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 short-term call players this afternoon is Bank of America Corp (NYSE:BAC).
While Bank of America Corp is trading 2% higher today at $15.58, call players are making their presence known in the stock's options pits, exchanging the contracts at a 16% mark-up to the average intraday rate. At last check, call volume on BAC was more than doubling put volume.
About one-third of the day's call activity -- or roughly 47,200 contracts, including a 21,871-contract block -- have crossed at the June 15.50 strike. More than three-fourths of the calls have gone off at the ask price, plus volume at the strike exceeds current open interest levels, together suggesting speculators are opening fresh long call positions here.
While the aforementioned call is currently in the money, today's option bulls will not see a profit unless BAC is trading north of the breakeven price of $15.61 (strike price plus the volume-weighted average price of $0.11) at this Friday's close, when front-month options expire. Additional gains will accumulate north of this point, while the maximum potential loss is capped at the initial cash outlay, should BAC backpedal below the strike by week's end. Considering today's positive price action, delta on the call has jumped to 0.57 from 0.27 at yesterday's close, meaning the option now has a 57% chance of being in the money at expiration.
Over the last two weeks, more than five calls have been bought to open for every put in Bank of America Corp's (NYSE:BAC) options pits, resulting in a 10-day International Securities Exchange (ISE), Chicago Board Options Exchange (CBOE), and NASDAQ OMX PHLX (PHLX) call/put volume ratio of 5.12. What's more, this ratio ranks in the 85th annual percentile, indicating the recent rate of bullish betting over bearish is faster than usual, from a historical standpoint.