WhatsTrading.com Options Recap — 12/31/2012

| December 31, 2012 | 0 Comments More


Stock market averages holding solid gains on hopes for a fiscal cliff deal Monday. With no economic news or earnings to guide trading, the action was choppy through midday on mixed messages from lawmakers. Stocks slipped when Senator Harry Reid said the two sides were still divided, the declined proved short-lived on reports Senator Baucus said an agreement was in the works. Then, later, headlines outlining the framework of a deal added fuel the gains. The deal is expected to postpone sequester and include tax hikes for the highest income earners. Crude oil also strengthened and is now up $1.17 to $91.97. Gold gained nearly $20. On Wall Street, the Dow Jones Industrial Average is up 107 points and the NASDAQ rallied almost 50.

Overall options volumes are picking and implied volatility has fallen sharply across much of the market. The projected volume is about 16.5 million contracts. With 40 minutes left to trade, 7.9 million calls and 6. 5 million puts have changed hands. Meanwhile, CBOE Volatility Index (.VIX) has plummeted more than 4 points to 18.69. Trading in the VIX pit is active. 408,000 calls and 286,000 puts so far. Nearly 80 percent of the flow is in January options that expire in 15 days. January 16 and 17 puts are the most actives.

Among the individual names seeing action, AT&T (T) and Verizon (VZ) saw active trading in Weekly (1/4) upside calls in the early minutes of trading. The timing was notable, as the two are now among 29 Dow stocks holding gains late in the day. Ford (F) is up 13 cents to $13 and another 335,000 options traded on the automaker, which is 2.5X the daily average. The company will release monthly auto sales numbers Wednesday. Marvell (MRVL) continues to see heavy trading in the wake of last week’s negative jury verdict. MRVL is now up 8 cents to $7.25 and 23,000 options contracts traded on the ticker. Lastly, SPDR 500 Trust (SPY) is up $1.64 to $141.67 and more than 3 million options traded in the ETF today. The most actives are (yikes) Weekly 121 puts that expire on January 4. More than 164,000 contracts traded against 2,034 in open interest and it appears that some investors are paying four cents to open new positions in these deep out-of-the-money [DOOM] puts on the Spiders Monday.

Wishing you a very Happy and Safe New Year from the Staff of Trade Alert and WhatsTrading.com.

Notable Flow

ROST – Bearish activity detected in Ross Stores Inc with 2638 puts trading, or 3x the recent avg daily put volume in the name. Shares near $53.24 (0.03) with ATMIV lifting by 1.87 point and 52% of todays put premium trading offer side. Auto Content (Trade-Alert) 10:51

MRVL – Bullish flow detected in Marvell Technology with 13166 calls trading, or 3x the recent avg daily call volume in the name. Shares near $7.15 (-0.02) with ATMIV lifting by 2.55 point and 69% of todays call premium trading offer side. (Trade-Alert) 10:41

WPI – Bullish flow detected in Watson Pharmaceutical with 4205 calls trading, or 14x the recent avg daily call volume in the name. Shares near $85.76 (-3.28) with ATMIV lifting by 6.69 point and 91% of todays call premium trading offer side. (Trade-Alert) 10:21

High options volume is being seen in JPM, F, VXX, BMY, RGLD, S, XLK, MON, AXP, MRVL

Daily Open Interest Update

Friday’s total option volume of 12.5 million contracts resulted in net open interest growth of 1.97 million calls and 1.96 million puts. Facebook Inc (FB), Apple Inc (AAPL), Sprint Nextel Corporation (S) and Bank of America Corporation (BAC) saw the greatest growth. Top five new positions opened include 56k Sprint Nextel Corporation (S) Jan-14 7 calls, 33k Bank of America Corporation (BAC) Aug-13 12 calls, 21k Facebook Inc (FB) Feb-13 28 calls, 20k Facebook Inc (FB) Feb-13 24 puts and 16k Facebook Inc (FB) Mar-13 25 puts. (Trade-Alert) 9:01

