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Most Active Options Update: Twitter Inc (TWTR)

Call and put volume has accelerated on TWTR today

by 12/12/2013 2:57 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. Three names of notable interest this afternoon are Twitter Inc (NYSE:TWTR), Facebook Inc (NASDAQ:FB), and Barrick Gold Corporation (USA) (NYSE:ABX).

Facebook Inc has tacked on nearly 5% today, as traders cheer the stock's upcoming inclusion into the S&P 500 Index (SPX). Not surprisingly, FB call volume is trading at more than two times the typical pace. Meanwhile, uncertainty surrounding the Fed's tapering timeline is weighing on commodities, but one Barrick Gold Corporation (USA) speculator bet on a longer-term bounce, and initiated a bullish spread using January 2015 20- and 25-strike calls. Finally, here's how call and put players are setting up their short-term bets on Twitter Inc.


Despite having less than a month of options trading under its belt, Twitter Inc has already made it to our most active options list. In today's session, both call and put volume are accelerated, trading at roughly two times their respective average intraday paces. Against this backdrop, TWTR's 30-day, at-the-money implied volatility (IV) has risen 6.2% to 56.8% -- its loftiest perch on record.

The most active position thus far is the weekly 12/13 53-strike call, where the majority of the 7,824 contracts traded have done so on the ask side. IV has soared 8.4 percentage points, and volume outstrips open interest, hinting at buy-to-open activity. With Twitter lingering near $54.46 (after earlier hitting a post-IPO record peak of $54.93), these calls are currently in the money. Based on the volume-weighted average price (VWAP) of $0.60, they have also surpassed the breakeven mark of $53.60, which is the strike plus the VWAP.

The second most active position is the weekly 12/13 52-strike put, which has seen 5,240 contracts change hands, mostly at the ask price. IV has jumped 19.5 percentage points, and only 2,233 contracts make up open interest here, pointing to the initiation of new long put positions. By purchasing the puts, the speculators expect TWTR to fall 4.5% from its present perch by tomorrow's close to breach the $52 mark. Delta for the put has plunged to negative 0.11 from 0.43 yesterday, however, suggesting a slim 13% chance of an in-the-money finish.


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