Schaeffer's Daily Option Blog
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Despite the recent affinity for calls on Chesapeake Energy Corporation (CHK), the natural gas concern has attracted a slew of put traders today. Heading into the close, CHK has seen roughly 28,000 puts cross the tape – about 25% more than the number of CHK calls traded, and more than double its expected daily volume of fewer than 10,000 puts.

With May-dated options set to expire after the closing bell today, traders have turned their attention to longer-term put strikes. Most popular have been the equity's June 20 and October 20 puts, which have seen about 3,100 and 3,600 contracts exchanged, respectively. However, with open interest exceeding volume at both strikes, and most of the puts trading between the bid and ask prices, it's difficult to discern how much of today's action will translate into fresh bearish bets.

Elsewhere on the Street, one group that we know is initiating pessimistic positions is the short-selling crowd. Short interest on the stock edged 0.8% higher during the most recent reporting period, and now represents about 33 million CHK shares, or 5.1% of the security's total float. In fact, at the stock's average pace of trading, it would take about three sessions for these bearish bets to unwind.

However, looking at CHK's technical backdrop, it's doubtful the shorts will begin unwinding their winning positions anytime soon. The shares have given up more than 18% since the start of 2010, and are poised to finish the month south of both their 10-month and 20-month moving averages for the first time since April 2009. At last check, CHK has backpedaled 2.2% to explore the $20.55 neighborhood.


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CBOE Holdings Inc (CBOE) $27.94 +5.55%

2/10/2012 1:20:02 PM
CBOE Holdings (CBOE) is up $1.46 to $27.93 and near session highs on share volume of 2.6 million, which is almost 10X the typical levels through midday, after S&P selected the stock to join the MidCap 400 Index. CBOE reported earnings yesterday morning and edged up 17 cents on the results. The company is also presenting at a Credit Suisse conference Friday. Sentiment seems decidedly bullish, as the stock is rallying and options volume is running 5.5X the daily average. 11,000 calls and 3,460 puts traded on the owner of the Chicago Board Options Exchange so far. The action has been small sizes. The top trade is a 258-lot of Feb 28 puts for 45 cents. Sep 28 calls, Mar 27 puts, Feb 28 calls, Feb 27 calls and Jun 18 calls are the most actives and implied volatility is moving up 8.5 percent to 23 on the day.

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Yahoo Inc (YHOO) $16.23 +1.47%

2/10/2012 12:20:02 PM
Yahoo (YHOO) adds 25 cents to $16.25 and is seeing relative strength today on reports Alibaba is considering taking its Hong Kong unit private, which would give Yahoo a stake in Alibaba. The headline comes the day after news reports indicated that Alibaba might buy back its 40 percent stake in YHOO. The stock is in the midst of a two-day 2.8 percent advance and today's share volume of 8.8 million is a lot higher than the expected volume of 5.8 million. Options on Yahoo are actively traded as well. Recent trades include a July 16 - 18 (1X2) call ratio spread for 19 cents, 3000X. Separately, a Mar 14 - 16 put spread was psossibly sold on the stock at 40 cents, 6200X. A third big trade in Yahoo today looks like a July 16 straddle, which traded at $2.88, 4750X.

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Apple Inc (AAPL) $492.76 +3.37%

2/9/2012 4:20:02 PM
Apple options volume surpassed 1.3million contracts a minute ago, a new all time daily volume record for the name, as shares head into the close up more than 3% after setting a new 52wk high of 496.75 around noon. Calls lead puts about 840K:500K and the 495 and 500 strike weekly options that expire tomorrow leading the most actives. Interestingly, implied vol is higher in AAPL today, with the 30day ATMIV near 25%, up 4pts from yesterday's close.

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Bank of America Corporation New (BAC) $8.24 +1.41%

2/9/2012 2:20:05 PM
Second most active single stock (after AAPL) is BofA, on track for a million contracts with April 7 Calls leading the most actives. Largest block was a sale of 72,000 of these for 1.50 vs 5.8M shares at 8.27 and the trade resemblles flow yesterday when paper sold 130K late in the day for 1.38 vs 10M shares at 8.14. That was closing for the seller and looks to realize gains on purchases from early January for 23c vs 5.78 stock, on a position of 200K thats well over $20M in options profits.

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Bunge Ltd (BG) $62.03 +3.83%

2/9/2012 10:20:02 AM
Bunge (BG) is jumping on earnings today, up $2.69 to $62.43, and morning trades on the stock include a multi-exchange sweep of 5,841 Jul 67.5 calls for $1 per contract. It's possibly an opening buyer. Separately, a sweep of 4,000 Jul 70 calls traded at 70 cents, when the market was 65 to 90 cents and is possibly opening call writing. 10,000 calls and just 67 puts traded in the name and levels of implied volatility are down 24 percent to 24.

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Bank of America Corporation New (BAC) $8.13 +3.57%

2/8/2012 4:20:02 PM
Hefty prints in BofA (BAC) late. Shares are up 29 cents to $8.12 and continuing the 2012 surge. In late day options action, 128,000 April 7 calls traded on the $1.38 bid on PHLX and possibly part of an overwriting play with in-the-money calls, or possibly closing, as it looks tied to 10 million shares for $8.14 and open interest in sufficient to cover. Our systems picked up a 100,000-contract buyer of April 7 calls for 23 cents per contract in early-Jan (see 1/4 color) and so today's flow might offset that big trade after the 41.3 percent rally in shares.

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Cisco Systems Inc (CSCO) $20.27 +0.35%

2/8/2012 3:20:03 PM
133 stocks will release earnings before tomorrow's open, with Cisco and Pepsi leading the volume (try @earnings in Flow Monitor). For the group, calls outnumber puts nearly 2:1 and CSCO flow is triple the average time-weighted volume, on track for nearly 450,000 contracts today. Top 5 most actives in Cisco are calls, with Feb 21s leading the list with nearly 37K trading and a vwap of 28cents. ISE data shows a mix of opening and closing customer buyers behind the volume there.

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E Trade Financial Corporation (ETFC) $9.20 +1.10%

2/8/2012 1:20:03 PM
Etrade Financial (ETFC) adds a dime to $9.20 and a 10000-contract block of Jan14 $10 call trades on the broker at the $2.10 asking price. Looks opening and tied to 600K shares for $9.17. A Dow Jones article today mentioned ETFC in a piece titled TD Ameritrade Still Eyes Possible Deals, but noted that Amertrade said last year it wasn't interested in a deal with the online broker and Etrade said it wasn't for sale. Still, today's hefty 2014 call buyer seems to be bracing for a sizeable move in Etrade shaes in the months/years ahead, even as shares have been drifting somewhat aimlessly for months now.

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Diamond Foods Inc (DMND) $37.38 -1.11%

2/7/2012 3:20:03 PM
Diamond Foods (DMND) loses 49 cents to $37.31 and it appears that one or more investors has been building a position in Feb 30 - 35 put spreads on the snack food company today. The top trade is 3,021 Feb 30 - 35 put spreads for $1.65 on NYSE-Arca and apparently an opening trade. The spread has traded several more times on ISE, where data indicate a buyer is indeed opening a position. More than 6000 traded so far. Separately, it looks like Feb 45 - 50 call spreads are being bought on DMND for about 60 cents, 1000X. Players are taking positions in short-term options on DMND, possibly a play on earnings. However, while some sources have Feb 9 as an earnings release date, that has not yet been confirmed and it is more likely that results will be reported next week or possibly after the Feb expiration. The heightened activity might instead be related to a federal probe into the company's accounting of how much it paid walnut producers. The company expects conclusion to the investigation some time in mid-Feb.

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