Mid-day Flow Summary
HOME DEPOT
Home Depot (HD) August 40 Calls are one of the most active series this morning, with more than 15,000 trading thus far. There was also an aggressive multi-market bid-side trade of 10,000 hitting the tape for $1.15 at 10:09 EST. Current open interest of 9,917 contracts suggests that much of this volume consists of opening transactions. With the stock up 2% on the day, it's possible that these traders are hoping to lock in some gains.
WALMART
Walmart (WMT) is also busy this morning, with consistent premium sellers in the market. April 47.5 Calls have traded 11,500 contracts, with 93% of this volume occurring on the bid. With the stock trading near $48.16, the April 50 Calls have traded 5,900 contracts at $0.10. This suggests that some spread sellers are content to collect $0.95 for the April 47.50- 50 Call spread.
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ETFS
ETF option volume is on pace for a typical day, with total volume reaching just over 740,000 contracts by noon EST. The largest single option trade was 22,000 IWM (Russell 2000 Ishares) May 78 Puts that traded at 9:56AM EST. These contracts traded for $1.27 on the ISE and were preceded by an additional 22,000 contracts that traded on the CBOE just 12 minutes earlier.
In general, ETF options order flow is frequently concentrated in these out-of-the money puts, with 324,000 contracts having traded hands today. There appears to be a slight option seller bias to the trading
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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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