Mid-Day Options Flow Summary: General Sentiment & WFC
Mid-day Flow Summary, 23 October 2007
General Sentiment
Yesterdayís mild recovery continues, helped by Appleís earnings release and subsequent 6% climb. At midday averages are up slightly and CBOE VIX is down to 21.04 as fear of future market volatility wanes. Option volume is on pace for 15million contracts and call volume leads puts by a slight margin in relatively neutral flow.
Apple Inc (AAPL)
New all-time high for the stock, to current levels near $185.66 after last nightís earnings, which were followed by upward price target revisions by several analysts. Apple option volume leads the single stock space with close to 600,000 contracts on the tape at midday or triple the normal pace in this name which often leads the market. Flow indicates some taking of gains at this level, with sellers of January-08 80 strike calls and buyers of downside puts in November.
Zoran Corp (ZRAN)
Noted yesterday when options trading spiked ahead of earnings, with flow suggesting a significant move (up or down) was likely. Earnings beat estimates and a slew of upgrades has led the stock up 14% to 23.82. While yesterdayís Nov 20 Put buyers have seen their $1 premium cut in half, the Nov 22.5 call buyers who paid 50 cents have seen those calls quadruple in price. Trading today is also above normal with close to 5000 contracts on the tape and general premium sellers dominating the flow.
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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