Stocks quoted in this article:
The 20 stocks listed in the table below are the S&P 400 MidCap Index (MID) components that 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 J C Penney Company Inc (NYSE:JCP), as put players descend on the stock ahead of tomorrow evening's earnings report.
J C Penney Company Inc puts are trading at nearly five times the intraday average this morning, with 13,000 contracts on the tape thus far. This bearish bias comes amid a sector-wide downturn, following this morning's uninspiring retail sales data -- and ahead of the company's second-quarter earnings report, slated for release after tomorrow's close. At last check, shares of JCP were down 2.3% to trade at $9.26.
Turning back to the day's option activity, JCP's weekly 8/22 9.50-strike put has garnered the most attention, and nearly all of the 5,914 contracts traded have done so at the ask price, hinting at buyer-driven volume. What's more, implied volatility has jumped 12.5 percentage points, and only 722 contracts are currently in residence here, making it safe to assume a fresh batch of bearish bets is being initiated.
According to the put's delta of negative 0.53, there's a roughly 1-in-2 chance this option will be in the money at the next Friday's close, when the weekly series expires. However, delta is subject to change, and with JCP's earnings report on the horizon, the metric could easily shift. Historically speaking, the equity has averaged a one-week loss of 13.5% following the company's last four turns in the earnings confessional.
Widening the sentiment scope reveals a preference for long calls over puts on JCP in recent weeks. With more than 27% of the stock's float sold short, though, a portion of this call buying could have been at the hands of short sellers hedging against any earnings-induced upside. For J C Penney Company Inc's (NYSE:JCP) second quarter, analysts are calling for a per-share loss of 93 cents.