NOTABLE OPTION TRADES FROM Last Thursday 12/10/15 (Leerink):
There was some bullish flow in HZNP yesterday as a December Risk Reversal traded (~5000 Dec 20 calls bought vs Dec 19 puts sold, paying ~60c for the trade) and ~5000 Dec 21 calls were bought for ~85c in an opening trade. This action pushed HZNP shares higher, with the first structure creating ~400,000 shares to buy as its delta. 1-month implied volatility remains below recent highs but has crept higher over the past week or two, currently trading at ~84 (versus a low of ~70 at the end of November and a high of ~134 towards the beginning of November.
Early in the day, ~2500 VRX Dec 88 puts were bought for ~$2.00 in an opening trade. This is one of the first outright protection trades we’ve seen in VRX recently. When new buyers were stepping into the stock in the ~$70/share range, there was some concern for that new money on what could come out of the December 16th analyst and we did see a fair amount of put activity. But as shares bounced off the bottom, that activity dissipated and turned bullish with the majority of the action taking place in the December / January calls.
In RTRX a December Strangle was sold (sold ~2500 Dec 20 puts, sold Dec 22.5 calls; collecting ~65c for the structure). This structure reflects the belief that RTRX shares will remain the 2.5 point range through next week’s expiration, but affords a slight cushion down to the $19.35 and $23.15/share levels as the breakeven.
In CVS ~1900 Jan 22nd expiry 89 puts were bought for ~$1.08 in an opening trade. CVS is hosting its Analyst Day next week on the 16th. These contracts will not only capture that event, but will also capture the JPM conference and the following week. If there is some concern that commentary at JPM is unfavorable, why not just use regular January expiration (1/22)?
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