Mid-day Flow Summary

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Mid-day Flow Summary, 16 April 2007 12:00 ET

Walmart (WMT)
Walmart (WMT) options are trading heavily this morning as the stock has ralied nearly 1% to $47.87. Ten minutes into the trading day, an aggressive buyer used a multi-market sweep algorithm to buy nearly 10,000 April 47.5 Calls for $0.40. A similar order to buy another 8000 contracts hit the tape 15 minutes later. More than 26,000 of these calls have traded so far toda y. With only 5 days until they expire, the buyer needs a close above $47.90 by Friday just to break even.

Dell Computer (DELL)
A large trade took place in Dell Computer (DELL) options today as a block of 12,000 Aug 27.5 Calls were sold for $0.75 on the ISE at 11:06. Over the course of the last week, Dell options have traded with a bullish bias characterized by call buyers and growing open interest. The stock rallied from $23.71 to $25.34 over the course of the week with total call open interest increasing from 686,000 to 705,000 contracts. Today’s activity may be an attempt to lock-in gains made from last week. 

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PIN RISK
Some options traders watch for stocks that are trading close to expiring option strikes, as these can have a tendency to "pin" to strike. A few names to watch for this Friday include:

Stock    Spot      Strike    Distance    CallOI    PutOI    Str. Range
ADBE     $42.49   42.50       $0.01         18978     8327        $0.90-1.05
CHKP     $22.41   22.50       $0.09         11861     4352        $0.45-0.55
ETFC      $22.49  22.50       $0.01         7579       5982        $0.90-1.05
RDC       $35.17   35.00       $0.05         6798       1589        $1.00-1.10
USG       $47.51   47.50       $0.01         2802       2743       $1.10-1.30

Of these, ADBE April 42.5 Calls have traded nearly 4000 contracts this morning, the majority being sold at levels near $0.50. USG is also seeing modest selling of nearly 600 April 47.5 Calls at prices near $0.60.
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