Options Recap – 7/5/2012

Market action is mixed on a busy news day, but light volume after the Independence Day holiday. Stock market averages fell sharply at the open despite positive jobs numbers. ADP reported that the US economy added 179K private sector jobs last month. 105K was expected. Separately, the Labor Department reported that jobless claims declined by 11,000 to 374K in the final week of June, which was better than the 388K that was expected. The good news on the jobs front didn’t seem to hold much sway, even as key monthly jobs numbers are due out again Friday morning, because stock market averages were in the red at the opening bell. The latest ISM Services Index weighed on trade. It printed to 52.1 in June and below expectations of 53.7. At the same time, retailers were out with their worst same store sales numbers June sales in three years.

In Europe, stock market averages finished mostly lower after ECB cut rates to record lows and the Bank of England extended its quantitative easing. The news was in-line with expectations and offered no fodder for the Eurozone bulls. The euro is down 1.1 percent to 1.239 against the buck. Crude oil is of 72 cents to $86.94 per barrel and gold gave up $13.8 to $1608 an ounce. Bonds found a bid on the poor ISM print and the benchmark ten-year is up 9/32nd, bringing its yield back below 1.6 percent. Volumes are light at about 3.8 million shares. The Dow Jones Industrial Average is down 18 points, but the NASDAQ has added 5. CBOE Volatility Index (.VIX) is up .67 to 17.33. Trading in the options market is active and also being driven by heavy ex-dividend activity in Verizon and AT&T. 8.7 million calls and 4.4 million puts traded across the exchanges so far.

Trader Talk
ISM Services Falls Short — Weakest in Two Years
Jobless Claims Less than Forecast
Goldman raises June jobs estimates to 125K from 75K – CNBC
Payroll Surprise?
Worst Sales in Three Years
ECB Cuts, as expected. People’s Bank of China Cut Interest Rates
Treasury yields are holding near their lows of the day across the curve as Europe’s economic recovery (such as it is) is becoming a greater concern. — Briefing
Chatter JPM dn on grumblings they could be next LIBOR probe victim… UNCONFIRMED – Mr. Top Step

Movers
Symbol Last Change %Change StdDevs
JRCC 3.63 +0.49 +15.7% 1.68
NFLX 81.78 +9.74 +13.5% 5.05
GNK 3.58 +0.42 +13.3% 2.99
ALEX 31.06 +3.55 +12.9% 6.67
ARNA 11.28 +1.26 +12.6% 1.41
VIT 11.60 +1.29 +12.5% 3.23
SCHS 3.80 +0.41 +12.1% 4.18
CATO 28.37 -3.34 -10.5% 4.36
DRYS 2.55 +0.24 +10.4% 3.16
SZYM 12.71 -1.47 -10.4% 3.80

Shakers (Implied volatility Movers)
Symbol IV[30d] IVChg IVChg% SkewAdjChg Last Change
AINV 19.0% -6.3 -24.9% -5.4 $7.91 +0.16
ZAGG 46.7% +8.7 +23.0% +6.6 $11.43 -0.02
ARCC 15.2% +2.4 +18.3% +2.0 $16.13 -0.02
UBS 36.2% +5.6 +18.1% +0.6 $11.42 -0.43
WU 23.1% +3.5 +18.0% +3.1 $17.01 -0.12
T 13.0% +1.9 +17.5% N/A $35.79 -0.21
LSI 34.8% -7.1 -16.8% -7.0 $6.65 +0.11
ALXN 42.5% +5.6 +15.1% +5.2 $103.73 -0.01
DV 30.2% -5.3 -14.9% -7.5 $31.51 -0.07
NFLX 60.6% +7.8 +14.9% +7.3 $81.87 +9.83

52-Week Highs
179 new highs: AACC ABCO ACAS ACCL ACHC ACIW ACXM AFCE AGM AGNC AKRX ALE ALEX AMLN AMRN AOL AOS ARIA ASH ATO AUXL AVA AWR AZPN AZZ BDE BDSI BRLI BWS BXS CAP CASY CBL CBM CBRL CG CLGX COR CPTS CSOD CSTR CSU CVG CVS CYBX CYMI DDD DEI DEST DFS DHI DK DLR DPS DTG EQY EVER EW FIS FISV FMX FNV FR FRME FRT FSIN FUR GHDX GLT GNC GR GRFS GRT HAE HPP HR HUB/B HW IHS IMGN INCY INFI ISIS IT JAH JKHY JNJ KMB KOF KRC KVHI LEN LF LII LOPE LPSN LPX LTC MDCO MDF MDVN MG MGAM MHO MITT MLNX MO MTGE MTH MUSA MWIV NAVB NEON NHI NLS NPBC NSM OCN OHI OMN OSUR PDLI PHM PKT PNW POOL PRA PRGO PSB PTP RA RAVN RE RPAI RPM RYL SAM SCLN SCVL SEM SMBL SPF SPPI SSNC STWD SUI SUSS SWHC TGH THRX TJX TMK TOL TRIP TU TUES TYL UFPI UIL UMBF UNS USG V VMI VRSK VRSN VSI WAL WMGI WMT WNR WRB WSO WST WTR WWWW WYN XOMA ZIOP

52-week Lows
10 new lows: AMCN BRFS CCO CEP CTRP GEVO GRPN NOK ROVI VISN

Top Equity Blocks
2.00m NOK 2.02 -0.12 -5.4% 10:11:43 – Average Price Trade
1.04m TK 29.00 -0.40 -1.4% 11:39:00 – Tied to Options
1.00m NOK 2.02 -0.12 -5.6% 10:10:58 – Average Price Trade
1.00m NOK 2.02 -0.12 -5.6% 10:09:54 – Average Price Trade
997k OIBR 13.68 +0.41 +3.1% 10:26:51 – Burst
958k ABX 38.06 -0.57 -1.5% 13:20:08 – Tied to Options
929k BAC 7.85 -0.21 -2.6% 13:17:00
883k IVR 18.75 +0.13 +0.7% 11:14:46 – Average Price Trade
519k LFL 25.60 -0.52 -2.0% 13:51:36 – Derivatively Priced LATAM
500k PFE 22.73 -0.14 -0.6% 13:43:07

Notable Flow
STP – Bearish activity detected in Suntech Power Holdings Co Ltd with 5497 puts trading, or 7x the recent avg daily put volume in the name.
CNQ – Bearish activity detected in Canadian Natural Resources Ltd with 2026 puts trading, or 2x the recent avg daily put volume in the name.
ADM – Bullish flow detected in Archer Daniels Midland Company with 4327 calls trading, or 2x the recent avg daily call volume in the name.

Over the first hour 134848 contracts have traded in SPX today, 1.28x the recent hourly average, with 52759 calls and 82089 puts trading as the index trades near $1366.4 (-7.62). Front term atm implied vols are near 16.2% and the CBOE VIX is currently near 17.86 (1.20). (Trade-Alert) 10:31

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Category: Market Update