Mid-day Flow Summary
Mid-day Flow Summary
Sun Microsystems (SUNW)
The stock is up 4% to $5.34 on last nightís announcement of a $3 billion stock repurchase program. This morning at 10:45 a massive trade of 90,000 July 5 calls traded on the AMEX for $.58 tied to a block of 6.8 million shares of stock.
This delta-neutral trade presents no immediate market effect but creates a very large open interest position at the 5 strike for July expiry. The buyerís use of a slightly in-the-money call strike suggests skepticism regarding the short-term effect of the share repurchase program.
This delta-neutral trade presents no immediate market effect but creates a very large open interest position at the 5 strike for July expiry. The buyerís use of a slightly in-the-money call strike suggests skepticism regarding the short-term effect of the share repurchase program.
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PIN candidates
We are continuing to watch close pin candidates. ORCL and ELN are still holding near strike and open interest in MRVL has increased slightly ahead of tonightís earnings.
If MRVL trades through the 17.5 strike, short gamma hedgers may be forced to cover, resulting in ëwhipsawí potential.
| Symbol | Expiry | Strike | Put / Call | Spot | Distance | Open Int |
| ORCL | May7 | 19 | Calls | 18.9 | 0.1 | 35672 |
| ORCL | May7 | 19 | Puts | 18.9 | 0.1 | 4497 |
| ELN | May7 | 15 | Calls | 15.21 | 0.21 | 32127 |
| ELN | May7 | 15 | Puts | 15.21 | 0.21 | 9832 |
| MRVL | May7 | 17.5 | Calls | 17.15 | 0.35 | 61409 |
| MRVL | May7 | 17.5 | Puts | 17.15 | 0.35 | 39406 |
| CVS | May7 | 37.5 | Calls | 37.89 | 0.39 | 34502 |
| CVS | May7 | 37.5 | Puts | 37.89 | 0.39 | 27060 |
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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