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call volume was high yesterday, with a focus on the 30 strike in January and April. Total call volume near 3100 contracts was 22x normal, while put volume was just 406 contracts. Net call open interest grew by 2712 contracts, and with shares very near their low of the year, it looks like some of this flow is anticipating upside.

Level 3 Communications(LVLT) communications saw a buyer of January 22 calls yesterday, which are about $1 in the money, but the buyer paid $1.43 for 2200, and this flow follows buying in the same contract on Tuesday.

Harley Davidson(HOG) is an occasional 'deal chatter' name and yesterday we saw an impressive midday spike in call volume and stock price. Buyer(s) lifted offers for the two day December 50 calls when shares were under $49. A total of 4150 traded on the day (and nearly 3000 contracts were opened), and shares took off to the upside about the same time, from $49 to $49.75 as players tried to figure out if the flow was 'smart' or not. Gains did not stick and HOG finished under $49, but I'd keep an eye out for a potential repeat today.

HOG 5 Minute Contract Volume Window

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Avon Products(AVP) January 16 calls were very busy yesterday and led by a buyer of 10000 January 16 calls for $0.37, opening, when shares were near $14.71. This is now the largest block open in the name and it may suggest a potential suitor from earlier this year staging a reappearance in the coming weeks.

NYSE Euronext(NYX)- is the story of the day. The company is expected to be acquired by ICE, and while option flow immediately in front of the deal was light (3100 contracts yesterday, about 30% below normal), I am struck by how call heavy the flow was during the past month, and also how the put/call skew (sometimes called the smile or smirk) was trending flatter right into the news. One contact on the AMEX (which is of course, located inside the NYSE building) pointed out this interesting bit of flow.

Eight hundred and sixty 'rip-up' calls traded for $0.026, or about $2200. Now to be fair, clearing data shows some of those were closing, however, as of this morning the spike has them well in the money and the $2200 is worth about $1.5 million.

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At the time of publication, Henry Schwartz held no positions in the stocks or issues mentioned.