Stocks quoted in this article:
The 20 stocks listed in the table below are the S&P 400 MidCap Index (MID) components that have attracted the highest total options volume during the past 10 trading days. Data is courtesy of Schaeffer's Senior Quantitative Analyst Rocky White. One name of notable interest this afternoon is Abercrombie & Fitch Co. (NYSE:ANF), as put volume on the retailer ramps up to seven times the expected intraday level.
Specifically, about 11,000 put options have changed hands on Abercrombie & Fitch Co. so far. Nearly three-quarters of that activity was the result of a roll-down that hit the tape shortly after this morning's opening bell.
Around 10 a.m. ET, a block of 4,000 August 41 puts traded at $2.65 per contract, near the prevailing bid price at the time. The transaction appears to be of the sell-to-close variety, with the options trader potentially liquidating a batch of ANF puts purchased last Tuesday. Simultaneously, a matching block of 4,000 August 38.50 puts traded at $1.30 each -- closer to the ask price. With this block trade easily outstripping open interest of just 5 contracts at the strike, it seems safe to say that these are newly bought-to-open bets on ANF shares.
By rolling these puts down to a lower strike, the trader is betting on ANF to decline over the next month. Today's bearish skew is nothing new for the apparel issue; during the past 10 days, speculative players on the International Securities Exchange (ISE), Chicago Board Options Exchange (CBOE), and NASDAQ OMX PHLX (PHLX) have bought to open 1.98 puts for every call on ANF. This ratio arrives in the 90th percentile of its annual range, as options traders have shown a greater preference for puts over calls just 10% of the time during the past year.
On the charts, Abercrombie & Fitch Co. (NYSE:ANF) has shed 1.6% today to trade at $38.61 -- just north of support at its rising 120-day moving average. Year-to-date, the stock has notched a market-beating gain of more than 17%. If the retailer can continue to outperform, a capitulation among the aforementioned option bears could provide the shares with a tailwind.