The broad market is still relatively sideways with volume remaining light, even with triple-witching expiration this Friday. The market is beginning to weaken a bit here, but that trend has been reversing itself over the past week. The VIX is creeping back up towards 18.75% after being pressured last Friday.
The heavy options action today was broad and present in many different stocks and sectors from General Electric (NYSE: GE) to Sallie Mae (NYSE: SLM), but we are seeing the most action in Amylin Pharmaceuticals (NASDAQ: AMLN) and Allergan (NASDAQ: AGN).
AMLN shares are sharply higher today following the issuance of a complete response letter from the FDA regarding its once-weekly version of Byetta, which will be marketed as Bydureon. For the most part we saw put selling and call buying, indicating a bullish bias from options traders. In AGN, we saw a buyer of 10,000 of the January 2011 65 calls, also indicating possible bullish sentiment. The risk to purchasing options is 100% of the premium paid but the reward is theoretically unlimited above the purchased strike.
Remember there are a couple hours left in the trading day and the volume of these issues may continue to rise, but this is where we are seeing some heavy options activity today. Also remember options can be bought or sold and volume does not indicate which:
Options Action:
GE: $17.10 up $0.0600 or 0.35% volume: 66.61 million shares
Mar10 17.50 Calls: volume over 43148, versus open interest of 181373
BSX: $6.41 down $1.3728 or 17.65% volume: 123.77 million shares
Jan11 7.50 Calls: volume over 34596, versus open interest of 53215
WMT: $55.32 up $1.4200 or 2.63% volume: 13.44 million shares
Mar10 55.00 Calls: volume over 25119, versus open interest of 58043
Apr10 55.00 Calls: volume over 12257, versus open interest of 14268
EWT: $12.11 down $0.3000 or 2.42% volume: 4.47 million shares
Jun10 14.00 Calls: volume over 20020, versus open interest of 1321
AAPL: $221.78 down $4.8192 or 2.13% volume: 9.70 million shares
Mar10 230.00 Calls: volume over 18358, versus open interest of 27297
Mar10 220.00 Puts: volume over 17829, versus open interest of 19933
BAC: $16.75 down $0.1000 or 0.59% volume: 61.20 million shares
Aug10 18.00 Calls: volume over 13943, versus open interest of 43217
Mar10 17.00 Calls: volume over 11894, versus open interest of 174442
AMLN: $22.24 up $1.9800 or 9.77% volume: 13.52 million shares
Mar10 22.50 Calls: volume over 13390, versus open interest of 30079
Mar10 20.00 Puts: volume over 10969, versus open interest of 12686
F: $13.40 up $0.0600 or 0.45% volume: 47.64 million shares
Mar10 13.00 Calls: volume over 10508, versus open interest of 80111
PEP: $65.58 up $0.4799 or 0.74% volume: 4.96 million shares
Apr10 62.50 Calls: volume over 10408, versus open interest of 35067
SLM: $12.05 down $0.1700 or 1.39% volume: 1.67 million shares
Mar10 13.00 Calls: volume over 10322, versus open interest of 13740
AGN: $62.12 down $0.1900 or 0.30% volume: 0.30 million shares
Jan11 65.00 Calls: volume over 10176, versus open interest of 6221
XLB: $33.12 down $0.1700 or 0.51% volume: 4.00 million shares
Jan11 27.00 Puts: volume over 10000, versus open interest of 3352
These are my team’s observations, if you have others you would like to add to the list, please feel free to share in the comments.
More relative low volatility today, but the major indices are beginning to show some weakness and slowly move lower. The VIX and VXN are both moving higher, even with the lack of a dramatic move. This may indicate a rise in the average implied volatility of the S&P and NASDAQ.
