WhatsTrading.com Options Recap — 12/28/2012

| December 28, 2012 | 0 Comments More


Stock market averages are sharply lower and the Dow Jones Industrial Average is revisiting the 13,000 level ahead of a 3:00 meeting between President Obama and top lawmakers. Hope for a deal to avoid strict austerity measures early next year are diminishing and now the question is whether or not a smaller or “mini-deal” might come to fruition. The lack of action to avoid the cliff has quashed any attempts at a “Santa Claus” rally, which is the last five trading days of the year and typically a seasonally strong period for the equity market. Anxiety about upcoming tax hikes and spending cuts is also overshadowing other economic news. Data released today showed November pending home sales up to a better-than-expected 1.7 percent rate and Chicago PMI improving to 51.6 in December. Elsewhere, Asia’s markets were steady, but losses were seen across most of Europe. Crude oil slipped 28 cents to $90.59 and gold gave up $7 to $1656.7. On Wall Street, the Dow Jones Industrial Average is down 94 points and the NASDAQ dropped 12.8 points.

Overall options volumes are lighter than yesterday and projected to be about 11.5 million contracts for the day. With 90 minutes left to trade, 4.6 million calls and 4.2 million puts traded on the exchanges. CBOE Volatility Index (.VIX) is up 1.21 to 20.68 and poised to close at its best levels since mid-June. But trading in the VIX pit is light, with only 119,000 calls and 107,000 puts traded on the index so far.

Among the individual names seeing action, a few retailers – Macy’s (M), Kohls (KSS) and American Eagle (AEO) – are seeing bullish order flow. Sprint January 2014 $7 calls have seen a flurry of activity and possibly seeing liquidating action, as 84,500 traded against 171,433 in open interest – which is the largest block of open interest in Sprint options (Premium subscribers try S and then number 5 in Flow Monitor). Home Depot (HD) is down 4 cents to $61.03 and one of 29 Dow stocks seeing losses. Bearish risk-reversals traded on the retailer (in the 1/4 weeklys) on a cautious story about a dockworker strike – Bloomberg.

That’s a wrap for this week. Thanks for reading and have a wonderful weekend!

Notable Flow

HUM – Bearish activity detected in Humana Inc with 6507 puts trading, or 4x the recent avg daily put volume in the name. Shares near $67.97 (-0.03) with ATMIV lifting by 1.21 point and 59% of todays put premium trading offer side. (Trade-Alert) 12:51

M – Bullish flow detected in Macys Inc with 14109 calls trading, or 4x the recent avg daily call volume in the name. Shares near $37.97 (0.89) with ATMIV lifting by 4.08 point and 54% of todays call premium trading offer side. (Trade-Alert) 13:21

AEO – Bullish flow detected in American Eagle Outfitters Inc with 9026 calls trading, or 4x the recent avg daily call volume in the name. Shares near $19.99 (0.29) with ATMIV lifting by 1.07 point and 81% of todays call premium trading offer side. (Trade-Alert) 13:41

High options volume is being seen in S, XLK, HD, GDXJ, M, RIO, AEO, HUM, AOL, SKS

Daily Open Interest Update

Thursday’s total option volume of 14.3 million contracts resulted in net open interest growth of 1.94 million calls and 2.13 million puts. Bank of America Corporation (BAC), Ford Motor Company (F), Facebook Inc (FB) and Citigroup Inc (C) saw the greatest growth. Top five new positions opened include 69k Bank of America Corporation (BAC) May-13 10 puts, 36k Bank of America Corporation (BAC) May-13 12 puts, 23k Bank of America Corporation (BAC) Apr-13 11 puts, 16k Bank of America Corporation (BAC) Apr-13 13 calls and 16k Bank of America Corporation (BAC) Jan-13 11 puts. (Trade-Alert) 9:01

Movers

Symbol Last Change %Change StdDevs
ROYL 2.48 -0.50 -16.8% 8.36
YONG 5.67 +0.71 +14.3% 13.61
OXGN 5.24 +0.59 +12.7% 3.35
CALL 18.00 +1.72 +10.6% 3.21
XIDE 3.36 +0.26 +8.4% 2.88
OMER 5.37 -0.47 -8.1% 3.28
SORL 2.47 +0.17 +7.4% 1.64
KWK 2.75 -0.20 -6.9% 1.98
PZE 4.86 -0.34 -6.5% 1.37
BGCP 3.42 +0.20 +6.4% 2.78

Shakers (Implied volatility Movers)

Symbol IV[30d] IVChg IVChg% SkewAdjChg Last Change
ESI 103.9% +60.0 +136.9% +nan $17.45 +0.28
HOGS 20.4% +6.8 +49.8% +2.7 $12.90 +0.16
IM 23.0% +4.8 +26.3% +nan $16.65 -0.16
NXY 11.9% -3.8 -24.3% -3.1 $26.84 +0.09
YONG 37.3% -9.9 -21.0% +nan $5.67 +0.71
JNK 9.5% +1.6 +19.7% +1.4 $40.61 -0.05
IBKR 20.0% -4.6 -18.8% -4.5 $13.68 +0.07
HYG 8.9% +1.3 +17.4% +1.2 $93.03 -0.17
S 19.3% -3.4 -14.9% -3.4 $5.60 -0.02
SKS 41.7% +5.0 +13.5% +4.9 $10.34 +0.05

52-Week Highs
30 new highs: .YUK APO AVNW BANR BITA CBK CODE CPF CSGP EEFT EVR FXS GRFS HOGS HOLI HPP IFSIA INFI INXN KEP LSE LXP PJC RDN RKUS RSE SLH SRC SRDX YCS

52-week Lows
18 new lows: .XDN DVN EDZ EEV ENZN ESEA FXY GAZ GMED MELA OIIM OPXA PBI PGH RGP SBLK TEVA VICL

Top Equity Blocks
4.84m DDR 15.47 -0.05 -0.3% CHX (MIDWEST) 13:06:08 – Next Day
3.65m NWSA 24.80 -0.12 -0.5% CHX (MIDWEST) 10:28:53 – Tied to Options
2.00m SPY 141.59 -0.70 -0.5% FINRA-ADF 11:57:23 – Average Price Trade
1.80m BAC 11.47 -0.03 -0.3% CHX (MIDWEST) 13:06:47 – Tied to Options
1.30m IWM 83.05 FINRA-ADF 13:22:09 – Average Price Trade
1.22m SEMG 37.50 -0.62 -1.6% CHX (MIDWEST) 09:51:04 – Tied to Options
1.10m ADSK 35.25 +0.12 +0.4% CHX (MIDWEST) 10:30:48 – Tied to Options
970k XLY 46.73 -0.16 -0.3% FINRA-ADF 11:14:32 – Burst
924k XLY 46.76 -0.13 -0.3% FINRA-ADF 13:57:09 – Burst
828k OEF 64.08 -0.29 -0.5% FINRA-ADF 11:50:06

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Category: Market Update

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About the Author (Author Profile)

Frederic Ruffy is a well-known trader, writer, and strategist who has spent years educating investors and creating intelligent, insightful, unbiased market observations that are frequently cited by the Wall Street Journal and other financial publications. As senior analyst, Fred provides frequent and regular notes and daily updates for activity of interest.

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