Mid-day Flow Summary

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It's relatively quiet for an expiry-week Wednesday, with 1.8 million calls and 2.6 million puts on the tape by mid-day.  

Apple Computer (AAPL)
Options on Apple lead the single stocks today, with choppy trading in the stock as Iphone delay rumors hit the wires at 11:55am. The stock was stuck close to $108 for the first two hours of the day, but dropped nearly $4 over 5 minutes to a low of $104.69 as the rumors hit. The company has denied the news but the stock has not fully recovered and is now trading near $107.

Trading in Apple options during the first two hours of the day (pre-rumor) saw volume of just 23,000 calls and 32,000 puts. The flow was characterized by general selling in both. However, post-rumor the volume spiked dramatically, with nearly 190,000 contracts hitting the tape. The majority of this flow was characterized by atm and downside put buyers.

The most active contracts within AAPL include 57,000 May 105 puts (the majority buyer initiated) and 29,000 May 110 calls (seller initiated). This activity suggests a view that the market might keep AAPL collared in this range for the short term.
 

PIN Candidates
We are continuing to watch the previously mentioned pin candidates. ORCL and ELN are still holding near the strike while the others have moved away.

Note: MRVL earnings are scheduled for tomorrow post close, and the high open interest at the 17.5 strike may lead to dramatic gamma trading if the stock trades through that price.

Symbol	Expiry	Strike	Put / Call	Spot	Distance	Open Int
ELN	May7	15	Calls	14.99	0.01	32692
ELN	May7	15	Puts	14.99	0.01	10840
ORCL	May7	19	Calls	18.85	0.15	36334
ORCL	May7	19	Puts	18.85	0.15	4691
HPQ	May7	45	Calls	44.68	0.32	32692
HPQ	May7	45	Puts	44.68	0.32	11444
CVS	May7	37.5	Calls	37.97	0.47	35675
CVS	May7	37.5	Puts	37.97	0.47	27119
MRVL	May7	17.5	Calls	16.78	0.72	59269
MRVL	May7	17.5	Puts	16.78	0.72	39616
SNDK	May7	45	Calls	44.23	0.77	29027
SNDK	May7	45	Puts	44.23	0.77	15900

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