Mid-day Flow Summary
QCOM
April 47.5 calls trading actively this morning, with over 25,000 April 47.5 calls on the tape. The majority of these calls traded as part of a large multi-market sweep order in which a buyer lifted offers on more than 13,000 of contracts in just a few seconds.
QCOM is trading near $42.50 with earnings expected after the close on April 18th. As a result, these front month options include the earnings event and are likely being viewed as a cheap upside play. The call buyer paid just $.10 for the 13,000 calls. Within a few minutes, the same options traded a nickel higher and continued to trade at $.15.
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July 30 calls are also trading more volume than usual. So far today, 3,600 July 30 calls have traded with fragmented volume and offer-side prints suggesting that the buyer is unable to find sufficient liquidity. This appears to be a continuation of Friday's trading, when 5,753 of these calls traded in a similar fashion with offer-side prints and volume spread out across multiple exchanges.
DNDN
84,000 contracts have traded so far today, dominated by trading in the April 12.5 and 15 calls. Friday saw more than half a million contracts change hands in DNDN, which gapped from $5 to nearly $15 on last weeks FDA advisory committee story. With implied vols having touched 200% briefly, current activity suggests premium sellers are looking for income from time-decay over the slow holiday week.
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About Henry Schwartz
Henry Schwartz has traded derivatives on US and European exchanges for nearly 20 years. His experience includes market-making and institutional trading at the Hull Group, Salomon Brothers, Bear Stearns and most recently Banc of America Securities, where he led the electronic market-making project coincident with the launch of the ISE. His current work involves real-time stream analysis of options market activity for a number of leading institutional sell-side firms.
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