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Most Active Options Update: Citigroup, Ford Motor, and JPMorgan

C, F, and JPM are seeing notable options activity today

by 12/28/2012 11:39 AM
Stocks quoted in this article:

Of the 20 equities with the heaviest options volume in recent sessions, three names of notable interest this afternoon are Citigroup Inc. (NYSE:C - 39.16), Ford Motor Company (NYSE:F - 12.66), and JPMorgan Chase & Co. (NYSE:JPM - 43.46). Here is a quick look at today's interesting option activity in these options pits.

C is seeing ample attention from option players today, even as overall market volume is anemic. Currently, call volume and put volume are both outpacing the expected intraday action by a healthy margin. On the bullish front, the March 44 call is most active, with 13,000 contracts trading on open interest of 5,476. The lion's share of this volume crossed the tape in one fell swoop, as a block of 12,500 contracts traded at the ask price of $0.77 (suggesting buyers). Breakeven at expiration for this large block trade is $44.77, or the strike plus the premium paid. This is 14% above current levels -- and north of the stock's annual high of $40.18 -- but expiration is roughly 2-1/2 months away.

Meanwhile, F speculators aren't deterred by the fact that at-the-money implied volatility has stepped to a new 52-week high. Rather, F bulls are scooping up short-term positions, most noticeably at the 1/4 12.5-strike put. These near-the-money bearish bets have seen volume of more than 6,600 on open interest of just over 2,600. What's more, the majority of the positions have traded at the ask price, and implied volatility is up 1.4 percentage points. All of these factors point to the initiation of new long puts, which target a move lower in F over the next week. Breakeven at expiration for these puts is $12.22, or the strike less the volume-weighted average price (VWAP) of $0.28. While these options are quite short-term in nature, traders wagered on longer-term downside in the automaker during Thursday's trading.

Shortly before its ex-dividend day on Jan. 2, JPM is seeing some buy-to-open activity at two back-month strikes. On the put side, a block of 2,000 contracts traded at the ask price of $1.90 per contract on the April 41 put. This is essentially a bet that JPM will fall below $39.10 by April options expiration. On the call front, 1,500 February 48 call contracts have traded, exceeding current open interest levels. All of these calls traded at the ask price as well, indicative of a bullish bet that JPM will rally over the next seven weeks. Breakeven (at expiration) for these calls is $48.27, or the strike price plus the VWAP.

The 20 stocks below have attracted the highest options volume -- in the front three-months' series -- during the past 10 trading days. Data is courtesy of Schaeffer's Senior Quantitative Analyst Rocky White.



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