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.

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.

Options Flow Recap August 2nd

Macro / Thematic

TLT iShares Barclays 20+ Yr Treas.Bond  – 4500 of the December 100 / 95 put spread was bought for $2.52.

SPY SPDR S&P 500 ETF: buyer 63,700 Nov 118/124 put spreads for 1.55, 

SPY (qrtly): buyer 30,000 Sep 128 puts to sell 25,000 Sep 132 puts, collecting 1.29, 

SPY: seller 20,000 Aug 128 puts at 2.27, 

SPY: seller 15,000 Aug 125/130 put spreads at 2.30, 

SPY: buyer 10,000 Oct 110/120 put spread vs 128.28, 15 delta for 1.43

(tough to read since they could be hedges on an overall portfolio, profit taking, or rolls) 

UUP PowerShares DB US Dollar Index Bullish – 5000 of the January 22 calls were bought for $0.39.

XLF Financial Select Sector SPDR – 45,000 of the December 13 puts were bought for $0.44.

XOP SPDR S&P Oil & Gas Explore & Prod. – 3000 of the August 60 / 65 strangles were sold at $1.95.

GLD SPDR Gold Trust (ETF) - buyer 5,730 Oct 170 calls for 2.28, opening

Options Flow Recap August 1st

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

Options 101: Skew

Skew, also referred to as the "smile", is the difference in implied volatility levels of single cycle options. There are two main groups of skew, horizontal and vertical. Horizontal skew shows how implied volatility changes across time and vertical skew depicts the change in implied volatility across strikes.

Although there are many beliefs as to why it exists, in general, skew is a product of supply and demand. Knowledge of skew shapes can help traders identify opportunity and steer clear of danger when spreading in various markets.

Using option analysis software, one can plot implied volatility as a function of both strike price and time to maturity to create an implied volatility surface. This allows traders to quickly determine the shape of the skew and identify any areas where the slope seems irregular.

http://seaofopportunity.blogspot.com/*Special thanks to Option Radar, BMO Capital, MEB Options, LiveVolPro, CBOE, 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.

Options Flow Recap July 13th

Macro / Thematic

IWM iShares Russell 2000 Index – 35,000 of the August 83 / 86 call spread was bought for $1.65 along with a purchase of 35,000 August 82 puts for $1.55.

Options Flow Recap July 11th

Macro / Thematic

EFA iShares MSCI EAFE Index Fund – 10,000 of the August 54 puts were bought for $0.70. Separately, 9000 of the August 56 / 57 put stupid was bought for $2.39.

IWM iShares Russell 2000 Index – 35,000 of the July 82 puts were bought for $0.42 and a separate buyer 35,000 July 82 puts for 42, & a buyer 26,000 Dec 72 puts to sell 19,000 Dec 60 puts, paying 1.41,  & a buyer 22,300 July 81 puts for 23.  

XLU  Utilities SPDR– 1500 of the January’12 31 / 35 strangles were sold at $1.39.

 VIX saw 115% the normal volume with 341K calls and 117K puts traded.  Some larger pit trades:

·         Buyer 10,000 Sep 17 puts for .725

·         Buyer 10,000 July 17 puts for .35

·         Buyer 10,000 Sep 30 calls for 1.05

·         Buyer 5,000 Nov 35 calls vs 21.85, 20 delta for .925

·         Seller 3,500 Aug 19 calls at 2.125

·         Buyer 2,600 Aug 18/25 call spreads for 1.75

Options Flow Recap June 23nd

Thematic / Macro

XLB Materials SPDR (ETF) – 70,000 of the July 37 / 39 risk reversal was bought for $0.69.

SPY SPDR S&P 500 ETF – 20,000 of the July 124 puts were bought for $1.59.

XLF Financial Select Sector SPDR (ETF) September $15/$16/$17 call butterfly, 25,000x50,000 at $0.21

Options Flow Recap June 22nd

Macro

EEM iShares MSCI Emerging Markets Indx: Buyer 5K Sep 39/44 put spreads for 1.00 vs 45.92, 20 delta

VIX saw 66% the normal volume with 318K calls and 127K puts traded.  Some larger trades in the pit:

·         Seller 20,000 Aug 25 calls at 1.525

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 18th

Macro / Thematic

XME SPDR S&P Metals and Mining (ETF) – 20,000 of the June 68 puts were bought for $1.85. It is possibly closing of the short leg of a June 68 /73 put spread that was initiated in April.

XLI Industrial SPDR (ETF) – 50,000 of the June / September 36 put spread was bought for $1.00

VIX saw 134% the normal volume with 289K calls and 179K puts traded.  Some larger trades in the pit:

·         Buyer 20K June 24 puts for 6.45
·         Buyer 10K June 19 puts for 2.20
·         Seller 5.8K June 18 straddles at 3.50
·         Buyer 5K July 21 calls for 2.175
·         Buyer 5000 Jun 30c  --- sld 5000 Jun 18 - 20 p/sprd collects 1.05 on 3-way , x=3000
·         Buyer 10,000 Jul 16 - 20 strgl ---- sld 10,000 Jun 18 strdl  collected 625

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 16th

Macro / Thematic

XRT SPDR S&P Retail (ETF) – 15,000 of the December 44 puts were bought for $1.27. The puts were bought to open and are currently 17.3% out of the money. Note that ~32% of the ETFs components report earnings this week.

VIX saw 130% the normal volume with 299K calls and 151K 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