Friday Options Recap

by: Frederic Ruffy


Stocks fell on disappointing jobs data Friday. Before the opening bell, the Labor Department reported that the U.S. economy added just 18,000 jobs in June. Economists were expecting to see an increase of about 80,000. May numbers were revised down. The unemployment rate increased to 9.2% from 9.1%, which was also above expectations (9.1%). The data sent stock index futures lower and the Dow Jones Industrial Average fell at the open. However, the decline has been orderly and, with 45 minutes left to trade, the Dow Jones Industrial Average was down 95 points. The Nasdaq lost 23.5. CBOE Volatility Index (.VIX) is up .51 to 16.46. The tone of trading in the options market has turned a bit more cautious, with 5.8 million calls and 6.3 million puts traded across the exchanges as of this afternoon.

Bullish Flow

Ford Motor (NYSE:F) loses 36 cents to $13.76 and a 24,348-contract block of Aug 15 calls trades at 19 cents on ISE. It’s an opening customer buyer, according to ISEE data. 43,915 contracts now traded. Mar 14, July 14, and Dec 15 calls on Ford are seeing interest as well. Total volume of 82,000 calls and 21,000 puts seems to reflect the view that today’s decline is an opportunity for bullish trades on the automaker.

Call volume in Western Digital (NYSE:WDC) spiked to 2.5x normal as a customer sold 11,340 Jan 40 calls to open vs a hedge of 555K shr for 38.21. Will create the largest block of OI in the disk drive maker.

Bearish Flow

Melco Crown Entertainment (MPEL) notched a new 52-week high and is up 44 cents to $13.91. Recent options trades in the casino operator include a 20,000-contract block of Oct 14 calls at $1.70. It was sold and tied to 1.1 million shares at $14 - possibly closing of at-the-money calls. Open interest is 21,281 and the largest position in the name.

Implied Volatility Mover

Out of 3640 listed products, 2,170 (60%) are trading with 30day at-the-money Implied Volatilities higher on the day today. Among liquid products, the largest increases include Seattle Genetics (NASDAQ:SGEN) (69.7% IV +10.4), LinkedIn (LNKD) (76.0% IV +8.2), SUG (25.3% IV +7.3), EDZ (59.9% IV +6.8) and MIPS Technologies (NASDAQ:MIPS) (57.6% IV +6.5). Broad market benchmark S&P 500 index 30-day ATM IV is at 13.9%, up half a point as the index trades near $1339.24, off about 14pts, or -1.05%.

Unusual Volume Movers

Bearish activity detected in Mosaic Company New (NYSE:MOS) with 20,593 puts trading, or 2x the recent average daily put volume in the name.

Bullish flow detected in Emulex Corp (NYSE:ELX) with 2250 calls trading, or 3x the recent average daily call volume in the name.

Bearish activity detected in Atmel Corp (NASDAQ:ATML) with 5295 puts trading, or 15x the recent average daily put volume in the name.

Increasing volume is also being seen in Sara Lee (SLE), Amkor Technology (NASDAQ:AMKR) and Seagate (NASDAQ:STX).