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

Chelsea Therapeutics (CHTP) adds 3 cents to $5.25 and options volume on the biotech is running 3X the daily average, being led by a 1610-lot of Mar 4 puts for $1.05 on ISE. It’s an opening buyer, according to data from the exchange. 2,944 traded total. Open interest is already 3,050 and the largest position in the name. Mar 4 puts, if bought for $1.05, have a downside breakeven at the expiration at $2.95 per share, which represents a 43.8 percent nosedive over the next 84 days. The stock saw volatile action during the first few months of 2011, but haven’t done much of late. Shares are at the same levels today as they were in June. Implied vols are steady around 56 and today’s put buyers are perhaps hedging their bets ahead of an expected Feb 2012 FDA meeting related to Chelsea’s NORTHERA drug for Parkinsons patients.

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

Mosaic (MOS) adds 44 cents to $52.06 and options on the stock are actively traded today. 17,000 calls and 4,175 puts so far. The expiring Weekly 52.5 calls, which are 44 cents out-of-the-money and coming off the board today, are the most actives. 3,560 traded against 351 in open interest. The market is 9 to 13 cents. Jan 52.5, Jan 57.5 and next weeks (12/30) 55 calls are the next most actives. Implied volatility is up 6.5 percent to 41.5, as upside call buyers seem to be dominating the flow in the stock during the first two hours of Friday’s session.

Sandridge Energy (SD), which saw hefty buyers of Jan13 7.5 calls Friday and Monday (see12/19 color – premium) and 25K Jan 7.5 calls Thursday (see 12/15 color – premium) jumped this afternoon and is up $1.57 to $8.27 on news of a $1 billion Mississippian joint venture. 34,000 calls and 8,700 puts traded on the stock. Jan 7.5 calls, which were bought 25000X at 23.5 cents Thursday, are the most actives. 10000 traded at a VWAP of 58 cents. Jan and Mar 9 calls are seeing brisk trading as well. The Jan13 7.5s, which were being opened for $1.96 Friday and $1.76 Monday, now fetch $2.70. Open interest is 58,916. Ahhhhhh!

This is why we watch the Order Flow!! 50,000 Jan13 7.5 calls and 25000 Jan12 7.5 calls bought on this pig the week before a one-day 23 percent rally. Are you kidding me??? Blatant…..

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

CBOE Volatility Index (.VIX) took a stab at the 20 handle this morning. VIX fell to 20.34 before rebounding to 21.22 midday and is down .39 to 21.04. The market’s “fear gauge” is on a three-day 15.6 percent losing skid and falling to levels last seen in late-July. It’s interesting because the actual volatility of the S&P 500 (as measured by 30-day historicals) remains above 27 percent. The relatively low readings in the VIX might signal that some market participants expect orderly trading in the first part of 2012. Trading was uneventful in early-2011 until about mid-February. The S&P 500 moved 6.8 percent higher through Feb 18 and the 30-day actuals were around 10 percent. However, not all investors are discounting quiet trading through mid-Feb 2012 as one of the top trades in the VIX today is a Feb 32.5 – 35 – 40 call fly, bought for 40 cents, 5000X and a position that will payoff nicely if the index settles at 35 at the February expiration. The official settlement for VIX December options yesterday was just 21.46.

Etrade Financial (ETFC) adds 19 cents to $8.10 and one strategist sells 20,000 Jan $14 calls on the online broker for a penny per contract. It’s likely a closing trade. Open interest in the Jan $14s is 22,259 and the largest position in the name. Some were apparently opened in mid-Nov when 15000 were bought for 31 cents per contract (see 11/10 color). Shares are down 15.8 percent since that time and the contract is now 72.8 percent OTM. With 29 days left till the Jan 2012 expiration, the position is being liquidated at a hefty loss.