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Most Active Options Update: Oracle Corporation (ORCL)

Put players make a rare appearance in Oracle Corporation's options pits

by 4/7/2014 2:09 PM
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 this afternoon is Oracle Corporation (NYSE:ORCL).


Oracle Corporation option traders have shown a preference for calls over puts in recent months, per data from the International Securities Exchange (ISE), Chicago Board Options Exchange (CBOE), and NASDAQ OMX PHLX (PHLX). During the course of the past 50 sessions, specifically, the stock has racked up a call/put volume ratio of 2.14 on these exchanges. What's more, the ratio ranks in the 82nd percentile of its annual range, meaning calls have been bought to open over puts at an accelerated clip.

In today's session, though, put players are making their presence known. At last check, roughly 12,000 puts had changed hands, compared to fewer than 4,200 calls. In fact, the 10 most active options fall on the put side, and all but one of those puts expire in three months or less. Against this increased demand for short-term options, ORCL's 30-day at-the-money implied volatility (IV) has jumped 7.3% to 21.4%.

Taking the top two spots at this point in the day are the stock's April 38 and 39 puts, where the vast majority of the collective 2,994 contracts traded have done so at the ask price, pointing to buyer-driven volume. Meanwhile, IV is higher at each strike, hinting at the initiation of new positions.

In today's session, ORCL is following the broad-market path lower, down 1.9% to $39.21. As such, delta for the 39-strike put has jumped to negative 0.44 from Friday's close at negative 0.26, while delta on the 38-strike has increased to negative 0.24 from 0.12. Simply stated, the options market is giving the puts a respective 44% and 24% chance of an in-the-money finish at the close on Thursday, April 17, when front-month options expire.

Should the stock fail to break either strike price, the most the put buyers stand to lose is the initial premium paid. Considering Oracle Corporation's (NYSE:ORCL) Schaeffer's Volatility Index (SVI) of 19% ranks lower than 84% of similar readings taken over the past year, speculators can rest easy knowing premium on ORCL's front-month options is affordable, from a volatility perspective.


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