WhatsTrading.com Options Recap — 02/04/2013

| February 4, 2013 | 0 Comments More



Just when Europe had been all but forgotten, higher yields in Spain and Italy sent stock broadly lower and implied volatility across the options market sharply higher Monday. The selling started in Europe where Italy’s MIB Index helped pace a broader decline after falling 4.5 percent. France’s CAC 40 dropped 3 percent and Germany’s DAX sank 2.5 percent. The euro gave back .9 percent to 1.352 against the dollar. Crude oil prices dropped $1.55 to $96.22, but gold and Treasury bonds saw modest safe haven flow. The only domestic economic stat of the day offered few reasons to cheer after Factory Orders rose 1.8 percent for December and below expectations of 2.4 percent. The Dow Jones Industrial Average is down 105 points and seeing its first significant decline so far for 2013. The NASDAQ is down 37 points, with Apple (AAPL) falling back to $445 and within $10 of its 52-week lows seen on 1/25.

In the options market, volume is light, but implied volatility is moving higher across most actively traded products. Indexes like VXGOG (Google IV), VXGS (Goldman), VXEEM (Emerging Markets ETF), and OVX (US oil Fund) are scoring solid gains. CBOE Volatility Index (.VIX) is up 1.41 to 14.31. Yet, volumes are light. 179,000 calls and 149,000 puts traded in the VIX pit. Total volume across the market is projected to be about 14 million contracts and 80 percent the normal. 6.1 million calls and 5.5 million puts so far. Walking around the floor of the CME this morning, it seemed rather quiet in the futures pits as well, with the Eurodollar market seeing the most vibrant activity. In the options mart, earnings continue to drive a lot of the activity. YUM, DLPH, and GILD among the names seeing pre-earnings interest today. APKT is seeing active trading on take out news. Ex-dividend trading is driving higher volumes in INTC and ETP. Lastly, Blackberry (BBRY), formerly RIMM, is busy under its new ticker and an analyst upgrade. More than 200,000 contracts traded in Blackberry today.

Notable Flow

SKS – Bearish activity detected in Saks Inc with 3361 puts trading, or 6x the recent avg daily put volume in the name. Shares near $10.52 (-0.21) with ATMIV lifting by 5.49 point and 92% of todays put premium trading offer side. Auto Content (Trade-Alert) 12:51

ETP – Bullish flow detected in Energy Transfer Partners LP with 7046 calls trading, or 4x the recent avg daily call volume in the name. Shares near $47.15 (0.1) with ATMIV lifting by 3.01 point and 56% of todays call premium trading offer side. Auto Content (Trade-Alert) 12:41

LYB – Bearish activity detected in LyondellBasell Industries NV with 3951 puts trading, or 2x the recent avg daily put volume in the name. Shares near $61.65 (0.28) with ATMIV lifting by 2.57 point and 72% of todays put premium trading offer side. Auto Content (Trade-Alert) 12:31

High options volume is being seen in ETP, YUM, APKT, MMR, VOD, GNW, DLPH, GILD, ALL, XOP

Daily Open Interest Update

Friday’s total option volume of 18.1 million contracts resulted in net open interest growth of 2.96 million calls and 2.54 million puts. Dell Inc (DELL), Bank of America Corporation (BAC), Apple Inc (AAPL) and Exelon Corp (EXC) saw the greatest growth. Top five new positions opened include 36k Dell Inc (DELL) 2/8 weekly 14.5 calls, 31k Bank of America Corporation (BAC) Feb-13 12 calls, 28k Dell Inc (DELL) Mar-13 15 calls, 25k MetLife Inc (MET) Jan-14 50 calls and 23k MetLife Inc (MET) Jan-14 45 calls. Auto Content (Trade-Alert) 9:01

