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 Pfizer Inc. (NYSE:PFE).
Although Pfizer Inc. has seen some pretty dramatic price shifts to both the north and south since hitting a nine-year high of $32.96 in early March, the collective action has resulted in a drop of 12.3% from this notable milestone. In today's session, the equity is extending its move to the downside, 1% lower at last check to churn near $28.89, and is on pace to notch its lowest close of 2014.
This overall decline has gone relatively unnoticed by option players, though, per data from the International Securities Exchange (ISE), Chicago Board Options Exchange (CBOE), and NASDAQ OMX PHLX (PHLX). Specifically, the equity has racked up a 10-day call/put volume ratio of 4.54 on these exchanges, which ranks in the 87th percentile of its annual range. Simply stated, calls have been bought to open over puts at an accelerated clip in recent weeks.
It's a trend that's being witnessed today, with 68,000 calls traded, versus 32,000 puts. Close to 25% of the day's call activity has centered on the May 30 strike, and against this increased demand for short-term options, PFE's 30-day at-the-money implied volatility (IV) is up 3.6% at 22.7%. Meanwhile, of the 15,784 contracts that have traded at the May 30 call, the majority have done so at the ask price and IV is 2.4 percentage points higher, indicating the purchase of new positions. Data from the ISE confirms that at least some of the day's activity is of the buy-to-open sort.
Amid today's drop, delta on the call has fallen to 17% from 23% at last night's close, implying a decreased probability the option will be in the money at next Friday's close, when front-month options expire. Should PFE fail to reclaim its perch atop the round-number $30 mark over the next seven-plus sessions, the most the speculators stand to lose is the initial cash outlay. However, despite Pfizer reporting quarterly earnings on Monday, the equity's Schaeffer's Volatility Index (SVI) of 21% rests in the slightly elevated 59th percentile of its annual range. In other words, premium on PFE's front-month options is relatively expensive at the moment.
On the fundamental front, the drama surrounding the blue-chip's bid for U.K.-based AstraZeneca plc (ADR) (NYSE:AZN) is mounting, and the company could find the proposed acquisition facing opposition from British Parliament. Separately, Pfizer Inc. (NYSE:PFE) has gone on the defensive, insisting the coupling would be beneficial to future research and development.