Movers

Symbol Last Change %Change StdDevs
AMRS 3.10 +0.65 +26.5% 5.91
UVXY 21.21 -6.33 -23.0% 3.66
UNXL 13.29 +2.46 +22.7% 1.80
DUF 15.64 +2.59 +19.8% 20.05
ALJ 18.01 +2.87 +19.0% 6.67
.BVZ 18.75 -3.97 -17.5% 3.34
.VIX 18.75 -3.97 -17.5% 3.34
PMFG 9.03 +0.94 +11.6% 4.05
HLF 32.57 +3.18 +10.8% 1.74
GRZ 3.23 +0.30 +10.2% 2.40

Shakers (Implied volatility Movers)

Symbol IV[30d] IVChg IVChg% SkewAdjChg Last Change
SPY 16.3% -7.5 -31.4% -6.4 $141.70 +1.67
CYCC 75.1% +14.5 +23.9% +nan $6.00 -0.33
TD 10.4% -2.6 -20.0% -2.3 $84.29 +0.79
HOGS 18.5% +2.7 +17.1% +0.3 $12.87 +0.02
CBOU 18.6% -3.8 -16.9% -3.4 $16.18 +0.05
.OEX 16.6% -3.1 -16.0% +nan $643.64 +7.47
SPXS 48.7% -9.0 -15.7% -5.2 $17.17 -0.68
MDY 17.4% -3.2 -15.5% -2.7 $185.03 +2.30
.SPX 16.4% -3.0 -15.4% -2.6 $1419.19 +16.76
SH 16.0% -2.6 -13.9% -1.5 $34.19 -0.43

52-Week Highs
100 new highs: .YUK AAXJ ACWX ADC ALJ ARTC AVNW AZPN BBL BC BDC BECN BERY CBK CCI CFX CLDT CODE CRAY CYMI DDD DGS DORM EFG EMLC EMN ENB EWD EWQ EWY EZU FSS GIL GM GXC HPP IEX IP IPGP JOE KWR LFC LPX LSE LYB MCHI MFG MGA MHO MMR MON MSI MTU MTX MTZ MUSA MX NMR NRF NXY OFG PJC PKG PPMIQ PRSC QIHU RAX RBS RDN RKUS ROG RSE RTEC RTI SAH SBAC SCZ SHAW SHLM SIRO SRC SRDX SUP SXE TEX TM TRGP TRMB TRW UTEK VASC VVI WBC WGO WOR WPPGY WTS XPP YCS YHOO

52-week Lows
36 new lows: .XDN BORN DPK DVN EDZ EEV END ENDP EROC FXP FXY GAZ GEOK GMED GROW IMMU JO LCAV LEDS MELA MSO NEWN OSUR PBI PCG PGH PLUG RUSS RVM SJB TEVA TLAB UPL USEG YANG ZOOM

Top Equity Blocks
1.54m SPY 140.30 +0.45 +0.3% FINRA-ADF 10:27:39 – Average Price Trade
1.45m IYE 40.00 +0.05 +0.1% FINRA-ADF 10:23:47 – Burst
1.40m XLF 16.16 +0.01 +0.1% CHX (MIDWEST) 10:10:03 – Tied to Options
1.15m BABY 10.80 +0.19 +1.8% FINRA-ADF 12:48:06 – Burst
1.00m SIRI 2.89 FINRA-ADF 11:33:32
988k DBC 27.67 +0.04 +0.1% FINRA-ADF 12:08:46 – Burst
948k IYJ 72.30 +0.36 +0.5% FINRA-ADF 10:04:27 – Burst
817k IWM 82.60 +0.07 +0.1% FINRA-ADF 09:45:24 – Burst
739k IWM 83.70 +1.17 +1.4% FINRA-ADF 12:50:51
600k IWM 84.10 +1.56 +1.9% CHX (MIDWEST) 15:01:16 – Tied to Options

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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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