Mid-day Flow Summary

Posted May 18th, 2007 by Henry Schwartz in Trading & Analysis

Mid-day Flow Summary

It's expiration Friday! As expected, the market is very busy today, with new all-time highs for many indices.

International Game Technology (IGT)
There is significant activity and increased volatility in IGT this morning. The stock is up more than $3(8%) to $41.08 amidst buyout chatter and traders are keeping an eye on the wires. The total volume at mid-day has passed 50,000 contracts, more than 10x its average daily level.

The options activity is generally bullish, with more than 12,000 June 45 calls trading, the majority buyer-initiated. There is frantic trading in the May 40 strike as well, with only 4 hours of trading left and the stock choppy near that strike.

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Aquantive and ValueClick (AQNT, VCLK)
AQNT is up 77% to over $63 this morning as MSFT acquires the firm. Interesting upside call buying preceded the news, with buyers in the June 40 and May 35 calls yesterday for prices below $1 (both trading well over $20 today). Many of you may recall that we saw similar activity in Dow Jones options a few weeks ago, just prior to the takeover bid by News Corp.

VCLK is viewed as another potential takeover target by some traders, so the stock is up 8% because of it. Not surprisingly, the options flow is dominated by upside call buyers. With the stock trading near $30, almost 5,000 VCLK June 35 calls have traded, with additional buyers of several thousand September 35 and 40 strike calls.

PIN Candidates
Looking at the previously listed pin candidates, we see ORCL still hovering near the strike with significant open interest. ELN lifted over the past two days to pass through the 16 strike, but there is very little open interest.

MRVL earnings did not result in an upward spike so pressure from the 17.5 strike is reduced. We are adding INTC with very large open interest at the 22.50 strike, which is currently 6 cents out of the money.

Symbol	Expiry	Strike	Put / Call	Spot	Distance	Open Int
ORCL	May7	19	Calls	19.13	0.13	33655
ORCL	May7	19	Puts	19.13	0.13	5547
ELN	May7	16	Calls	16.15	0.15	2753
ELN	May7	16	Puts	16.15	0.15	397
CVS	May7	37.5	Calls	38.16	0.66	32496
CVS	May7	37.5	Puts	38.16	0.66	27461
MRVL	May7	17.5	Calls	16.79	0.71	69570
MRVL	May7	17.5	Puts	16.79	0.71	38492
INTC	May7	22.5	Calls	22.56	0.06	122456
INTC	May7	22.5	Puts	22.56	0.06	29843

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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