Friday Options Recap

Sentiment

The major averages opened lower on disappointing jobs data, but then battled back and are little changed late Friday. Stock index futures sank early after the Labor Department reported that the US economy lost 190,000 jobs during the month of October. Stock index futures were higher ahead of the news, but then fell because economists were expecting a smaller 175,000 drop. In addition, the nation's unemployment rate unexpectedly jumped. The percent of unemployed rose to 10.2 percent and its highest since 1983. Economists were expecting the unemployment rate to hold steady at 9.8 percent.

The jobs report wasn't a complete disaster, however. September numbers were revised up to show a loss of 219,000, better than the -263,000 initially reported. August numbers were revised higher as well. Meanwhile, average hourly earnings rose .3 percent in October, which was better than the .1 percent economist had expected.

Meanwhile, the day's earnings news was mixed. Starbuck's (SBUX) and NVidia (NVDA) moved higher on better-than-expected results. Sunoco (SUN) and AIG (AIG) are seeing post-earnings weakness.

Overall, the day has been an uneventful one. After the initial move lower, the Dow Jones Industrial Average has been rangebound throughout most of the session and is off 15 points heading into the final hour. The NASAQ is flat. Meanwhile, overall volume is slowing ahead of the weekend. Approximately 3.7 million puts and 5.4 million calls changing hands so far (a ratio of .87, compared to a 22-day average of .81).

Bullish Flow

Rockwell (ROK) is down 85 cents to $43.35 in cautious trading ahead of earnings, Monday, before the bell. In the options market, the top two trades include 1632 Nov 40 puts at 53 cents and 1632 Nov 45 calls at 83 cents on the ISE, where sentiment data suggest that the investor bought calls, sold puts. Looks like this bullish risk-reversal traded multiple times, as volume in the Nov 40 puts is 5195 and another 6462 Nov 45 calls also traded.

Sinovac Biotech (SVA) sees a morning spike and call volume is 4X the expected for the first hour of trading on reports Beijing will extend an H1N1 flu vaccine innoculation to all the city's 16 million residents. Shares have rallied back from morning lows around $7.95 and are unchanged at $8.18 on the session. 1,150 calls and 125 puts traded. Nov 7.5 and 10 calls are the most actives.

Bearish Flow

A number of refiners are seeing action after Sunoco (SUN) slipped on earnings news Friday. SUN is down $3.09 to $28.03 after the co. reported a quarterly loss of 29 cents per share, which was 19 cents worse than analyst estimates. SUN options activity is running 2X the avg. daily, with 8925 puts and 7490 calls traded. Top trade is 5000 Nov 28 puts bot for 75 cents apiece — tied to shares $28.2. A block of SUN Dec 25 calls at $3.70 was also tied to shares. Valero (VLO) is down 32 cents to $17.25 and 14K puts traded (5700 calls), including 5000 Dec 18 puts bought at $1.29. Tesoro (TSO) is due to report earnings Monday and 4000 Dec 14 puts trade at 92.5 cents (apparently bot delta neutral).

Implied Volatility Movers

CBOE Volatility Index (.VIX) is down for a fifth session and, after closing at 30.69 a week ago, is down 1.15 to 24.28 today. In the options market, one player bought the Nov - Jan 22.5 put spread 50000X at an average of 37.5 cents. This likely rolls a large position of puts from Nov to January and is possibly tied to a long VX futures position. In addition, it appears that that this spread has traded more than once. More than 100,000 now changed hands in both contracts.

Implied volatility is also lower in ActivisonBlizzard (ATVI), Starbuck's (SBUX), and Croc's (CROX). Meanwhile, implied volatility is higher in Clorox (CLX), Ambac Financial (ABK), and Titanium Metals (TIE).