Mid-day Flow Summary: BYI, GM & General Market Sentiment
Bally Technologies Inc (BYI)
Unusually high option volume in BYI today, with 29,000 contracts trading versus average daily levels below 2000. The flow is dominated by call buyers, with a large 3-way trading on the PHLX near noon. In this trade, a customer bought Oct 20, 22, and 25 calls in quantities ranging from 5,700 to 8,000 contracts. This trade was tied to 1.5 million shares of stock.
Ballyís is occasionally mentioned in takeover chatter and is up $.89 today to $26.56. Implied volatilities are also lifting in response to the significant size of the trade.
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General Motors Corp (GM)
143,000 GM options have traded today, more than twice the daily average for the stock. The majority of the activity is in calls, which is unusual for GM. GM normally sees a ratio closer to 1.5 puts per call.
The stock is up $1.18 to $30.86 and implied volatilities in the name have lifted as well. This is logical considering the pickup in realized volatility in the stock over the past month. Current July at-the-money implied volatility is near 40.5%, up from 37% this morning.
General Sentiment
A busy recovery today with many benchmarks up nearly 1%. Among all listed options today (index, etf, and equity) approximately 3.6 million calls and 2.3 million puts have traded, for an industry put/call ratio of .63. This ratio is back in line with recent trends.
The majority of the order flow today is driven by call buyers and the rebound has taken much of the concern out of volatilities. The CBOE VIX has come down nearly 2 points, today to 15.08, reflecting a general easing of market anxiety.
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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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