Out of 3644 listed products, 2256 (62%) are trading with 30day at-the-money Implied Volatilities lower on the day. Among the most liquid products, the large ivol drops include FFIV (44.4% IV -16pts, post earnings), NOK (42.7% IV -15pts, post earnings), CA (26.9% IV -11 pts, post earnigns) and even TZOO (83.1% IV -11pts despite a selloff of 33%). Broad market benchmark SP500 index 30day ATM IV is at 14.7%, a decrease of -1.6 points as the index trades near $1346.35, up 1.50%.

*Scanning all single-stocks subject to 2500 contracts minimum call or put volume

Genworth shares are down 16% to the $8 range after pre-announcing a loss and option volume is extremely heavy this morning, running 18x normal pace with calls outpacing puts 34K to 6K in the first 90mins of trading. Flow is directionally bullish, with a block of 10000 Aug 9 calls bought to open by a cust (firm sold) on the ISE for 12cents, and a number of sweep buyer in Aug and Sep 8 strike calls as well. Earnings had been expected for next wk.

Big Print in BofA (BAC) after a 146,982-contract block of Jan 20 calls is bought at 2 pennies. It’s possibly closing. Shares have added 20 cents to $10.05 and the Jan 20 call on BAC is 99 percent OTM with open interest of 488,169.

Oncothyreon (ONTY) touches a new 52-week high and is up $1.45 to $10.29 after the Seeking Alpha published a favorable article related to the company’s drug for Stage 3 lung cancer, Stimuvax. The author sees a 90 percent + probability of success. Options action in Oncothyreon is heating up as well, with 30,000 calls and 2,620 puts traded in the Seattle, WA biotech. The top trades are part of a spread, in which the investor sold 2,700 Aug 10 calls at $1 and bought 4,615 Feb 15 calls at $2.70. This diagonal spread might be a bet that shares will hold around $10 over the next four weeks and two days, and then rally through the Feb expiration. Separately, an investor paid an average of 2.625 cents per contract for 5000 Feb 15 calls. Feb 14 calls were also bought at 2.625 cents, 5000X today. Aug 9, Aug 11 and Nov 15 call options on ONTY are seeing interest as well. 2,000 Jan 17 calls traded at $1.90 (customer-to-customer), as I was writing this note. Meanwhile, implied volatility in ONTY options is rallying 35 percent to 99.

*Scanning all single-stocks subject to 2500 contracts minimum call or put volume

The top options trade so far today is in Microsoft (MSFT), which is trading down 49 cents to $27.07. One player bought 57000 Jan13 $30 calls at $1.71 per contract. The position is tied to 2.26 million shares at $27.30 and might close a position. Open interest is 218,129 and saw a 26K increase this morning after a Jan13 22.5 – 30 risk-reversal was initiated in MSFT yesterday (see 7/19 color). The interest in long-dated options on Microsoft comes ahead of earnings, tomorrow (after market).

*Scanning all single-stocks subject to 2500 contracts minimum call or put volume