Tuesday’s total option volume of 14.4 million contracts resulted in net open interest growth of 1.92 million calls and 2.46 million puts. Virgin Media (VMED), Facebook Inc (FB), Petroleo Brasileiro (PBR) and Apple (AAPL) saw the greatest growth. Top five new positions opened include 40k Sprint Nextel (S) Apr-13 6 calls, 35k Weatherford International (WFT) Apr-13 14 calls, 32k Dell (DELL) Apr-13 14 calls, 20k Sandridge Energy (SD) Sep-13 7 puts and 17k Pitney Bowes (PBI) Jul-13 8 puts.
Yesterday, volume in Thoratec (THOR) was 28 times average. Market participants got long upside vol in front of their earnings call after the close yesterday buying to open 3,400 THOR Mar 40 calls. The Pleasanton, CA heart company posted better than expected results.
Market participants were also positioning for an upside move in New York Times (NYT) where volume was 19.5 times average. Market participants bought to open NYT Feb 9 calls, Apr 10 calls and Jul 11 calls playing or protecting for a bounce after the stock has dropped 13% over the past 8 sessions. The company is scheduled to report tomorrow before the open.
Also ahead of earnings and where earnings are scheduled for after the close today, market participants positioned for a bullish move in touch-screen maker Atmel (ATML). One hedge fund paid 35 to 40 cents for 5000 ATML Feb 7 calls with the stock around $7.05. This was 7 times average volume. These in-the-money near dated calls need the stock to move 5% after the earnings – a gutsy buy.