Stocks quoted in this article:
The 20 stocks in the table below have attracted the highest options volume -- in the front three-months' series -- during the past 10 trading days. The companies highlighted are those 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 Citigroup Inc (NYSE:C), Ford Motor Company (NYSE:F), and JPMorgan Chase & Co (NYSE:JPM).
Ford Motor Company is headed higher again today on the heels of yesterday's well-received sales figures. Call options are once again in focus, with call volume running at roughly three times the typical pace. JPMorgan Chase & Co, meanwhile, has seen some attention at the September 52.50 call. Nearly all of the 2,600-plus contracts changing hands here have done so at the ask price, suggesting potential buying activity. Finally, here is a look at some notable trading taking place in the Citigroup Inc option pits.
Capturing the attention of option bulls today is the November 52.50 call, where roughly 5,100 contracts have traded, outpacing existing open interest by a healthy margin. The lion's share of these options have traded off the ask price, and implied volatility has inched 0.6 percentage point higher, which are both signs of buy-to-open demand.
Today's call buyers scooped up the options for a volume-weighted average price (VWAP) of $1.21, meaning the option will be in profitable territory at expiration if C is sitting above $53.71, which is the strike price plus the premium paid.
It's noteworthy that this breakeven price is north of the stock's annual high of $53.56. In fact, C has not traded above $53.71 since August 2009. From its current price of $49.99, breakeven sits more than 7% away, but the shares do have two-and-a-half months to make this move. The option's delta currently stands at 0.36, suggesting a 36% chance the option will have reached in-the-money status by expiration on Nov. 15.
Citigroup Inc (NYSE:C) calls have been popular over the last month among traders at the International Securities Exchange (ISE), Chicago Board Options Exchange (CBOE), and NASDAQ OMX PHLX (PHLX). During the last 20 days, nearly two calls have been purchased to open for every long put.