Too Many Options: $AAPL, $FB, $ACAD

by Enis April 18, 2013 6:30 pm • Commentary

The VIX had its smallest move all week, moving 1 point higher.  10 day realized vol in the SPX is now up to 20.

  1. AAPL – Stock is down almost 10% this week.  Call to put ratio up to 1.25 today, from 1.1 yesterday.  The weekly 400 calls traded over 58k, and the weekly 390 puts traded 55k. 1 month implied vol was relatively steady.
  2. FB – FB back down to near the lows of the year.  There was a buyer of 40k of the May 22 puts paying about 0.28 on average, possibly protection ahead of earnings.
  3. ACAD – $1 billion market cap biotech company.  Big roll, as trader sold 40k of the Jan15 12 calls at 4.04 to close, and bought 40k of the Jan15 15 calls for 2.64 to open.
  4. SPY – Ahead of expiry tomorrow, the weekly 154 puts were the most active, trading 178k times.  The May17th 150 put traded 140k times as well.
  5. XLF – The weekly 18 puts traded over 100k, as that line has 280k of open interest.  XLF closed below its 200 day ma for the first time since December.
  6. MSFT – The weekly 29 puts and weekly 29 calls both traded over 35k, as the stock was pricing in about a 2.5% move.
  7. S – Seller of 35k of the Aug 8 calls at 0.145 on average, and implied vol moved lower, as traders pricing a lower probability of a big counter bid.
  8. NOK – Heavy call selling as the stock was down 11% on earnings.  The May 3.5 calls were most active, sold 22,500 times this morning at 0.07.
  9. ILMN – June 60 calls were bought almost 2k times for 2.35 this morning, unusual volume for this name.  Reports earnings next week.
  10. MS – The May 21 puts traded 25k, likely a seller to close.  They traded at an average price of 0.97.