Monday, October 19, 2009

Amtrust Financial (AFSI) - Following Order Flow

I found AFSI using the scanner in Livevol Pro; specifically the high option volume scan; and now I am watching. You can see the image of the scan below.

The company is showing over 4,000% higher option volume than average. The company page, in the order flow section, also reveals the same unusual heavy activity comparing average option volume to today's option volume (see image below).

I immediately turned to the options tab where the vast majority of the order flow jumped off the screen. The Jun 12.5 Calls traded over 5,000 times, with zero OI implying that these option trades are all opening orders (new positions). Looking even further into the trades (using the sidebar trade list on the Options tab) I could see that these were predominantly purchases of the calls. You can see the green font indicating lifting of offers on the Options tab or the Time & Sales tab.

I did notice that the OI on the March and Dec 12.5 Calls went up on or around 10/6/09 as people seemed to make opening order sales (i.e. opening short orders). I saw this by investigatig the Time & Sales tab after peeking at the Level II quotes for those two strikes (Level II shows the OI charts; if you hold your mouse button down you can see the details). The image for the Dec 12.5 calls and the increase in OI are presented below. (there is a similar looking chart for the March 12.5 calls).

Even though there were what looked like opening order short positions on front 12.5 calls, the size of the opening order purchases in the Jun 12.5 calls is overhelming. I am not sure what is going on yet, but now, I am watching.

No comments:

Post a Comment