Mid-day Flow Summary: YHOO & Pin Candidates
Yahoo Inc (YHOO)
Yahoo options were quiet all morning as the stock stuck close to $27.35 ahead of tomorrowís shareholder meeting. Things picked up around midday, with sellers emerging in at-the-money calls and puts in October.
Then there was a very large multi-market sweep order at 1:48 pm in which a customer sold 10,000 July 32.5 calls for $.30. With recent realized volatility near 36%, sellers of these options are looking for continued quiet trading for the summer months.
Then there was a very large multi-market sweep order at 1:48 pm in which a customer sold 10,000 July 32.5 calls for $.30. With recent realized volatility near 36%, sellers of these options are looking for continued quiet trading for the summer months.
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Pin Candidates
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Pin Candidates
Options with large open interest that expire at the end of this week include:
| Symbol | Expiry | Strike | Put / Call | Spot | Distance | OI |
| GE | Jun7 | 37.5 | Calls | $37.48 | 0.02 | 88856 |
| GE | Jun7 | 37.5 | Puts | $37.48 | 0.02 | 23497 |
| CVS | Jun7 | 37.5 | Calls | $37.47 | 0.03 | 64075 |
| CVS | Jun7 | 37.5 | Puts | $37.47 | 0.03 | 20611 |
| BAC | Jun7 | 50 | Calls | $50.05 | 0.05 | 49627 |
| BAC | Jun7 | 50 | Puts | $50.05 | 0.05 | 33067 |
| MSFT | Jun7 | 30 | Calls | $30.05 | 0.05 | 58212 |
| MSFT | Jun7 | 30 | Puts | $30.05 | 0.05 | 34328 |
| YHOO | Jun7 | 27.5 | Calls | $27.35 | 0.15 | 15654 |
| YHOO | Jun7 | 27.5 | Puts | $27.35 | 0.15 | 54279 |
| MO | Jun7 | 70 | Calls | $70.18 | 0.18 | 63593 |
| MO | Jun7 | 70 | Puts | $70.18 | 0.18 | 65599 |
| AAPL | Jun7 | 120 | Calls | $120.20 | 0.2 | 42442 |
| AAPL | Jun7 | 120 | Puts | $120.20 | 0.2 | 45150 |
| WMT | Jun7 | 50 | Calls | $49.79 | 0.21 | 81271 |
| WMT | Jun7 | 50 | Puts | $49.79 | 0.21 | 29408 |
Of these, MO June 70 calls were the most active today, with more than 50,000 trading in a roll to the July 70 calls. Apple June 120 options saw scattered trading today, with approximately 40,000 of each on the tape, the majority of which were seller initiated.
"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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