Mid-day Flow Summary
Mid-day Flow Summary, 20 April 2007 12:00 ET
This is a very active morning for equity options with April expiration taking place and the market hitting new highs.
Ford (F)
The single largest trade by far today was a 50,000 lot of Ford (F) September 10 Calls that was purchased on the AMEX for $0.20. Although total open interest in Ford options exceeds 3 million contracts, most existing positions are longer-dated and involve downside strikes. This trade is notable because it opens a new upside position in shorter-dated options.
XM Satellite Radio (XMSR)
XM Satellite Radio (XMSR) is seeing aggressive out-of-the money call buying this morning with a multi-market sweep algorithm used to lift 5,000 Jan-08 17.5 Calls and several thousand Jan-08 15 strike options simultaneously. Over the past week 25,000 upside calls have traded with order flow dominated by buyers. This suggests that traders are positioning for an upside change in the Sirius merger situation.
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PIN RISK
Several last minute "pin" candidates for April expiration include:
| Stock | Spot Price | Strike | Distance | Call OI | Put OI | Straddle Range |
| ABDE | 42.30 | 42.50 | .20 | 16666 | 7990 | .30-.40 |
| CHKP | 22.50 | 22.50 | O | 9472 | 4655 | .10-.15 |
| GE | 34.99 | 35 | .01 | 55031 | 39842 | .13-.18 |
| JNJ | 64.99 | 65 | .01 | 30279 | 14686 | .15-.25 |
| CVS | 34.99 | 35 | .01 | 51523 | 12767 | .10-.30 |
Of these stocks, GE is trading the most options at the pin strike with just over 17,000 April 35 Calls and 8,900 April 35 Puts on the tape. Early sellers collected approximately $.25 per straddle for this trade and are counting on GE to stay within a few cents of the current level for the rest of the day.
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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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