Too Many Options: Put/Call Ratio Spikes

5:20 pm EDT - February 4, 2013 By

The CBOE Put/Call Ratio closed at 1.05 today (according to Bloomberg), which is the highest close so far for 2013.  Otherwise, relatively quiet day in the options market.

  1. AAPL - Stock closed lower for the 4th straight day, but call to put ratio was at 1.45 today nonetheless.  Weekly 450 and 455 calls were the most active lines.
  2. LVS – Customer sold 23,125 Mar 52.25/55 call spreads at 1.62. The 55 line looks opening, and 52.25 closing, so likely a roll of long calls from the 52.5 to 55 strike.
  3. STZ – the Jul 32.5/40 call spread was bought 10K times. Option volume continues to be high with over 57K options trading.
  4. XLF – looks like a three-way spread, selling the Feb16 17 puts 45,000 times at 0.05, buying the Apr17/15 put spread 7500 times for 0.30, rolling protection out.
  5. VIX – spot VIX up 10% to 14.30, IV30 up 4 points to 75. Not a heavy volume day in options.
  6. TLT - Continuation of a trade from last week, with someone selling 22,200 of the Feb 120 puts to buy 26,200 of the Mar 116 puts, rolling protection out and down.
  7. XOP – SPDR S&P Oil and Gas Exploration and Production – 20K Mar 55 puts traded .74. From the print this looks like a buy. There is sufficient open interest on the line. Only the Jun 45 and 52 puts have similar open interest above 20K. Open interest on every other line significantly smaller.
  8. APKT – stock is up 22% and iv30 is in 50 points on announcement that ORCL will purchase the company for $29.25 a share. Over 50K options traded, with the Mar 29 and 30 calls most active.
  9. DGIT – almost 12K options traded today versus an average of 2,600. Largest trade was a purchase of 4350 Feb16 10 calls, tied to stock. IV30 is up almost 13 points, trading almost 102. Earnings are 2/13, but not confirmed.
  10. DELL - Mar and Feb 14 calls both active, trading about 35k and 25k respectively.  Stock remains right in the middle of 12.50 to 14 range since LBO announcement.

 

 

 

 

 

 

 

 

 

 

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About Enis

Global Macro Editor: Enis focuses on incorporating top-down macro and technical analysis with option market anomalies to develop favorable risk-reward trade structures. He appears regularly on CNBC's Fast Money Halftime, Closing Bell and Options Action.

 

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