Options Flow Recap Oct 11

Macro / Thematic

EEM – 76,000 of the October 36 / 39 put spread was sold at $1.11. The put spread was sold to close and likely closes a position opened approximately one month ago for a $0.55 debit.

SPY – 30,000 of the January 110 puts were bought for $4.44. 40,000 of the January 105 puts were bought for $3.29. 20,000 of the January 85 puts were bought for $0.92. 50,000 of the January 100 puts were sold at $2.43 and 40,000 of the January 90 puts were sold at $1.28. The trade was done as a package.

VIX – 18,000 of the January 25 puts were bought for $1.075.

XLF – 17,000 of the January 12 puts were sold at $0.98.

Morning Note

*I'll update this post as I get more info up to 10 minutes before the open.

July 22, 2011

Equity futures are trading above fair value, following Europe higher after Eurozone leaders agreed a further €159B aid package to Greece to which private lenders will contribute. Three of the four options offered to lenders to swap or relend existing debts would extend Greece's repayment terms by 30 years, while the fourth would do so by 15 years. All options offer a much lower interest rate thanGreece's current 15%-25% cost of borrowing.

Options Flow Recap July 21st

Macro / Thematic

SPY SPDR S&P 500 ETF: buyer 10,000 Aug 130 puts for 1.10

 XLP Consumer Staples Select Sect. SPDR : buyer 6900 Aug 33 calls for 05

EWZ iShares MSCI Brazil Index: buyer 2,560 Sep 76 calls for 76

EWJ iShares MSCI Japan Index - 10k Sept 11 calls bot

High Volume = Opportunity (>5k options Volume, July 21st)

High Volume = Opportunity (>5k options Volume, July 21st)

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 Recap July 20th

Macro / Thematic

GLD  SPDR Gold Trust - 20,000 of the August 162 / 171 call spread bought for $0.64. The trade was tied to 300,000 shares at $154.82 and appears to be to open.

VIX - 50,000 of the September 25 / 32.5 1x2 call ratio spread was bought for $0.075. The call spread traded 50,000 x 100,000.

Options Flow Recap July 18th

Macro / Thematic

GLD SPDR Gold Trust (ETF) – 20,000 of the August 145 / 138 put spread was bought for $0.27. The spread was bought to open.

Options Flow Recap July 14th

Macro / Thematic

GLD SPDR Gold Trust  – 15,000 of the October 145 puts were bought over the day for $2.00. The puts were bought to open.

SPY SPDR S&P 500 ETF - buyer 10,000 July 132/134 call spread for 95, seller 15,000 July 132 puts at 71, seller 7,500 July 132 puts at 60

DBA PowerShares DB Agriculture Fund : buyer 3,500 Aug 30/July 31 call spreads for 1.15

EWZ iShares MSCI Brazil Index - buyer 12,300 Aug 78 calls for 08

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 8th

Macro / Thematic

EEM  iShares MSCI Emerging Markets Indx – 65,000 August 46 puts were bought over the day for ~$0.79 and approximately 30,000 of the September 46 puts were bought for ~$1.38.

IWM iShares Russell 2000 Index  – 16,000 of the October 80 / 64 put spread was bought for $2.11.

XOP SPDR S&P Oil & Gas Explore & Prod. – 45,000 of the September  54 puts were sold at $1.15 and bought 25,000 of the September 58 puts for $2.28. The trade appears to be an adjustment.

Largest IV Increases: SUG, CYS, FHN, CB, INFY, SCHW, SGEN, KOG, ADM, NWS

Largest IV Decreases: AMLN, ZAGG, AMJ, AFFX, TSM, VXX, LQD, ENTR, GRM, CMTL

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 28th

Macro / Thematic

IWM  iShares Russell 2000 Index – The July 80 / 78 1x2 put spread trade at $0.11. The investor bought 10,000 of the July 80 put and sold 20,000 of the July 78 puts

SMH Semiconductor HOLDRs (ETF) – 5000 of the August 35 / 38 call spread was bought for $0.39.

EWZ iShares MSCI Brazil Index - seller 7764 July 71 puts at 1.60

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 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 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 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 June 7th

Macro / Thematic

XHB SPDR S&P Homebuilders  – 33,000 of the January 16 calls were sold at $2.36.

XLF Financial Select Sector SPDR (ETF) – 100,000 of the July 16 calls were bought for $0.0825.

SPY SPDR S&P 500 ETF – 40,000 of the July 112 / 120 / 128 put fly was bought for $1.22. The trade was tied to 958K shares at $129.05. Also 30,000 of the SPY Jul 113 / 121 / 129 put butterfly were bought for $1.44.

VIX saw 74% the normal volume with 147K calls and 102K puts traded.  Some larger trades in the pit:

·         Buyer 15K June 16/18 put spread for 1.025 vs 17.80 for 1.025, delta neutral
·         Buyer 3.5K Sep/Nov 22.5 call spreads for 1.00

Option Flow Recap June 6th

We're getting some nice trading opportunities as options volume picks up a bit.  I hope you're trading them well.  As always let us know how we can improve the blog.  We will be implementing some suggestions we've received recently. 

Macro / Thematic

SPX – 35,000 of the July 1300 / 1290 put spread was sold at $4.25.

XLF Financial Select Sector SPDR – 35,000 of the June 15 puts appear to have been bought for $0.26.

EWI iShares MSCI Italy Index - 2k Dec 21/18 strangles for a 2.4 debit. (you can see more details here) Interesting trade looking for Italy to be the next name to get hit or expand in volatility.  Personally would look to get out of this quickly.... tick tock $480,000 on the line.  I'd be they blow out of one leg when we get more clarity and let the other leg run or adjust accordingly. 

EEM iShares MSCI Emerging Markets Indx – 30,000 of the June 45 / 49 put spread was sold at $1.38.  

VIX saw 53% the normal volume with 142K calls and 43K puts traded.  Some larger trades in the pit:

·         Buyer 10K June 22.5 calls for .375 vs 18, delta neutral

·         Seller 3K Aug 18/20 call spread at .85

The most active VIX options were: June 20C (17K), June 25C (15K), June 22.5C (15K), June 16P (12K), June 15P (11K).  The top open interest positions are: July 30C (268K), June 18P (195K), June 17P (158K), July 25C (151K), June 22.5C (150K).  VIX closed up .54 to 18.49.

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

Options Flow Recap May 25th

Macro / Thematic

UUP PowerShares DB US Dollar Index Bullish – 15,000 of the June 22 call were bought for $0.16.

 VIX saw 59% the normal volume with 151K calls and 48K puts traded.  Some larger trades in the pit:

·         Buyer 6,700 June/July 30 call spread for .64

The most active VIX options were: July 30C (10K), June 20C (9.9K), June 25C (9.3K), June 18C (8.8K), June 22.5C (8.7K).

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