Mid-Day Flow Summary: General Sentiment & WFC
General Sentiment
We have seen a relatively uneventful market by mid-day with broad indexes trading lower. Also, the market activity is much quieter than we saw last week.
The CBOE VIX index is down slightly to 28 and cautious premium sellers seem to be testing the market. 3.1 million calls and 2.5 million puts are on the tape with the overall volume at approximately 70% of recent levels.
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WFC
More than 12,000 WFC Oct 37.5 calls have traded today with an aggressive seller hitting liquidity on several markets at once. The stock is down 1.24% to $36.78.
This seller may be taking advantage of the recent run-up in the stock from the $34 to $38 range. He may also be taking advantage of the generally high implied volatility levels to do some opportunistic overwriting. Collecting nearly $1.80 for these calls, the seller's break-even level of $39.30 over the next two months would be well above the 52 week high of $37.99.
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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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