Stocks quoted in this article:
The 20 stocks listed in the table below 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 among put players this afternoon is Altria Group Inc (NYSE:MO). Falling off the list since last time were AT&T Inc. (NYSE:T) and Pfizer Inc. (NYSE:PFE).
Altria Group Inc reached a record peak of $43.15 earlier today, and at last check, the stock remained 1.8% higher to trade at $43.13. Nevertheless, put volume on MO has ramped up to four times what is typically seen at this time of day, and it appears a healthy number of speculators on that side of the aisle are betting on a short-term pullback.
One of Altria's most popular options today is the July 42 put, where more than 2,000 contracts have changed hands. The majority of the contracts went off at the ask price, implied volatility at the strike has increased, and volume outstrips the current open interest level, collectively suggesting puts are being bought to open here. In other words -- while MO is up almost 28% from its Feb. 5 year-to-date low of $33.80 -- today's put buyers anticipate the stock will switch gears, and slide back below the breakeven price of $41.64 (strike price plus the volume-weighted average price of $0.36) by the close on Friday, July 18, when back-month options expire. Profit for the put buyers will accrue on a move all the way down to zero.
Given today's positive price action, delta on the put has fallen to negative 0.27 from negative 0.41 at yesterday's close, meaning the option has a 27% chance of finishing in the money at expiration. Should MO hold its ground atop $42 over the next four weeks, the most the put buyers stand to lose is the initial premium paid -- which was relatively inexpensive, from a volatility standpoint. In fact, the equity's Schaeffer's Volatility Index (SVI) of 14% ranks lower than 73% of comparable readings from the past year.
From a broader perspective, Altria Group Inc (NYSE:MO) sports a Schaeffer's put/call volume ratio (SOIR) of 1.46, which ranks in the top 11% of its 12-month range. This means short-term put open interest on MO (relative to call open interest) is heavier than usual right now. Meanwhile, on a fundamental note, a federal judge on Wednesday upheld a ban on using coupons to purchase cigarettes in New York City, ruling the law "regulates pricing, not speech, and thus, does not violate the First Amendment."