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 today is Citigroup Inc (NYSE:C), which is muscling higher in step with the broader equities market.
Citigroup Inc calls are once again flying off the shelves at twice the typical intraday rate, with roughly 52,000 contracts exchanged. For comparison, about 18,000 C puts have changed hands thus far. The equity's 30-day at-the-money (ATM) implied volatility (IV) is up 4.9% at 15.4%, pointing to a growing demand for short-term options.
Accounting for nearly half the volume is the October 55 call, where nearly 23,000 contracts have traded -- primarily at the ask price, suggesting they were bought. In fact, a block of nearly 13,000 contracts changed hands at the ask price of $0.38 each out of the gate, and volume has surpassed open interest at the strike, hinting at fresh initiations.
By purchasing the calls to open, the buyer of the aforementioned block will make money if C is docked atop $55.38 (strike plus premium paid) when the back-month options expire at the close on Friday, Oct. 17 -- just four sessions after Citigroup's third-quarter earnings release. The trader's reward is theoretically unlimited north of breakeven --- which represents a new five-year high for the stock -- while risk is capped at the initial premium paid, should C remain south of $55 through options expiration.
However, despite today's 30-day ATM IV pop, Citigroup Inc (NYSE:C) options can be had at a relative discount. The security's Schaeffer's Volatility Index (SVI) sits at an annual low of 12%, suggesting the equity's short-term option premiums are historically cheap right now. At last check, C was 1.2% higher at $52.27, clawing its way into the black year-to-date, and bringing its month-to-date gain to 6.9%.