Monday's Options Recap

Sentiment

Stocks opened steady and are holding modest gains in light trading Monday. With no economic data and no earnings news of broad market significance, many investors are likely taking a wait-and-see approach ahead of this week's busy economic calendar -- which includes key monthly jobs data Thursday.

There doesn't seem to be much concern heading into the data. Twenty-eight of the Dow thirty are holding gains and the industrial average is up 82 points heading into the final 45 minutes of trading. Volume is slow, as trading desks are light ahead of this week's three-day 4th of July holiday weekend.

The CBOE Volatility Index (.VIX) is down .41 to 25.52 and set to close at fresh 9-month lows. Approximately 3.4 million puts and 4.8 million calls traded on the session, a ratio of .71 (compared to a 22-day average of .76). Today's total volume represents about 70 percent the normal.

Bullish Flow

Bullish traders are betting on medical device maker Boston Scientific (BSX) Monday. Shares up 3 cents to $10.38 and the focus is in the short-term contracts. More than 10,500 July 10 calls traded. One player bought 4000 on the AMEX for 70 cents, according to contact on the exchange floor. A block of 2,400 traded on the ISE for 65 cents, which was an opening customer buyer, according to sentiment data. Looks like bullish trading and bets that BSX will make a run higher before the July options expiration (18 days).

Calls on Interactive Brokers (IBKR) are more active than usual. 3,700 traded so far, which represents 9X the expected. Buyers of Dec and July 15 calls lead the flow. Shares are up 21 cents to $15.45 and there is no obvious news to explain the interest. Implied vols little changed at 33.

Bearish Flow

Select Sector Homebuilders (XHB) is up 20 cents to $11.96 and the Sept 15 - 17 call spread was sold 25000X for a dime. Trade likely closes out an existing position, on diminishing hopes for a move beyond $15 during the third quarter.

Implied Volatility Movers

Sanofi (SNY) is up 4.4 percent to $29.25 after a 3-day 15 percent decline in the second half of trading last week. Shares of the French pharmaceutical maker came under pressure Friday after Reuters reported that researchers might soon publish a report linking SNY's Lantus to cancer. Shares bounced back Monday and implied volatility is down to 39, from about 44 late Friday.

Implied volatility is also lower in Agrium (AGU), BofA (BAC) and the S&P 500 Index (SPY). Meanwhile, implied volatility is higher in Taser (TASR), Coventry Healthcare (CVH), and McAfee (MFE).