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Most Active Options Update: Atmel Corporation (ATML)

Atmel Corporation call buyers fade the stock's checkered earnings history

by 7/23/2014 1:31 PM
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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 Atmel Corporation (NASDAQ:ATML), with call volume on the microcontroller specialist ramping up well beyond the daily norm.

Most Active Options Table - MID

Options activity has spiked today on Atmel Corporation, with 9,894 calls and 742 puts exchanged so far -- easily dwarfing the semiconductor stock's average daily volume of 2,627 total contracts. The bulk of the action has transpired at the August 9 call, with 8,776 contracts crossing the tape here.

With about 85% of these August 9 calls trading at the ask price, implied volatility (IV) up 7.7 percentage points, and today's volume outstripping open interest of 4,836 contracts, it's a safe bet that new bullish bets on ATML are being added at this strike today. This theory is also confirmed by data from the International Securities Exchange (ISE). The influx of activity has pushed Atmel's 30-day at-the-money IV higher, with this metric rising 12.4% to 52.7% -- in the 93rd percentile of its annual range.

The volume-weighted average price (VWAP) on the August 9 call currently checks in at $0.50, so traders who bought these bets can cash in a profit if ATML is trading above $9.50 (strike price plus VWAP) on expiration Friday. That's a fairly ambitious forecast, with ATML currently trading down 3.4% at $8.87. Plus, breakeven at $9.50 isn't too far from the equity's June 2014 two-year high of $9.76.

Looking ahead, Atmel Corporation (NASDAQ:ATML) is scheduled to report second-quarter earnings after the market closes on Wednesday, Aug. 6. In its last eight quarterly announcements, ATML has matched consensus profit estimates four times, missed once, and exceeded expectations three times. Over this time frame, the stock has lost an average of 2.7% in the session immediately following its earnings report, though its mean deficit for the one-week period after earnings is a narrower 1.4%.


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