN, INCY, ZRAN, WCRX, NHP, CORN

Largest IV Decreases: VRGY, VVUS, VIX, EBAY, CP, SPRD, LEG, MRO, HRBN, WCG

Options Flow Recap June 29th

Macro / Thematic

SPY  SPDR S&P 500 ETF – The August 120 / 124 / 128 put fly traded for $0.38, 30,000 x 60,000 x 30,000. This trade makes money with SPY trading on Aug expiration between 127.62 and 120.38, max profit of 3.62 (1 to 9.52 risk reward ratio) with SPY closing on Aug expiration at 124.00

EEM iShares MSCI Emerging Markets Indx (ETF) – The July 41 / 43 / 45 put fly traded for $0.10, 5000 x 10000 x 5000. This spreads offers a 19x1 max payout w/ the max profit being realized with EEM trading at $43 on July expiration.

SMH Semiconductor HOLDRs (ETF)  - 7500 of the August 24 calls were sold at $0.78

Options Flow Recap June 27th

Macro / Thematic

SPY  SPDR S&P 500 ETF – 10,000 of the July 30 calls were bought for $0.43.  Also, a buyer 17,800 July 127 wkly calls for 1.40 & buyer 7,100 June 125 wkly puts for .49

EEM  iShares MSCI Emerging Markets Indx (ETF) – 8500 of the July 44 puts were bought for $0.40.

XLE Energy Select Sector SPDR (ETF) – 41,000 of the July 70 puts were sold at $1.03.

VIX saw 132% the normal volume with 446K calls and 38K puts traded.  10,000 of the July 30 calls were sold at $0.50. Nothing else really stands out to me

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 June 20th

Macro / Thematic

KBE SPDR KBW Bank (ETF) - 40,000 of the December 30 Calls were bought for $0.10. Also, A block of 10K Dec 26/28 call spread was sold at .33.  They do not looks to be connected. KBE holds the largest banks, including JPM, WFC, C and BAC.

XLF Financial Select Sector SPDR (ETF) - 15,000 of the December 19 Calls were bought for $0.05.

USO United States Oil Fund LP (ETF): 2000 wkly 38 calls trade on the offer for .15.

EWT Ishares MSCI Taiwan Index Fund - two block trades as much as 15K Dec 14 puts bought for .74 at -35 delta, which looked like opening transactions.  Overall, 18K puts traded, or 6 times its usual put volume, versus only 286 calls.  It could be protection pursued by investors amid worries of Mainland China stock market, which has been sliding since April 18.

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 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 8th

Macro / Thematic

SMH Semiconductor HOLDRs (ETF) – 14,900 of the July 33 puts at $0.77 appeared to have been sold.

IWM iShares Russell 2000 Index (ETF) – 13,500 September 60 puts were bought for $0.38.

FXI iShares FTSE/Xinhua China 25 Index (ETF) - 1013 July 47 puts trade on the offer for 4.30, opening 80 delta

XHB SPDR S&P Homebuilders - traded 2.5 times its usual volume with 18K calls versus 7K puts.  Price of Jan12 16 calls kept dropping as shares kept sliding.  A block of 35K XHB Jan 16 calls was sold yesterday at $2.36 and open interest declined by 32,543 contracts to 18,313.  Another 12,300 contracts were sold at $2.10 per contract today.  It seems today’s flow close out most of the remaining open interest, as the contract is still $1.23 in-the-money despite the recent losses in the housing sector.   XHB closed down .27 to 17.20.

VIX saw 126% the normal volume with 349K calls and 72K puts traded.  Some larger trades in the pit:

·         Buyer 71K July 35 calls for .325
·         Buyer 12K June 21/July 30 call spread for .15
·         Buyer 3K June 20/21 call spread for .125

Options Flow Recap May 26

Macro / Thematic

EEM iShares MSCI Emerging Markets Indx – 50,500 of the September 41 / 46 put spread was bought for $1.39. The spread was bought to open.

VIX saw 75% the normal volume with 161K calls and 91K puts traded.  Some larger trades in the pit:

·         Buyer 15K June 27.5/29 call spread for .08
·         Seller 12K June 21/July 30 call spreads at .10

May's "Trade of the Day" Reviews

Since today is May expiration, we thought we'd look back and see how the pro "Trades of the Day" did.


On April 26th, a trader sold 10,000 May $97 calls at $0.13 and bought 5,000 May $94 calls at $0.68 for a debit of $0.42 or $210,000. You can read a recap of the trade here:  TLT May $94/$97 1x2 ratio spread. This trader killed it! TLT closed trading today at $95.32. We calculated the break even price for the spread @ $94.42 so if they held it to the close today (highly unlikely) they would have make .90 on 10k contracts or $900k.  Not a bad couple of weeks.  Huge win!


On April 19, A trader sold 4,000 May $37 puts at $0.16 and bought 4,000 May $40 puts at $0.63 for a debit of $0.47 or $188,000 in DIS. A bear vertical that didn't work out but could have been a hedge.  The toughest part about reading option prints is that you don't know if they already have a position or not.  It is interesting that after the 19th, the stock rallied 3 points.  We'll count this as a loss. 

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

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.