WhatsTrading.com Options Recap – 8/1/2012

Stock market averages fell to session lows after the FOMC concluded its meeting on monetary policy, but the selling never gathered any real momentum. Fed officials left rates unchanged, as expected, and the post-meeting statement was largely unchanged from the month before. The kneejerk reaction was a rally in the dollar and bonds, but selling in the equity markets. Some traders pointed to one significant change in the text – “’The committee will closely monitor incoming information on economic and financial developments and will provide addition accommodation as needed.” Translation: expect action in the bond pits to be very data driven in the weeks ahead until Fed officials offer clear signs of more decisive action. Today has certainly been volatile for bond traders, with the benchmark ten-year rallying on the heels of the statement, but then falling more than a point off the highs in the final half hour of pit trading. The Dow Jones Industrial Average moved in an opposite manner – falling on the headlines, but then trimming its loss to only 10 points heading into the final hour.

Economic data and a glitch at an NYSE market-making firm also caused some whippy trading earlier in the day. While ADP’s report showed the US economy adding 163,000 private sector jobs in July and 40,000 more than expected, ISM for July and Construction Spending in June fell short of expectations. Focus was also on the New York Stock Exchange where a bad algo trade drove heavy volumes in 150 different names. Knight Capital has fessed up to the snafu and has instructed customers to send orders elsewhere.

In the options market, KGC is seeing heavy volume on the news and a number of other affected names are seeing increasing action as well. NYSE names litter the list of “unusual options volume” stocks today including PEP, DD, DE, ANF, and RSH are but a few. Meanwhile, Green Mountain Coffee (GMCR) continues to see a flurry of activity ahead of its earnings. November calls on the SPDR Gold Fund (GLD) are seeing high volume due to spread trading. The largest equity options trades today are in RIMM and part of a Jan 8 – 11 risk-reversal, which traded 50,000 contracts (100,000 total). Some hedging activity is being seen – as three of the four most active options today are downside puts on the SPDR 500 Trust (SPY). Yet, while trading has been whippy, the setting today is much different from Aug 1 2011, the week before CBOE Volatility Index jumped to 2011 highs of 48. VIX is down .60 to 18.33 late-Wednesday.

Notable Flow
6.5 million calls and 5.8 million puts traded across all the exchanges so far (try symbol @all and then 6 for real-time put and call ratios for trading across the entire market. Use symbol @stock for stocks only — @etf and @index.)

DNR – Bullish flow detected in Denbury Resources Inc with 6093 calls trading, or 3x the recent avg daily call volume in the name. Shares near $15.34 (0.22) with ATMIV lifting by 2.13 point and 65% of todays call premium trading offer side. (Trade-Alert) 13:41

LGF – Bullish flow detected in Lions Gate Entertainment Corp with 3552 calls trading, or 3x the recent avg daily call volume in the name. Shares near $13.36 (-0.09) with ATMIV lifting by 1.90 point and 64% of todays call premium trading offer side. (Trade-Alert) 13:01

BBBY – Bearish activity detected in Bed Bath and Beyond Inc with 5401 puts trading, or 4x the recent avg daily put volume in the name. Shares near $60.79 (-0.16) with ATMIV lifting by 1.21 point and 65% of todays put premium trading offer side. (Trade-Alert) 12:51

High options volume is being seen in GDX, GLD, NOK, GMCR, KCG, VZ, ANR, FTR

Movers
Symbol Last Change %Change StdDevs
CDZI 10.01 +2.91 +41.0% 10.60
SREV 7.99 -3.29 -29.2% 16.69 Post-Earnings
KCG 7.71 -2.62 -25.4% 8.66
GGS 4.39 -1.48 -25.1% 6.02
SIMG 4.88 +0.96 +24.5% 9.82 Post-Earnings
DRIV 13.75 -4.04 -22.7% 21.54 Post-Earnings
FARO 33.40 -9.63 -22.4% 11.02 Post-Earnings
RPXC 9.82 -2.73 -21.7% 6.84 Post-Earnings
CECO 3.77 -0.94 -20.0% 4.52 Post-Earnings
TRLG 21.14 -5.10 -19.4% 7.63 Post-Earnings

