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Expiration Rolls Increase as VIX Rises

Volatility is up, but traders are more concerned with next month's positions.

With August options expiration just a day away, most of the activity in the top options Thursday involved rolling out of August positions and into September. However, some takeover talk lingered among smaller issues.

Investors will often "roll forward" their bets, closing out options at a near-term expiration date and open options at a longer-term date, to keep a hedge on a position in their portfolios or simply to extend their speculation.

Some of today's action came in



, where an investor crossed a block of roughly 3,750 contracts in the August 20 calls at 11:56 a.m. EDT, while simultaneously placing an order for September 20 calls and September 27 1/2 calls -- same block size, at around 3,750 contracts -- priced at 4 ($400) and 1/4 ($25), respectively.

"It's likely they sold out of the August position to finance getting into the Septembers," said one Philadelphia-based trader. In Thursday afternoon trading, Compaq stock was up 3/16 to 23 11/16.

There was concern in the broad market, illustrated by the rising

volatility index

, a sign of investors' willingness to pay more for protective or speculative puts on the

S&P 100

index (OEX). While OEX call prices fell, the cost of the at-the-money August 685 puts jumped 3 3/8 ($337.50) to 16 3/8 ($1,637.50).

Volume on in-the-money OEX puts ran over 4,000 in three of the four closest strikes by midday.

Financial stocks weathered the market's depression, and

Bank of Tokyo-Mitsubishi


pulled out in front with some heavy buying in the August 15 calls and November 15 calls. Not appearing regularly on the most-actives list, Mitsubishi's August 15 calls were up 3/16 ($18.75) to 1/4 ($25) and November 15 calls were up 5/8 ($62.50) to 1 3/8 ($137.50), on volume of 1,220 and 2,680, respectively.

Temp-staffing firm

Modis Professional


surfaced on the radar screen early in the session, with 600 September 15 call options crossing at 1 1/2 ($150) down 1/8 ($12.50).

The firm's prospects may be bolstered by competitor



takeover bid from


, a European company.

A huge "straddle" trade put on right ahead of expiration of 4,400 contracts on

SFX Entertainment


, shares of which were down 7/8 to 41 3/8.

The August 45 calls were up 1/16 ($6.25) to 3/16 ($18.75), while the puts traded at 3 3/8 ($337.50). Open interest in both option series was a big fat zero.

SFX completed an offering Wednesday of 7.5 million Class A common shares, priced at 41.

If the straddle was bought by an investor, it could mean that major news is expected before the end of the day Friday because a straddle indicates belief in a sharp move in either direction.

If the straddle was written (or sold), then the seller is speculating that the price of the shares won't move until after Friday, allowing their position to expire essentially worthless, save the slim premium on the puts.