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Rebecca Engmann Darst contributed to this report.

Lehman Brothers (LEH) – A more positive tone for Lehman’s today has shares knocking on the door of the $15.00 mark having rallied by 6.3% so far Wednesday. Options volume puts Lehman’s on our scanner of most actively traded equity options today. There are three pieces to the jigsaw puzzle in the October contract, which we’re assuming here is linked given the consistent and standout volume in each. It appears that a bear puts spread involving 10,000 contracts was established at a net cost of 1.50 between the 12.5 and 7.5 strikes. In isolation the maximum profit here is 3.5 per contract in the event Lehman’s shares decline to the lower sold strike. The point of selling those helps to reduce the cost of going long the 12.5 puts, which in isolation today cost 2.17. The flipside here is the limited profit potential should the investors sense an end-game scenario for the broker again. While this put spread might be the extent of the activity today, there is a similarly sized 10,000 call position established at the 15.0 strike, which was sold short. The credit received from this trade was 2.45 meaning that if linked to the put play, the investor is establishing this bear play for a net credit of 0.95 per contract on a day when shares are right at-the-money. It’s a bold move if this is the case, but if it’s not it could be linked to an existing long on the shares when times were dire for investors. Taking in this premium helps lock in profit while the put spread offers downside protection.

Meritage Homes Corp (NYSE:MTH) – It has to be said that there has been marginally better housing market data released lately, but hardly enough to help us understand the euphoric bullish plays on this single-family home builder today. Its shares are 7.8% better at $21.79 but the options plays are what jumped out on our market scanners with perhaps 23-times usual activity. The major trade was the sale of 13,104 September 17.5 strike put options at a credit of 0.70. The share price has spent much of the previous two months below the implicit breakeven price at $16.80. Clearly at least one investor is bullish on this company’s prospects. a

Amylin Pharma Inc. (AMLN) – News of two four more deaths brought the total to six patients who were receiving Amylin’s diabetes drug, Byetta. The news saw investors ditch stock in the company for a fall on the day of 21.7% to $21.30. But the options activity was perhaps more discerning. It would be easy to state that puts were bought and calls were sold, but in reality options traders appeared to call a floor under the ailing stock price perhaps indicating a limit to the potential liability from Byetta. There is apparently no proven link between the deaths and the use of the drug and at this stage the news is coincidental to the use of the drug. We’ve observed largely sales of puts in AMLN at both October and September 20 strikes – just below the current share price. The tone at the 25 strike was more pessimistic with long positions established in September. At the same time calls at the 25 strike were sold.

Energy Select Sector SPDR (NYSEARCA:XLE) – With the dollar in decline and the price of crude on the rise we’re watching relatively active trading on options in the XLE today. It is hard to say whether we’re looking at a long or short volatility trade since the action on both 86 strike calls and 75 strike puts in the December 2008 contract took place at the middle of the market. Implied volatility offers little clue since an options implied volatility reading of 32.6% compares with historic volatility of 33% on the fund’s performance. In addition some 5,000 Dec 67 strike puts were sold at a premium of 2.36. This does undermine the theory that the strangle involving the 86 calls and 75 puts was a long volatility play since the nature of such a trade is to predict a break below $67 or above $94 in terms of the XLE fund price.

Netapp (NTAP) – Memory device maker Netapp Inc. saw options volume several times the usual amount today. We see little fresh news to support the 5% share price increase to $25.30 but fresh call buying was the order of the day. In the September contract some 9,000 call options were traded at each of the 25 and 27.5 strikes. In the October contract the same strikes saw activity well in excess of current open interest indicative of fresh fuel to the fire for this stock. Options at the October 25 strike infer that the shares will be trading at $26.65 by expiration.

Clean Energy Fuels Corp. (NASDAQ:CLNE) – Further gains came today for shares in T. Boone Pickens alternative energy provider, which rose 3.95 to stand at $16.21. Fresh call buying was also noted with overall options volume some 11-times average levels. September 17.50 strike calls were in play while we’re still trying to unravel the activity at the same October strike. It could be that a straddle was purchased involving 1,100 lots with implied volatility running at 65%. We can clearly see that the calls here were purchased although the puts traded to mid-market. The reason we are suspicious here is that a bull on this stock could be selling puts in order to fund the call side of the trade in the expectation that natural gas prices and industry activity is on the rebound.

Hornbeck Offshore Services (HOS ) – this company provides marine transportation services to the offshore oil and gas industry. Today its share price is firmer and there appears to be some optimism over further price gains judging by activity in the options market. With shares standing at $43.27 the January 45-strike calls have traded to the buy side 2,000 times at a premium of 4.80 implying a breakeven share price at expiration of $49.80. This is a fresh position and the current overall volume in HOS today represents 29% of total open interest. On the put side of the fence, a fresh position at the same January strike involving 1,000 contracts was evident, but whether this involved a long or a short trade is hard to say as yet. Implied volatility in that series at 46% compares to historic volatility on the stock of 51%.

Dollar Tree (NASDAQ:DLTR) – Shares in this discount retailer are lower after decent earnings thanks to a weaker outlook than its analysts had expected. With shares 2.3% lower at $38.27 option investors have dived in to the call side to buy October 40 strike options at 1.40. The contract has traded some 7,429 lots, which is huge in comparison to the overall open interest of less than 20,000 lots across the entire option series. So despite the dour tone to this retailer in an otherwise up market today, it’s understandable that some options bulls are taking advantage of the 31% decline in premiums today in anticipation of a rebound before long. During the last few months shares peaked at $42.20 while the 52-week high at $44.13 remains intact from last September. Breakeven on today’s trade is only at $41.65 and so would require an 8.5% rise from current the price.

Tyco Electronics Ltd. (NYSE:TEL) – Today’s decline in premiums at the January 30 strikes in this contract is strongly supportive of a short straddle in options given the stand still in the underlying price at $32.00. It appears that a 5,000 lot straddle has been placed for a combined premium of 5.20 implying that this investor is expecting shares to remain bound between $24.80 and $35.20 before expiration. Shares peaked above $40.00 in June and have been on the decline ever since.

ITT Educational Services (NYSE:ESI) – Investors seem to be taking a short view on implied volatility in this online education company by selling the January 85 strike straddle. With shares a little higher at $87.70 today the premiums of both calls and puts at the 85 line are marginally lower while a fresh 5,000 position has appeared on both sides of the tape. The combined premium received is 22.20 indicating a range of $107.20 to $62.80 over the coming four months. This is an interesting find given the historic range of the underlying shares, which have not bust that range in five months following a bottom formation playing out on the stock coming hard on the heels of a six month downtrend.

Source: Wednesday Options Update: LEH, AMLN, XLE, NTAP, CLNE, HOS, DLTR, TEL, ESI