Friday Options Recap

by: Frederic Ruffy


Concerns about Europe seem to be weighing on Wall Street Friday. The euro traded down 1 percent and dipped back below 1.32 on the buck after a Spanish official said that his nation’s deficit is running at 5.8 percent of GDP. Spanish borrowing costs rose and the yield on the ten-year rose above Italy’s 10-year for the first time since August. With no domestic economic news on the calendar, there wasn’t much other macro news to drive the action. Crude oil gave back $2.50 to $106.33 and erased the gain seen late-Thursday, which were triggered by reports of a fire along a key Saudi pipeline. Saudi officials denied the speculation. Meanwhile, gold is off $11 to $1711 and silver slipped 80 cents to $34.80. Trading is the equity and options market is slow. The Dow Jones Industrial Average has traded in a 55-point rnage and is down 4 points. With an hour left to trade, the NASDAQ is off 9.5 points. CBOE Volatility Index (.VIX) edged up .18 to 17.44 amid light volume in the options market. 5.9 million calls and 5.6 million puts traded across the exchanges so far.

Bullish Flow

Sirius Satellite (NASDAQ:SIRI) is up a dime to $2.33 on more than 50 million shares traded, which is almost 3X the expected volume for the satellite radio operator. Meanwhile, 36,000 calls and 700 puts traded on the stock. Mar 2 calls are the most actives. Volume is approaching 26,000 and might be seeing some liquidating trades, as most of the volume is trading on the bid and open interest is 75,301. The contract is now 33 cents in-the-money and expiring in two weeks. Meanwhile, Mar and Apr 2.5 calls are the next most actives and are trading predominantly at the offer or asking price. Implied volatility in SIRI options is up 5.5 percent to 44. The company reported earnings on 2/9 and there was minimal reaction to the results. However, the stock is performing well this week and up 11 percent since 2/23. An intraday high of $2.44 set on May 31 comes into play if the stock can break above the July highs of $2.35.

United Continental (NYSE:UAL) adds 72 cents to $21.13 and is gaining altitude today amid relative strength in the sector (LUV, LCC, DAL) after crude gave back $2.50 to $106.33 per barrel. One player in the options market expects the ascent in UAL to continue and jumped on board an April 25 – 26 call spread on th stock for 17 cents, 15000X, to open. The spread will offer its best payoff if UAL shares fly north of $26 through the April expiration, or 23 percent higher over the next seven weeks.

Bearish Flow

Ann Taylor (NYSE:ANN) adds $1 to $25.57 and has staged a two-day 4.1 percent advance since same-store sales numbers were reported yesterday morning. Options order flow is not so bullish, however, as 9,300 puts and 1,200 calls have traded on the retailer Friday. March 25 puts are the most actives. 5,660 traded including a Mar 23 - 25 put spread, bought for 60 cents, 708X on ISE, to open. Mar 25 puts on ANN are 2.2 percent out-of-the-money and expiring in two weeks. Some investors might be buying the contract in anticipation of post-earnings volatility in shares. The company is due to report the morning of March 9. ANN fell 7 percent on 11/18 after earnings were last reported.

Implied Volatility Mover

Shutterfly (NASDAQ:SFLY) sees relative strength and high volume today after the company bought Kodak’s online photo gallery business for $23.8 million. Investors cheered the news and shorts are scrambling to cover positions (short as percent of float is 23.1%). SFLY is up $5 to $31.93 on turnover of 4.8 million shares. Typical volume through midday is about 600K. Meanwhile, options volume is approaching 7,000 contracts and 10X the expected. March 35 calls, which are almost 10 percent OTM with two weeks of life remaining, are the most actives. 1,875 traded. Mar 30 puts and calls are seeing interest as well and levels of implied volatility is SFLY options moved up 6 percent to 61.

Unusual Volume Movers

Bullish flow detected in OmniVision Technologies (NASDAQ:OVTI), with 9892 calls trading, or 2x the recent average daily call volume in the name.

Bullish flow detected in Align Technology (NASDAQ:ALGN), with 3285 calls trading, or 8x the recent average daily call volume in the name.

Bearish activity detected in United States Natural Gas (NYSEARCA:UNG), with 60634 puts trading, or 2x the recent average daily put volume in the name.

Meanwhile, unusually high options volume is being seen in Sina (NASDAQ:SINA), AIG (NYSE:AIG), and UAL