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Most Active Options Update: Groupon Inc (GRPN)

Groupon Inc option bulls bet on short-term gains for the stock

by 8/20/2014 9:57 AM
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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 is Groupon Inc (NASDAQ:GRPN), which was targeted by short-term option bulls on Tuesday.

Most Active Options Table

The most popular Groupon Inc option in yesterday's session was the weekly 8/22 6-strike call, where 5,038 contracts were exchanged. Nearly three-quarters of these calls traded at the ask price, implied volatility at the strike rose 8.3 percentage points by the close to 48.9%, and open interest here jumped overnight by 2,780 contracts. Based on this evidence, it's safe to assume speculators were initiating short-term bullish bets on GRPN in Tuesday's trading.

By purchasing the weekly 8/22 6-strike call, traders are betting on GRPN to extend its lead above $6 per share through the end of this week. Based on yesterday's volume-weighted average price (VWAP) of $0.26, call buyers will be on profitable ground if GRPN settles above breakeven at $6.26 (strike price plus VWAP) when Friday's closing bell sounds.

As of Tuesday's close, the market was pricing in a relatively high probability that those 6-strike calls will expire in the money at the end of this week. The option's delta was 0.81, suggesting an 81% chance GRPN will be trading above $6 at Friday's close.

In today's session, Groupon Inc (NASDAQ:GRPN) is down 0.2% at $6.22, widening its year-to-date loss to 47.2%. The VWAP on the weekly 8/22 6-strike call is just $0.20 at last check, which means Tuesday's call buyers are already sitting on paper losses. Meanwhile, delta on the option has also dipped slightly, arriving at 0.79.


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