Stocks quoted in this article:
The 20 stocks below have attracted the highest options volume -- in the front three-months' series -- during the past 10 trading days. The companies highlighted are those that are new to the list since the last time the study was run. Data is courtesy of Schaeffer's Senior Quantitative Analyst Rocky White. Three names of notable interest this afternoon are Cisco Systems, Inc. (NASDAQ:CSCO), JPMorgan Chase & Co (NYSE:JPM), and Citigroup Inc (NYSE:C).
Option volume has swelled on Citigroup Inc today, running at more than twice what is typically seen on an intraday basis. Taking center stage is the January 2014 43-strike call where a block of 15,000 contracts traded for $6.95 apiece, and was tied to a stock position. Fellow banking concern JPMorgan Chase & Co is active amid news of another financial penalty possibly headed its way. With the stock sitting modestly higher, both call and put volume is elevated north of typical levels, and weekly call and put traders are targeting near-the-money options set to expire on Friday.
Cisco Systems, Inc. (NASDAQ:CSCO) is once again the target of call speculation, even as the stock bucks the market's trend higher to give back 0.2% to $23.44. Claiming the most active slot is the September 24 call, where 86% of the more than 10,700 contracts trading have done so at the ask price. Although open interest exceeds volume, data from the International Securities Exchange (ISE) confirms that a healthy portion of these orders are of the buy-to-open variety.
Trading for a volume-weighted average price (VWAP) of $0.23, these long calls will be in profitable territory at expiration if CSCO is trading north of $24.23 (the strike price plus the VWAP). In order to land these options in the money by Sept. 20, CSCO needs to advance 3.4% over the next three-plus weeks. Delta on the position stands at 0.32, reflecting a nearly 1-in-3 chance of an in-the-money finish.
Calls have been the flavor of choice among CSCO speculators for some time; during the last 50 trading days, more than 543,000 calls have been purchased to open on the ISE, Chicago Board Options Exchange (CBOE), and NASDAQ OMX PHLX (PHLX), compared to a relatively paltry 158,321 puts. The resultant 50-day call/put volume ratio of 3.43 ranks in the top 1% of all readings from the past year. In other words, long calls have rarely been in greater demand during the past 12 months. Short-term speculators have been able to speculate on CSCO for a relative pittance, given Schaeffer's Volatility Index (SVI) reading of 17%, which is lower than 96% of the past year's worth of similar readings.
Still up more than 19% in 2013, Cisco Systems, Inc. (NASDAQ:CSCO) has been sliding lower since its ill-received earnings report on Aug. 14. In August, CSCO has given back 8.4%, versus a 2.7% slide in the broader S&P 500 Index (SPX).