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. Names highlighted are new to the list since the last time the study was run, and data is courtesy of Schaeffer's Senior Quantitative Analyst Rocky White. One name of notable interest today is Abercrombie & Fitch Co. (NYSE:ANF), which is seeing an uptick in pre-earnings put volume.
Abercrombie & Fitch Co. is slated to take its turn in the earnings confessional before the open on Thursday, Aug. 28. Despite the stock's recent history of positive earnings reactions, today's option players are lining up on the bearish side of the fence ahead of the scheduled announcement.
Taking a step back, put volume is running at a slightly accelerated pace today. Short-term contracts are in demand, too, per ANF's 30-day at-the-money implied volatility (IV), which is up 2.2% to 51.5%. The most active option by far is the September 38 put, where nearly all of the 1,505 contracts traded have done so at the ask price, hinting at buyer-driven activity. IV has edged higher, and volume outstrips open interest, making it safe to assume new positions are being initiated.
Based on the volume-weighted average price (VWAP) of $1.40, at-expiration breakeven for the put buyers is $36.60 (strike less VWAP). Profit will accumulate on a move down to zero, while losses are limited to the premium paid, should ANF finish north of $38 at the close on Friday, Sept. 19 -- when the soon-to-be front-month options expire. At last check, the security was sitting comfortably north of this strike price at $40.53.
As touched upon, Abercrombie & Fitch Co. (NYSE:ANF) could be positioned to add to its already impressive 23% year-to-date lead when it reports earnings later this month, considering the equity has averaged a single-session post-earnings gain of 3.8% over the past eight quarters. For ANF's second quarter, analysts are expecting a per-share profit of 11 cents -- a 3-cent decline from what the company earned one year ago.