TMO – The Italian Connection

by Kristen February 25, 2013 5:33 pm • Commentary

The market opened higher on Italian election results until it turned out Berlusconi still had a chance.  The S&P 500 hovered around 1500 until it broke it and broke hard.

1) SPY – taking up most of the CBOE most active calls and all but two of the most active put lines.  Well over 4.5 million options traded.  The Mar01 weekly 150 and 151 puts traded over 141K and 126K respectively and the 146 puts over 113K.  The Mar01 weekly 152 calls traded over 317K times.  The Mar16 150 puts traded over 124K times and the 148 puts over 122K times. The Mar16 150 calls traded over 100K times.  The chart below outlines the movement of the index and the implied vol over the course of today.

spy2-25
Courtesy of LiveVol

2) TSLA – buyer of 5000 Jan’14 50/55 call spreads. There is open interest on both lines. Vol poked up a little and stock was down $1.73.  News was of another problematic test drive.

3) BKS – stock is up 11% and IV30 up almost 29% on news that they might be selling their retail business. Options were active with almost 26K trading versus an average of 3500. The Mar 15 calls and 13 puts were the most active.  Earnings are the 28th before the open.

4) XRT – the Mar 60/64 put spread sold 19,000 times. This is closing from a very large buyer a few weeks ago.  Open interest on the lines is 130K+ and 150K+ respectively.

5) TSN – buyer of the Mar 23 puts.  Over 6K traded on the day versus an open interest of 400.  They present tomorrow at the GS Agribusiness conference tomorrow.  Stock is down $.50and IV30 up almost 14%.

6) S – Seller of 40,000 Apr 6 calls.  Open interest is sufficient that could be closing.

7) QQQ – Lots of trading of the Mar16 68/71 put spread.  Trading around 50K times.  The 71 line traded more than the open interest on the line.

8) IWM – 20,000 Mar08 weekly 89/90 put spreads traded right at the end of the day.  The 89’s at least were opening. It’s hard to tell if it was bought or sold as the print is through the market on the 90’s.

9) NWSA – almost 10K July 30 calls traded a little after 2pm.  This doubled the average volume.  It looks like a buy; there is sufficient open interest on the line.

10) ZNGA – Internet gambling prospects gave a pop in the stock today on which traded as high as $3.69.  IV30 was up another 10 points to 91.  The vol was pushed by call buyers in the Mar01 weeklies – the 3.5 and 4 calls, the Mar16 3 and 3.5 calls, and the Apr 3.5 calls. But there was a lot of volume spread out on a lot of lines and across months with Jun having significant volume.