Mid-day Flow Summary

Posted April 17th, 2007 by Henry Schwartz in Trading & Analysis

Mid-day Flow Summary, 17 April 2007 12:00 ET

Yahoo (YHOO)
Yahoo (YHOO) options are leading the most active list this morning, with earnings scheduled for after the close today. Just over 32,000 April 32.5 Calls have traded so far, including a single burst sale of 11,500 contracts across multiple exchanges for $0.70. The motivation behind this trade is most likely to capitalize on artificially high pre-earnings implied volatility combined with a view that earnings are not likely to produce a significant move in the underlying.

Boston Scientific (BSX)
Boston Scientific (BSX) is trading at a brisk pace this morning following an FDA announcement. This announcement initially lifted the stock, but it has eventually faded back to unchanged ($16.00). Sellers have been active this morning with nearly 5000 August 17.5 Calls and 4700 August 15 Calls on the tape. As expected, this selling activity has generated downward pressure on implied volatility.

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PIN RISK
Following yesterday’s ‘pin’ candidate analysis, we are seeing several near-term options that are actively trading close to the spot price today:

11,000 Apple (AAPL) April 90 Puts, currently 61 cents out of the money, have traded with buyer-dominated order flow.

Motorola (MOT) April 17.5 Calls and puts are trading briskly ahead of tomorrow’s earnings with these puts currently 48 cents out of the money. Order flow in MOT is currently dominated by call-sellers and put buyers.

Johnson and Johnson released earnings earlier today with the stock rising 3% to nearly $65. Continuing a trend that started yesterday, we are seeing consistent selling of just over 11,000 April 65 Calls which are currently only 1 cent out of the money
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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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