Tuesday Options Recap

by: Frederic Ruffy


Market action remains rangebound. The S&P 500 is suffering only its third loss so far in 2012. The average is up in 15 of this year’s 18 trading sessions, or 80% of the time, but since the January 3 1.5% rally, the average daily moves in the S&P 500 are less than 4.5 points, or .35%. The action is reminiscent of tone of trading in early-2011. From late-March to mid-July, CBOE Volatility Index never moved beyond 20. VIX is up .36 to 19.03 today, but there’s very little actual volatility. The 30-day real or historical volatility of the S&P is now just 10.9%. The S&P is down just 1.5 points today on a day of mixed trading, as earnings reports are driving a lot of the action, but fears of a possible Greek debt default kept a lid on any morning rally attempts. Meanwhile, trading in the options market is slower and more defensive than the past few days, with 6 million calls and 6.2 million puts traded so far.

Bullish Flow

Clean Energy Fuels (NASDAQ:CLNE) adds 70 cents to $15 and implied volatility in the options on the stock is higher amid optimism President Obama will highlight the benefits of natural gas technologies during tonight’s State of the Union address. Feb 16 calls, which are 6.7% OTM and expiring in 24 days, are the most actives. 2,045 traded. Feb and Mar 14 and 15 calls are also seeing interest and implied volatility in CLNE options is up 16.5% to 47.5.

St Jude Medical (NYSE:STJ) is flat at $38.46 and $40 calls on the medical device-maker are seeing interest ahead of earnings. The top trade is a 1945-lot of Mar 40s bought-to-open for $1.025 on ISE. A firm initiated the trade, according to data from the exchange. Separately, a 1,000-lot of April 40 calls was bought for $1.59 on ISE to open for a customer account. 4,700 calls and 860 puts traded and implied volatility in STJ options is 1% to 29.5 ahead of the results, which are due out tomorrow morning.

Bearish Flow

Nokia (NYSE:NOK) is down 7% to $5.33 on heavy volume of 36 million shares following a profit warning from Royal KPN (also hearing Danske Bank may have cut its rating on the stock to Sell.) The volatility in shares comes two days before the Finnish phone company is due to report earnings. Options on the stock are actively traded as well. 9,100 calls and 9,300 puts so far. The top trade is a 2,000-lot of July 5 puts at the 73-cent asking price, which might be some downside protection ahead of the earnings news. Feb. 5 puts are the most actives, with 2,880 traded. Mar 4 puts, Jun 4 puts, Mar 6 calls and April 6 calls are also seeing interest and implied volatility in NOK options is moving up 4.5% to 62.

PowerShares QQQ (NASDAQ:QQQ) loses 13 cents to $59.66 and a Feb 56 - 59 put spread is bought on the ETF for 59 cents, 9,000X -- a little more than an hour before Nasadaq heavyweights Apple (NASDAQ:AAPL) and Yahoo (YHOO) are due to release earnings results after the closing bell today.

Implied Volatility Mover

Advanced Micro (NASDAQ:AMD) implied volatility is moving up ahead of its earnings. The chipmaker is due to report after the closing bell today and some players in the options mart are likely bracing for a volatile move in the stock because the average daily post-earnings move over the past four quarters has been greater than 8%. Share volume is 25.5 million and more than double the typical. 24,000 puts and 21,000 calls traded on the stock, or 4X the typical options activity for AMD. Feb 6 puts, which are 10% OTM and expiring in 24 days, are being bought-to-open on ISE - 3,000X so far. Total volume in the contract is more than 9000. Feb 6 calls, Feb 7 calls, Feb 7 puts and April 7 calls are among the most actives and implied volatility in AMD options is up almost 15% to 61.5.

Unusual Volume Movers

Bearish activity detected in Alerian (NYSEARCA:AMLP), with 10,150 puts trading, or 15x the recent average daily put volume in the name.

Bullish flow detected in Collective Brands (NYSE:PSS), with 6,520 calls trading, or 4x the recent average daily call volume in the name.

Bearish activity detected in CurrencyShares Japanese Yen Trust (NYSEARCA:FXY), with 4,160 puts trading, or 3x the recent average daily put volume in the name.

Meanwhile, unusually high options volume is being seen in the iShare Long-term Bond Fund (NYSEARCA:TLT), SPDR Industrials (NYSEARCA:XLI), and Transocean Offshore (NYSE:RIG).