Shakers (Implied volatility Movers)
Symbol IV[30d] IVChg IVChg% SkewAdjChg Last Change
TRLG 45.1% -28.6 -38.8% -43.5 $21.14 -5.10 Post-Earnings
GRMN 29.0% -17.8 -38.0% -17.0 $39.43 +0.82 Post-Earnings
PAA 17.1% +4.1 +31.3% N/A $86.40 -0.54
HOG 32.4% -14.8 -31.3% -14.8 $43.16 -0.07 Post-Earnings
AGN 23.0% -10.2 -30.8% -10.6 $85.98 +3.91 Post-Earnings
TTWO 50.0% -19.0 -27.6% -18.1 $8.01 -0.77 Post-Earnings
LIFE 31.2% -11.5 -26.9% -10.4 $44.47 +0.59 Post-Earnings
AVP 48.6% -17.8 -26.8% -17.8 $15.25 -0.24 Post-Earnings
SSYS 50.3% -18.4 -26.7% -19.3 $59.77 -1.51 Post-Earnings
EA 44.1% -15.4 -25.9% -14.4 $11.62 +0.60 Post-Earnings

52-Week Highs
108 new highs: .UTY ACAS ACC AEE AEP ALL AMLN AMT ARR AVA AWK BANR BCE BG BTI BUD CG CHTR CL CMCSA CMCSK CNL CPT CTL CVG D DEO DIN DLX DORM DTE DTN DTV ED EMB EQY FAF FE FLS FRME FRT GCVRZ HBI HCN HDV HR IOC ISBC IYZ JNJ KCAP KIM LAD LODE MED MITT MO NCT NEE NVAX OHI OKE PCG PCY PHB POR PSA PSX PZZA RAI REG REM RPT RRMS SCG SEM SKT SMSC SPG SPSC SRE SSI SSS SSYS STC SUI T TEG TIP TLK TLLP TMH TRP TU TWC TWO TWX UL ULTI UN VCIT VOD VTR WEC WFC WR XEL XLU

52-week Lows
85 new lows: AAU ACLS ACUR AERL APEI APWR ATML AVP AVX BGCP BPAX BVN CALX CAS CBAK CECO CEVA CMVT CRR CTIC DM DNDN DRIV DRWI DTSI EDMC EJ EPIQ ESI EXPD FALC FB GEVO GGS GILT GLW GNK GNW GRPN HSII IGT IM INFN ISIL ITMN IVAC IVC JOBS KCG KEYN KID KWT LDK LINC LVLT MAKO MCP MCRI MM MPO MRCY MTZ NAT NFLX NRP OIIM OMCL OSG PACB PPO PWAV REE RPXC SBLK SOCL SREV STP TEA TRLG TSTC TTWO UDRL VRNT VTSS ZNGA

Top Equity Blocks
3.60m RIMM 7.20 +0.04 +0.6% 13:44:23 – Tied to Options
3.30m VOD 29.30 +0.71 +2.5% 11:42:51
3.00m XLF 14.73 +0.05 +0.3% 10:07:06 – Average Price Trade
2.29m S 4.41 +0.05 +1.1% 14:09:23
2.00m SPY 138.00 +0.18 +0.1% 15:03:26 – Derivatively Priced
2.00m XLF 14.64 -0.02 -0.1% 14:58:27
2.00m BTU 21.25 +0.37 +1.8% 13:08:12 – Burst
1.70m FULT 9.15 -0.04 -0.4% 10:52:43 – Burst
1.30m S 4.41 +0.05 +1.1% 12:41:23
1.25m VWO 40.24 +0.23 +0.6% 15:09:45 – Burst

Tags: Earnings, featured, market update, Sentiment

Category: Market Update