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 Facebook Inc (NASDAQ:FB), which is muscling higher in step with the broader equities market.
Facebook Inc calls are outpacing puts by a more than 2-to-1 margin this morning, with speculators taking a shine to short-term options. The stock's 30-day at-the-money (ATM) implied volatility (IV) has edged 1.8% higher to 27%, and the four most active contracts are calls expiring within the next month.
Specifically, the ATM 75 strike is in focus, with buy-to-open activity detected in the weekly 8/22 and September series. The majority of the contracts have traded on the ask side, and IV is trending higher at both strikes. The volume-weighted average price (VWAP) of the weekly call is $0.69, and -- due to its added time value -- the VWAP on the September 75 call is $2.42.
To profit on their purchases, the weekly call buyers need FB to be perched atop $75.69 (strike plus VWAP) by Friday's close, when the contracts expire. Profit potential is theoretically unlimited north of breakeven, while risk is capped at the initial premium paid. In light of FB's advance -- the stock was last seen 0.7% higher at $75.11 -- delta on the call has ticked north, to 0.54 from 0.41 on Monday, suggesting a slightly greater-than-50% shot of expiring in the money.
At-expiration breakeven for the September 75 calls is higher, at $77.42 -- a record high for FB. Again, the buyers' reward is theoretically unlimited north of here, while the most they stand to lose is the initial premium paid for the calls, should FB settle south of $75 at expiration on Friday, Sept. 19. Delta on the call rests at 0.53, compared to 0.49 at Monday's close.
Meanwhile, more aggressive bulls are buying to open the weekly 9/5 78-strike call for a VWAP of $0.55. As such, the buyers will profit if FB muscles atop $78.55 by the close on Friday, Sept. 5. This breakeven represents expected upside of 4.6% from FB's current price, and stands 2.4% higher than the security's current all-time peak of $76.74.
On the charts, Facebook Inc (NASDAQ:FB) has soared 37.5% in 2014, and has outperformed the broader S&P 500 Index (SPX) by more than 17 percentage points in the past three months. Nevertheless, today's bullish betting represents a change of pace for the stock. On the International Securities Exchange (ISE), Chicago Board Options Exchange (CBOE), and NASDAQ OMX PHLX (PHLX), the equity's 10-day put/call volume ratio of 0.51 stands higher than 86% of all other readings from the past year, pointing to a healthier-than-usual appetite for long puts of late. A mass exodus of option bears could add fuel to FB's fire.