STOCKS NEWS US-Gap between VIX, actual vols, futures remains

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1703 ET Gap between VIX, actual vols for SPX, VIX futures stays wide
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The divergence between the CBOE Volatility Index .VIX, the actual
volatility levels for the underlying S&P 500 index .SPX and VIX futures
remains relatively wide, said Larry McMillan, president of McMillan Analysis
Corp in a note. "This will either be resolved via an increase in actual price
volatility (most likely on a move to the 880 level in SPX): or alternatively,
the trading range will maintain its integrity and the VIX and VIX futures will
converge towards actual volatility levels," he said. Thus far, the spot VIX has
started to acquiesce, but the VIX futures remain unconvinced. This has seen the
VIX spot-VIX futures widen out to above a 3.20 premium -- which has generally
been a bearish sign for the S&P 500, he said. The VIX ended at 27.99, down 6.79
percent, its lowest level since Sept 12, 2008. Actual volatility was at 22
percent for the past 20 days and VIX July futures stood at 31.35 with August
and September at 31.55 and 31.70, respectively.

Reuters Messaging: doris.frankel.reuters.com@reuters.net

1521 ET 19June2009 Reversal tactic in Tyco has trader looking
bullish-analyst
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Industrial conglomerate Tyco International Ltd (TYC.N) option volume
increased at the start of the session after an investor picked the October
contract to enact a bullish reversal on the stock amid a slight share price
gain of less than 1 percent to $27, said Andrew Wilkinson, market analyst at
Interactive Brokers Group in a note. Tyco shares were nearly unchanged at
$26.86 in late trade. The reversal play involved the sale of 6,524 puts at the
October $26 strike price for a premium of $2.05 apiece against the purchase of
6,524 calls at the higher October $27.50 strike for $2 each. He said the
investor receives a net credit of one nickel per contract on the trade.
Additional profits will begin to flow if shares can rally approximately 3
percent higher to push the October $27.50 strike calls in-the-money by
expiration, Wilkinson said.

Reuters Messaging: doris.frankel.reuters.com@reuters.net

1508 19June2009 Trader takes bearish stance in Financial ETF
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Shares of the Financial Select Sector SPDR (XLF.P) exchange-traded fund
rose 1.27 percent to $11.98 in late trade. But attention was drawn to the
December options contract where a large-volume bearish trade indicates that at
least one investor anticipates downward movement in the fund, said Andrew
Wilkinson, market analyst at Interactive Brokers Group in a note. He noted the
transaction involved the purchase of 20,000 puts at the in-the-money December
$12 strike for a premium of $1.62 apiece spread against the sale of 40,000 puts
at the lower December $8 strike for 34 cents per contract. The net cost of the
ratio spread amounts to 94 cents. Maximum potential profits of $3.06 or
$6,120,000 would be realized by the trader if XLF shares were to decline to $8
by expiration, he said.

Reuters Messaging: doris.frankel.reuters.com@reuters.net

1429 ET 19June2009 Volatility index drops, VIX futures trade at premium to
fear gauge
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The CBOE Volatility Index .VIX, the 30-day risk forecast priced off of
S&P 500 index .SPX options, dropped 5.26 percent to 28.45 during Friday's
witching expiration. The July VIX futures stood at 31.95, trading at a big
premium to the VIX. Earlier the gap between the two widened to 3.73, a very big
disparity that strongly suggested the VIX will rise and stocks will fall, said
Jay Shartsis, director of option trading at R.F. Lafferty & Co. The VIX is
making a run at last Thursday's multi-month closing low of 28.11, said
WhatsTrading.com option strategist Frederic Ruffy. The Nasdaq rose while the
S&P 500 and the Dow were down. Several weeks of mixed trading have sent the
20-day historical volatility of the S&P 500 down to 21 percent, which helps
explain the lower readings in the VIX, Ruffy said. In addition, the earnings
calendar is light next week and the next economic stat -- existing home sales
-- is not out till Tuesday, he said.

Reuters Messaging: doris.frankel.reuters.com@reuters.net

1355 ET 19June2009-Option bears emerge in Capital One
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Shares of Capital One Financial Corp (COF.N), an issuer of MasterCard and
Visa credit cards, fell 37 cents to $21.92 in afternoon trade, one day after
the sale of $1.5 billion of 10-year subordinated notes. The stock's option
volume jumped after one investor initiated a large-volume put spread in the
September contract. "The trader could be looking to protect a long position in
the underlying or may just be bearish on COF in the medium-term," Interactive
Brokers Group market analyst Andrew Wilkinson said in a note. The spread
involved the purchase of 40,000 puts at the September $20 strike for an average
premium of $2.32 apiece against the sale of 40,000 puts at the September $15
strike for 75 cents each. The trade's net cost amounted to $1.57 to the
investor, who stands to collect maximum potential profits of $3.43, or
$13,720,000, if shares fall to $15 by expiration, he said. Option implied
volatility on the stock has come off throughout the past few days from 78
percent on Wednesday to 71 percent, he added.

Reuters Messaging: doris.frankel.reuters.com@reuters.net
1332 ET 19June2009-Traders flock to Intel upside call options
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Shares of chipmaker Intel Corp (INTC.O) fell 1 cent to $15.86 in afternoon
trade. Intel's stock has been trapped in a range between $15 and $16.50 since
mid-March, said Chris McKhann, an analyst at optionMonster.com.

In the options market, traders were drawn to the October $18 call strike
Friday. Someone is bullish, "as we see 15,000 of the October $18 calls snatched
up in a matter of seconds, all for 60 cents," McKhann said in comments on the
website.

It was not immediately clear what was behind the call action. The implied
volatility of the calls earlier stood at 37 percent, ticking up from
eight-month lows of three weeks ago. Historical volatility, on the other hand,
is down at 30 percent, its lowest level since last September, he said. The
calls now fetch 58 cents per contract, Reuters data show.

In all, about 38,000 calls traded, more than double the amount of puts,
with sentiment based on order flow that is 61 percent bullish, according to
Trade Alert.

Reuters Messaging: doris.frankel.reuters.com@reuters.net
1324 ET 19June2009-Ambac postpones municipal launch, shares sink
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Shares of Ambac Financial Group Inc (ABK.N) tumbled on Friday, after the
bond insurer again postponed the launch of its municipal bond arm Everspan
after struggling to raise money from outside investors to fund the unit.

Ambac and other bond insurers had been pinning hopes for a revival of their
business on launching municipal-focused units, after rating agencies stripped
the insurers of their "triple A" ratings following heavy credit losses from a
foray into guaranteeing repackaged debt.

For details, see [ID:nN19447607]

The stock dropped 18 cents to $1.07.

Reuters Messaging: ryan.vlastelica.reuters.com@reuters.net