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Citigroup Inc (NYSE:C) has seen a 17% markup to its average intraday options volume, with roughly 96,000 contracts changing hands thus far. The majority of this activity has taken place on the call side, where 55,000 contracts have been exchanged. By comparison, 41,000 puts have been traded.
Most popular by a landslide today is C's November 57.50 call, where more than 12,000 contracts have crossed for a volume-weighted average price (VWAP) of $0.35. The lion's share of the contracts -- including a block of 6,060 -- went off at the ask price, suggesting they were purchased. In addition, volume at this strike exceeds current open interest levels, which -- along with data from the International Securities Exchange (ISE) -- points to the initiation of fresh long call positions.
By purchasing these out-of-the-money options, today's call buyers anticipate C will climb past its four-year high of $53.56 tagged in late May, and into territory last reached in January 2009. Specifically, they expect C to topple the breakeven price of $57.85 (strike price plus the VWAP) by the close on Nov. 15, when these options expire.
Currently, these calls have a roughly 1-in-7 chance of moving into-the-money throughout their lifetime, according to the option's delta of 0.14, or 14%. Should C fail to finish north of the 57.50 strike upon expiration, the most today's call buyers risk losing is the initial premium paid -- which was relatively inexpensive, considering the stock's Schaeffer's Volatility Index (SVI) of 23% ranks lower than 75% of all other such readings taken over the past year. In other words, C's short-term options are cheaper than usual right now, relatively speaking.
Today's preference for calls over puts is just more of the same for Citigroup Inc (NYSE:C), which boasts a year-over-year gain of 60.5%. At last check, the stock had tacked on 2% today to trade at $51.14.