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Most Active Options Update: Cisco Systems, Inc. (CSCO)

CSCO options speculators turn to weekly options plays

by 9/3/2013 2:19 PM
Stocks quoted in this article:

The 20 stocks in the table below have attracted the highest options volume -- in the front three-months' series -- during the past 10 trading days. The companies highlighted are those new to the list since the last time the study was run. Data is courtesy of Schaeffer's Senior Quantitative Analyst Rocky White. Three names of notable interest this afternoon are Cisco Systems, Inc. (NASDAQ:CSCO), Tesla Motors Inc (NASDAQ:TSLA), and Bank of America Corp (NYSE:BAC).

Contrary to more fleeting activity of late, Tesla Motors Inc speculators have taken a long-term outlook today, as a pair of LEAPS puts have assumed the most active spots. The January 2015 30-strike and 18-strike puts have posted respective volume of 15,638 and 17,861 contracts, and overall put volume on TSLA is running at an 83% mark-up to what's typically expected. Elsewhere, options players are continuing to target Bank of America Corp ahead of tomorrow's ex-dividend date. Notable is the weekly 9/13 14.50-strike call, where volume is exceeding open interest and the majority of the trades have crossed at the bid price, suggesting possible sell-to-open activity. Finally, here is a rundown of some activity transpiring in the Cisco Systems, Inc. pits.


The trend toward CSCO call buying persists this afternoon, with traders newly focused on weekly options. The 9/6 24-strike call is in the spotlight, with nearly 4,000 contracts trading, the majority of which crossed at the ask price. Implied volatility has spiked nearly 5 percentage points at this strike, and volume exceeds open interest, suggesting at least some of the calls are being purchased to open. Given the volume-weighted average price (VWAP) of $0.08, breakeven on this position (at expiration) is $24.08, or the strike price plus the VWAP. Presently perched at $23.50, CSCO would need to move 2.5% by this Friday's close in order to put today's call buyers in profitable territory.

Also garnering notable attention is the weekly 9/6 23.50-strike put, which is also seeing likely buy-to-open activity. Volume easily trumps open interest, and 93% of the volume traded off the ask price. The VWAP for this soon-to-expire option is $0.14, meaning that breakeven at expiration is just 0.6% away at $23.36. This put's delta reading has dropped to negative 0.50 today, suggesting the options market is pricing in a 1-in-2 chance of an in-the-money finish on Friday afternoon.

Among options expiring in the next three months, call open interest roughly doubles put open interest, as evidenced by the stock's Schaeffer's put/call open interest ratio (SOIR) of 0.49. This reading is lower than all but 13% of the past year's worth of readings. In other words, the Cisco Systems, Inc. (NASDAQ:CSCO) speculative crowd has rarely been more call-focused over the last year.


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