Khouw (212) 829-7028
IYR - DJ US Real Estate Index Fund, put spread/collar traded 10k, Selling the Dec 55 calls to buy the Dec 50/43 put spread a BEARISH bet. Downside breakeven ~ $49 down ~ 4%, max profit of $6mm achieved at or below $43 at Dec expiration, down ~ 15.5%, called away up ~8%.
UNG - good sized sellers of the Sep and Oct 6 puts. NEUTRAL/BULLISH.
BHI - Buyer of the Jan 48/50 call spread - pd .34 for 5k. BULLISH.
KWK - Buyer of the Sep/Oct 12 call spread. Trade-Alert reports it looks like a roll of an unprofitable BULLISH bet from Sept to Oct. Traded 10k.
IGT - Seller of 12.5k Sep 15 straddles. Opening straddle/strangle sales are usually viewed as bets on low volatility, or a rangebound thesis. These are often used to enhance yield or scale in (out) of positions in the underlying. The seller of this straddle may be reflecting a willingness to get long(er) ~ 14.10 level or short(er) around 15.90.
LNC - Fly on the wall citing takeover chatter, near-dated BULLISH bets in several Sept calls (several strikes)
Although the market did finish the week slightly lower, implied vols in the S&P were also slightly lower - in the nearer dated expiries at least (<1 year). Overall volumes last week were still below avg for the year, but at 12.8mm contracts in single-stock options, and 950k in index, they were above avg for the month. For some perspective, through May10, avg daily volume in single-stock options was ~ 15.3mm contracts, and ~ 1.3mm for index. August volumes have dipped as low as 8mm and 761k respectively (8/9).
First page of most actives included were C, BAC, PAR, F, LO, LNC, MCD, MSFT, CVS, AAPL, FCX, WCRX, and IGT.
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