Mid-day Flow Summary

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Yahoo (YHOO)
Today’s flow in Yahoo accounts for 17% of the 4.4 million equity options contracts traded by noon today. While the story involving MSFT continues to develop, the stock has come off it’s pre-open high of $34.82 and is currently trading up $4.77 to $32.93.

Several very large trades have taken place, including a Jan-08 32.5 straddle crossed on the PHLX for $6.40. Jan-08 25 puts have also traded very actively this morning, with more than 62,000 on the tape. This activity included a large single trade of 27,000 on the CBOE for $.40 at 11:27am. A block of 52,000 of these puts was bought last Thursday for $1.35 on the AMEX. Today’s massive selling activity may be an attempt to close out that poorly-timed position.  
 
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Crocs Inc (CROX)
Another story stock, CROX, is exhibiting interesting options activity today. The stock is up 18% to nearly $68 after blowout earnings and analyst upgrades. The 22-day average daily options volume in the name is approximately 7,000 contracts/day. However, today’s move has contributed to a flow of over 46,000 contracts as traders scramble to adjust or initiate positions based on their views. 

The majority of today’s flow involves options sellers cashing in on post-earnings volatility expectations, with nearly 7000 May 70 calls on the tape (the majority being sold) and 5500 May 60 calls (also majority sold).

Of note is the volume in CROX earlier this week, which was characterized by above-average volume and a 2:1 ratio of calls to puts. Over the first four days of this week 11,370 May 60 calls traded in the $2 range, the majority on the ask. As a result, the open interest in that option grew from 2328  to 7753 contracts. Early sellers hitting these options today collected $10 per contract, a one week 400% return for those traders on the right side of the trade. 
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