Stocks quoted in this article:
Of the 20 equities seeing the heaviest options volume in recent sessions, three names of notable interest this afternoon are American International Group Inc (NYSE:AIG), Citigroup Inc (NYSE:C), and Freeport-McMoRan Copper & Gold Inc. (NYSE:FCX). Here is a quick look at today's interesting activity in these options pits.
The August series is once again in focus on American International Group today. This time, the call buyers have taken control, as a block of 15,000 August 45 calls traded at the ask price of $2.24 each. These calls are still out of the money, despite AIG's post-earnings pop of more than 5.5% to a new annual high of $44.90. (Currently, the stock is sitting at $44.48, having pulled back slightly from its peak.) Assuming the block was purchased to open, breakeven at expiration is $47.24 (strike price plus premium paid), which is a 6.2% jump from current levels. AIG hasn't traded north of $47 since January 2011, but the stock does have more than three months before expiration on Aug. 16. Delta on the call currently stands at 0.49 (up from 0.34 at yesterday's close), expressing a 1-in-2 chance for an in-the-money finish.
Citigroup has advanced to $47.12 on the heels of an upgrade earlier today. The options crowd is responding by flocking to the put side of the court -- put volume is running 16% heavier than usual, while call trading is less active than normal. The most active strike currently is the June 44 put, where the lion's share of the 7,330 contracts traded have changed hands at the bid. According to data from the International Securities Exchange (ISE), much of the volume could consist of bearish retail investors heading for the exits in the wake of C's recent upside. The bank may also be seeing some sell-to-open activity at the August 47 put, as volume is greater than open interest, but several blocks have traded at or below the bid price.
Finally, Freeport-McMoRan Copper & Gold is popular in the options pits today, as total option volume is running 57% hotter than average. Accounting for roughly one-third of all put volume today is the June 27 put, where more than 15,200 contracts have traded, 97% percent of them at the ask price. With implied volatility also on the rise, it appears likely that these puts are being purchased to open for a volume-weighted average price (VWAP) of $0.27. Breakeven at expiration is therefore $26.73, or 14.7% below the stock's current price of $31.35. In fact, FCX shares haven't traded below $27 since July 2009.
The 20 stocks below have attracted the highest options volume -- in the front three-months' series -- during the past 10 trading days. The companies highlighted are those that are new to the list since the last time the study was run. Data is courtesy of Schaeffer's Senior Quantitative Analyst Rocky White.