Movers

Symbol Last Change %Change StdDevs
APKT 29.35 +5.42 +22.6% 7.39 Pre-Earnings
SONS 2.67 +0.40 +17.3% 6.25
BBRY 14.78 +1.75 +13.4% 2.05
SYNC 5.19 -0.74 -12.5% 4.38
TAOM 5.25 +0.55 +11.7% 3.42
KBALB 9.52 -1.26 -11.7% 5.14 Post-Earnings
PC 7.67 +0.79 +11.5% 6.40
.BVZ 14.29 +1.39 +10.8% 2.72
.VIX 14.29 +1.39 +10.8% 2.72
CYOU 28.17 -3.13 -10.0% 4.09 Post-Earnings
Shakers (Implied volatility Movers)

Symbol IV[30d] IVChg IVChg% SkewAdjChg Last Change
APKT 7.5% -55.3 -88.1% -50.7 $29.35 +5.42 Pre-Earnings
LNCO 21.2% +6.1 +40.7% +4.1 $40.09 -0.01
TEF 26.1% +7.4 +39.9% +3.4 $13.52 -0.69
LINE 19.6% +4.7 +31.9% +3.0 $39.22 +0.06
TD 14.2% +3.3 +30.1% +2.6 $83.02 -0.77
SYY 12.6% -5.4 -30.0% -6.1 $31.38 -0.71 Post-Earnings
SOHU 34.6% -13.9 -28.6% -12.8 $46.44 -2.78 Post-Earnings
CLX 12.1% -4.5 -27.1% -3.4 $80.10 +0.94 Post-Earnings
MCO 29.9% +6.3 +26.5% +5.1 $52.34 -3.01
FE 16.4% +3.3 +25.4% +2.0 $39.97 -0.52

52-Week Highs
135 new highs: .HGX .SVO .XDE ACIW ADI ADP AFCE AGM AKR AMJ AMWD ANSS ARII ATO AUDC BDX BHE BKH BLX BMTI BRO BSET CBI CIB CLX CNI COR COT CPWR CSC CSIQ CTGX CTRX CYOU DBV DEST DIN DK DO DSPG DXJ EDAP EFC EGP EQY ERIC EV EXR FBP FBRC FDUS FDX FNGN FNP FUN GEL GRT GSH HCA HF HIW HMA HRB HSIC ICGE ICON IHF IIIN IIJI IMKTA IR JDSU JKHY KCAP KFY KRC KRG LAZ LGF LLTC MAPP MAT MEI MFG MITT MN MNTX MPC MPEL MSG MWIV NLS NSR NVO NXST OAK PDCO PJC PSA PXP RDN RPT SAFT SATS SBS SEAC SEMG SHOS SKT SLRC SMFG SPB SRE STAG SWIR SXL TCAP TCO TFSL THC TM TSN TUES TVL UGI UTX VLO VVTV WAGE WETF WNR WRI WTR ZBRA ZNH

52-week Lows
14 new lows: ATPAQ AVB BVN CKH CLSN DDMGQ GROW KWK MRCY MTDR PLUG PWE RSW SOXS

Top Equity Blocks
@ALL, Benchmark .SPX +0.1%
5.06m SPY 149.90 -1.24 -0.8% FINRA-ADF 15:01:34 – Average Price Trade
3.51m QQQ 67.65 -0.98 -1.4% FINRA-ADF 14:51:33
2.04m CERP 0.02 -0.00 -12.7% 09:52:25
2.02m WMS 24.60 -0.09 -0.4% FINRA-ADF 15:02:01 – Burst
2.00m QQQ 67.65 -1.00 -1.5% FINRA-ADF 14:53:17
2.00m NOK 3.88 -0.13 -3.2% FINRA-ADF 14:43:59 – Average Price Trade
1.99m GLW 11.79 -0.12 -1.0% FINRA-ADF 10:03:49 – Derivatively Priced
1.79m XLK 29.53 -0.34 -1.1% FINRA-ADF 13:45:58 – Average Price Trade
1.73m BSX 7.55 -0.09 -1.2% FINRA-ADF 11:56:23 – Burst
1.67m EWJ 9.95 +0.01 +0.1% FINRA-ADF 12:35:07

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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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