Mid-day Flow Summary
Mid-day Flow Summary, 11 April 2007 12:00 ET
Yahoo (YHOO)
Early activity in Yahoo (YHOO) Calls today, as buyers have accumulated over 20,000 October 40 Calls for prices from $.60 to $.65. Open interest of just 1,245 contracts for the strike indicates bullish positioning ahead of next week's earnings.
Valero (VLO)
Energy sector options are seeing consistent selling of April calls and puts this morning. 965 Valero (VLO) April 70 Calls were sold on the ISE at 10:42, with later volume on other exchanges bringing the total to 1700 contracts so far.
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Exxon Mobil (XOM)
Exxon Mobil (XOM) calls are also being sold today. 2500 May 80 calls have traded so far at prices from $.85 to $.75 with a seller-initiated bias.
DNDN
In biotechs, DNDN continues to be busy. 100,000 contracts have traded so far with the stock falling $2.30 to under $20. With the pullback in the stock, option flow has a bearish direction and is dominated by April 22.5 Call sellers and April 20 Put buyers.
Neurochem (NRMX)
Another biotech, Neurochem (NRMX), is trading at a brisk pace this morning. Nearly 50,000 contracts have traded so far, roughly seven times its average daily volume. The bulk of the activity is concentrated in May 7.5 Puts. Sellers are collecting nearly $1 premium for these $6 out-of-the-money options. That gives these puts an astounding 258% implied volatility. The FDA's decision to push back an important new drug review from mid-April to mid July is driving much of this activity.
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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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