Paper sold 20,000 ACAS May 17 calls & bought 16,000 ACAS June 16 calls.
American Capital LTD, trading 15.88 with an IV30 of 33.66 and an HV10 of 13.22, has earnings coming up in the next few days.? A customer executed a call roll.? The stock, with an ADV of 3250 contracts an OI of 179,000 contracts saw a customer sell 20,000 of the May 17 calls at .11. Then against it, the customer bought 16,000 for the June 16 calls for .625.? The May sale was a close the June was an open.
This appears to be a customer that was moving his or her long exposure to ACAS.? With earnings coming up the customer appears to prefer being long ATM calls at about 80% of his or her size but 1 point closer to the money and one month out.? This will give the trader more immediate P&L on a push higher and eliminate some of the risk of move magnitude associated with being long cheap options
The trade should be considered bullish ACAS and bullish volatility.