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Most Active Options Update: SunEdison Inc (SUNE)

SunEdison Inc call volume surges as stock rallies to a multi-year high

by 3/4/2014 1:19 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 SunEdison Inc (NYSE:SUNE).


SunEdison Inc is soaring today, after Morgan Stanley upped its outlook on the stock to "overweight" from "equal weight," saying "the commercial-scale solar market could be as large as 129GW in 2018." At last check, the equity was up 10.6% to $20.65, after earlier tagging the $21.33 mark for the first time since June 2009. As such, call volume is trading at nearly 11 times the typical intraday level, causing SUNE's 30-day at-the-money implied volatility (IV) to jump 7% to 66.8%.

With nearly 200,000 calls on the tape thus far, a number of individual strikes have seen massive amounts of volume. Specifically, the April 20 and 22 calls have each seen north of 52,000 contracts change hands. Diving deeper reveals that some of this volume may have been at the hands of last week's bullish bettor, who is once again rolling up her call position.

Specifically, one block of 38,000 April 20 calls changed hands near the bid price for $2.10 apiece, pointing to seller-driven activity. At around the same time -- and on the same exchange -- another block of 49,761 April 22 calls traded above the ask price for $1.35 each, suggesting they were bought, and Trade-Alert marked the latter part of this transaction as opening.

Elsewhere, the April 23 call has seen nearly 12,000 contracts cross the tape, 90% of which have done so on the ask side. IV has shot 4.6 percentage points higher, and only 97 contracts currently make up open interest here, making it safe to assume that new bullish positions are being initiated. Delta for this call is docked at 0.37, implying a 37% chance the stock will be above $23 by the close on Thursday, April 17 -- when back-month options expire. SUNE has not explored territory north of this area since October 2008.

Finally, front-month speculators are targeting the March 21 call, where 8,833 contracts have traded. The majority of these calls have changed hands on the ask side, IV is higher, and volume outstrips open interest, pointing to buy-to-open activity. These near-the-money calls are being purchased for a volume-weighted average price (VWAP) of $1.13, meaning the breakeven mark (at expiration) is $22.13 (strike plus VWAP), representing another multi-year high for SunEdison Inc (NYSE:SUNE).


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