Another low volume, tight range trading session. 10 day realized volatility in the S&P 500 index hit 2.5, its lowest level of the past decade.
1. MSFT – Most of the call volume in MSFT was related to the stock going ex-dividend today (see this education post for more details). However, there was one relevant call line that was a real transaction – the Nov22nd 50 calls traded over 60k at an average price of 0.19 throughout the session. The company presents at the UBS Technology Conference on Wednesday morning.
2. BHI – BHI closed up 9%, but remains at a large discount to the HAL bid price, reflecting the market’s uncertainty about the deal closing. Puts were more active than calls yesterday. The largest trade was as follows: the Nov22nd 65 put was sold 20k at 0.70, vs. a buyer of 20k of the Jan16 52.5 put for 2.80, both to open.
3. HAL – Halliburton shares closed down more than 10% after market participants were disappointed in the terms of the deal. Options traded over 5x the normal 1 month volume. Buyer of 10k of the Jan16 60 / 70 call spread for around $2 in the morning.
4. CBS – CBS failed just below its falling 50 day moving average (now around $53.50) yesterday. CBS has not traded above its 50 day ma since August. Trader rolled a call position from Nov22nd to Dec20th, with the Nov22nd 53 calls trading 20k at 0.75 vs. the Dec20th 55 calls trading 20k for 1.10.
5. BRCM – Buyer of over 15k of the Dec20th 44 calls for an average price of $0.56 throughout the day. BRCM has not traded above $44 since Feb. 2011. The company is holding its annual analyst day on Dec 9th: