WhatsTrading.com Options Recap — 12/21/2012

| December 21, 2012 | 0 Comments More


It’s expiration Friday and stock market averages are sharply lower on fiscal cliff concerns. Reports that House Speaker John Boehner’s “Plan B” didn’t get enough support to pass weighed on stock index futures before the opening bell. It’s now becoming increasingly unlikely that a deal will be reached by yearend. The day’s other economic news was mixed. Durable Goods rose .7 percent last month and .5 percent more than expected. November Personal Incomes were up .6 percent and .3 percent more than economists had predicted. Spending rose .4 percent and mostly in-line with expectations. However, Univ Of Michigan reports that its Sentiment Index finished December at 72.9, well below expectations of 74.9. The data continues to take a backseat to news on the fiscal cliff front, however, and stock market averages fell at the open despite the strong Durable Goods and Personal Incomes numbers. Equity indexes were mostly lower across Europe and Asia as well. Crude oil lost $1.40 to $88.73, but gold is rebounding from steep losses the day before. The yellow metal added $11 to $1657. The Dow Jones Industrial Average is down 135 points, but 54 points off session lows. The NASDAQ dropped 38.

Overall options volumes are running at a good pace due to the expiration. With about an hour left to trade, projected volume is 20 million contracts. 8.1 million calls and 8.4 million puts traded across the exchanges so far. CBOE Volatility Index (.VIX) is up another .89 to 18.56 and its best levels since mid-November, but also well off session highs of 19.93. Trading is relatively quiet in the VIX pit. 271,000 calls and 155,000 puts so far. However, action is finally beginning to stir in the S&P 500 (SPX) pit, with about 285,000 calls and 575,000 puts traded on the index. Some investors are probably taking out some portfolio insurance ahead of the weekend on fears volatility might continue into Monday’s abbreviated trading session.

No recap on Monday due to travel.

Thank you very much for visiting WhatsTrading.com and thank you to our Premium subscribers for the ongoing support. Feel free to email us with suggestions on how to improve the service in 2013. Have a safe and wonderful holiday.

Notable Flow

RF – Bullish flow detected in Regions Financial Corporation with 5308 calls trading, or 3x the recent avg daily call volume in the name. Shares near $7.14 (-0.04) with ATMIV lifting by 1.50 point and 65% of todays call premium trading offer side. (Trade-Alert) 10:21

GRA – Bearish activity detected in W R Grace and Co with 2518 puts trading, or 14x the recent avg daily put volume in the name. Shares near $67.78 (-0.19) with ATMIV lifting by 1.29 point and 100% of todays put premium trading offer side. (Trade-Alert) 10:11

PNRA – Bearish activity detected in Panera Bread Co with 2317 puts trading, or 3x the recent avg daily put volume in the name. Shares near $160.26 (-5.9 with ATMIV lifting by 3.56 point and 74% of todays put premium trading offer side. (Trade-Alert) 10:31

High options volume is being seen in RIMM, HLF, XOM, DIA, KEY, GDXJ, NKE, SSO, MU

Daily Open Interest Update

Thursday’s total option volume of 24.3 million contracts resulted in a net open interest decrease of 1.15 million calls and an increase of 2.25 million puts. Bank of America Corporation (BAC), Research In Motion Ltd (RIMM), Apple Inc (AAPL) and Herbalife Ltd (HLF) saw the greatest growth. Top five new positions opened include 34k Bank of America Corporation (BAC) Jan-13 11 puts, 33k Bank of America Corporation (BAC) Jan-13 11 calls, 28k Sirius XM Radio Inc (SIRI) Jan-13 3 calls, 24k Bank of America Corporation (BAC) Mar-13 14 puts and 21k Alcatel Lucent (ALU) Jun-13 1.5 calls.

Movers

Symbol Last Change %Change StdDevs
HALO 6.94 +1.42 +25.7% 7.51
RIMM 11.13 -2.99 -21.2% 4.72 Post-Earnings
PNK 16.02 +2.67 +20.0% 11.62
ASCA 26.34 +4.27 +19.3% 12.08
HLF 27.25 -6.45 -19.1% 5.17
UVXY 23.79 +3.22 +15.7% 2.82
EDMC 4.72 -0.83 -15.0% 2.97
NUS 34.93 -5.02 -12.6% 4.78
GBX 16.19 -1.97 -10.8% 2.90
BONA 4.72 +0.44 +10.3% 3.11

Shakers (Implied volatility Movers)

Symbol IV[30d] IVChg IVChg% SkewAdjChg Last Change
HLF 146.3% +57.7 +65.1% +44.1 $27.27 -6.42
NUS 81.9% +28.1 +52.2% +21.4 $34.93 -5.02
NKE 18.6% -8.7 -31.9% -7.0 $105.15 +6.15 Post-Earnings
NLY 14.8% -6.2 -29.7% -6.6 $14.72 -0.04
CYCC 79.6% +17.8 +28.7% +nan $6.10 -0.18
RHT 29.5% -11.5 -28.1% -10.3 $54.88 +2.27 Post-Earnings
NPSP 61.6% -18.5 -23.1% -18.5 $8.98 -0.08
SHAW 7.4% -2.1 -21.6% -2.1 $46.39 +0.07 Post-Earnings
TIBX 39.3% -10.1 -20.5% -10.0 $22.22 +1.48 Post-Earnings
RIMM 73.1% -18.0 -19.7% -21.5 $11.13 -2.99 Post-Earnings

52-Week Highs
67 new highs: AEGR AHT ALJ APH ASCA AVG BCEI BEAV BERY CATY CCI CODE COG CPA CSU DIN EPL ETN FLT FR FSTR GWR HOV HPP HW ICON INFI IRET JDAS KEP KSU KWR LAD LXP MFG MGA MHK MPW MTX NHI NMR NRF NTRS OAK PAC PEI PNK PRSC RCI ROG RSE RTEC RTN RUTH SBAC SKM SKT SMFG SSS SWM SYRG TFX TRP TV VAC WGO WPI

52-week Lows
21 new lows: BAA BOTA BTH CERP CPIX CT DLB FOLD GMED HLF LOCK LORL MELA NRT NUS PAL PCXCQ PLUG RINO SATCQ UQM

Top Equity Blocks
4.85m VWO 43.25 -0.65 -1.5% FINRA-ADF 10:12:56 – Burst
4.71m EEM 43.17 -0.60 -1.4% FINRA-ADF 10:12:16 – Burst
3.50m CIG 12.95 +0.62 +5.0% FINRA-ADF 15:12:07
2.90m C 39.47 -0.75 -1.9% CHX (MIDWEST) 14:14:45 – Tied to Options
2.35m EWZ 54.70 -0.87 -1.6% CHX (MIDWEST) 10:02:32 – Tied to Options
2.29m AONEQ 0.02 +0.00 +0.5% 13:51:35
2.00m IYR 64.64 -0.16 -0.2% CHX (MIDWEST) 14:59:33 – Tied to Options
2.00m CIM 2.63 -0.02 -0.8% FINRA-ADF 11:10:39
1.99m VWO 43.25 -0.65 -1.5% FINRA-ADF 10:13:21 – Burst
1.93m EEM 43.17 -0.60 -1.4% FINRA-ADF 10:12:30 – Burst

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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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