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. Three names of notable interest this afternoon are Cisco Systems, Inc. (NASDAQ:CSCO), Intel Corporation (NASDAQ:INTC), and Netflix, Inc. (NASDAQ:NFLX).
Amid Intel Corporation's 5% month-to-date advance, the stock's weekly 11/8 23.50-strike put is being bought to open today. Elsewhere, overall option activity on Netflix, Inc. has soared to five times the average intraday volume, following last night's better-than-expected turn in the earnings confessional. Finally, here's a closer look at where Cisco Systems, Inc. traders are bullishly positioning themselves ahead of the company's mid-November earnings report.
Calls are in high demand in Cisco Systems, Inc.'s options pits today. Around 100,000 contracts have changed hands so far, more than quadrupling the average intraday pace of calls. Among the most active -- accounting for almost one-quarter of all of today's call volume -- is the November 24 call. Specifically, 24,260 contracts have crossed the tape, mostly at the ask price. Implied volatility is up 2.9 percentage points, and data from the International Securities Exchange (ISE) confirms that a number of positions have been bought to open.
By purchasing the calls for a volume-weighted average price (VWAP) of $0.25, traders need CSCO to muscle past $24.25 (strike plus the VWAP) by the close on Nov. 15 -- a time frame that encompasses the company's fiscal first-quarter earnings report. This breakeven mark sits 7.3% above the stock's current price at $22.60. Delta for the call is perched at 0.23, or 23%, suggesting a less than 1-in-4 chance the option will land in the money ahead of expiration. Should the shares fail to topple the strike price, the most the speculators stand to lose is the initial cash outlay. However, CSCO's Schaeffer's Volatility Index (SVI) of 29% ranks in the 31st percentile of its annual range, indicating the stock's short-term options are relatively inexpensive at the moment.
As touched upon, CSCO is slated to unveil earnings after the market closes on Nov. 13. The stock has historically made some big moves in the day following the scheduled announcement, shedding 7.2% in August and adding 12.6% in May. On average, though, (over the last eight quarters), the equity has tacked on 1.5% in the session after Cisco Systems, Inc. (NASDAQ:CSCO) releases earnings.