A sizable order to buy several thousand Gillette "February 45 calls" surfaced minutes before the closing bell, said Cathy Clay of Timber Hill, a major option market-making firm and a specialist for Gillette options at the Pacific Exchange. "It came at the end of the day, right before the close," Ms. Clay said.
The order was filled at various exchanges, traders said, and is placed through a brokerage firm that floor traders declined to identify, citing customer confidentiality. The same brokerage firm -- or its customers -- is believed to have taken the other side of this order, a situation traders term "a cross."
According to the Options Clearing Corp., 5,421 Gillette calls and 633 puts traded Thursday, compared with 1,002 such calls Wednesday, 1,785 calls Tuesday, and an average of 1,514 calls each day last week.
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