Mid-day Flow Summary
Hess Corporation (HESS)
A large spread traded 14,000 timesin HESS options this morning on the ISE. This spread involved the May 30 and June 45 Calls. The stock is relatively unchanged today at $58.50 and the initiator of this trade collected $14.68 to sell the May options and buy June.
Open interest shows this trade to be a roll of deep May calls (mostly bought in February for prices near $25) to a strike with more optionality in June. The customer also appears to be taking some gains off the table.
Applied Materials (AMAT)
AMAT options are trading heavily this morning as the stock is up 4% and the earnings conference call is scheduled for tomorrow after the close. Options volume has already surpassed 5 times AMAT's average daily level and is characterized by aggressive upside call buyers.
Nearly 33,000 June 22.5 calls and 21,000 May 20 calls have traded, with buyers dominating and several multi-market sweep algorithms being used to maximize the available size.
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PIN Risk Candidates
May options expire at the end of this week. Below are several strikes with large open interest near the current spot level.
| Symbol | Expiry | Strike | Put / Call | Spot | Distance | Open Int | |
| MRVL | May7 | 17.5 | Calls | 17.42 | 0.08 | 68210 | |
| ORCL | May7 | 19 | Calls | 18.9 | 0.1 | 40365 | |
| MRVL | May7 | 17.5 | Puts | 17.42 | 0.08 | 37878 | |
| CVS | May7 | 37.5 | Calls | 37.4 | 0.1 | 36781 | |
| ELN | May7 | 15 | Calls | 15 | 0 | 32642 | |
| HPQ | May7 | 45 | Calls | 45 | 0 | 29716 | |
| SNDK | May7 | 45 | Calls | 45.09 | 0.09 | 29407 | |
| CVS | May7 | 37.5 | Puts | 37.4 | 0.1 | 26782 | |
| CSX | May7 | 45 | Calls | 45.11 | 0.11 | 22331 | |
| WFMI | May7 | 40 | Puts | 40.13 | 0.13 | 20610 |
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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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