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Most Active Options Update: Twitter Inc (TWTR)

Call volume pops as Twitter Inc runs higher

by 8/12/2014 10:54 AM
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The 20 stocks listed in the table below have attracted the highest options volume during the past 10 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 Twitter Inc (NYSE:TWTR), which is seeing a rush of call volume amid today's move higher.

Most Active Options Table

Twitter Inc has been on a roll since reporting earnings on July 29, with the shares up nearly 14%. The momentum is continuing today, with TWTR 1.3% higher to trade at $43.86, thanks to an encouraging re-evaluation of its user metric. Option traders are responding to today's upside in kind, scooping up calls at a rate roughly two times the intraday average.

Speculators are showing a preference for short-term contracts, per TWTR's 30-day at-the-money implied volatility (IV), which has jumped 3.6% to 43.2%. In fact, all but one of the security's 10 most active options reside in the August series -- which is slated to expire at week's end.

The most sought-after TWTR option is the August 46 call, where 8,265 contracts have been exchanged. The majority of these have gone off at the ask price, and IV is up 5.2 percentage points, hinting at the purchase of new positions. Data from the International Securities Exchange (ISE) confirms that a portion of the activity is of the buy-to-open variety.

Based on the volume-weighted average price (VWAP) of $0.34, at-expiration breakeven for today's call buyers is $46.34, or the strike plus the VWAP. Profit will accrue on each additional move north of here, while losses are limited to the initial cash outlay, should Twitter Inc (NYSE:TWTR) settle south of $46 at this Friday's close.


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