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Of the 20 equities with the heaviest options volume in recent sessions, three names of notable interest this afternoon are Facebook Inc (NASDAQ:FB - 28.12), Yahoo! Inc. (NASDAQ:YHOO - 20.80), and JPMorgan Chase & Co. (NYSE:JPM - 48.63). Here is a quick look at today's interesting option activity in these options pits.
Although the FB option pits are being dominated by activity in the front-month series today, one block that caught our eye was a 5,000-contract order at the April 37 call, trading at the ask price of $0.15. According to data from Trade-Alert and the International Securities Exchange (ISE), it is possible these calls were purchased to close (after being sold to open in late January). With this move, the speculator is closing out of a short call (or covered call) position for a credit of $0.15 per contract. Looking back over the last month, however, speculators have been more interested in buying calls to open. Specifically, the 20-day call/put volume ratio at the ISE, Chicago Board Options Exchange (CBOE), and NASDAQ OMX PHLX (PHLX) stands at 2.70, meaning calls have been purchased to open nearly three times as much as puts over the past four weeks.
With YHOO cruising to another new 52-week high today, call volume is notable; more than 54,000 contracts have traded hands, compared to the 38,000 contracts usually expected by this point in the trading session. The most active strike is the February 21 call, where almost 10,000 contracts have changed hands, nearly two-thirds of which crossed at the ask price. As implied volatility has risen 3.5 percentage points, it is likely these are the work of short-term bulls buying to open these near-the-money options. As they traded for a volume-weighted average price (VWAP) of $0.19, these represent a bet that YHOO will continue forging new annual highs this week and will end the week above the $21.19 (strike plus VWAP) level. If YHOO fails to surpass this breakeven point by Friday's close, the call buyers only stand to lose 100% of the premium paid.
JPM has also notched a new annual high today, but put volume is nearly equal to call volume. Getting some notable attention is the March 43 put, where volume exceeds open interest by more than 1,000 contracts. Additionally, nearly all of the contracts have traded at the ask price, and implied volatility has risen slightly, all indicative of buy-to-open activity. Breakeven at expiration for this far out-of-the-money option is $42.85, or the strike price less the VWAP of $0.15. The options market isn't pricing in a very good chance for these puts to be in the money by the close on March 15; in fact, delta for these puts currently stands at negative 8. This is no surprise, as the breakeven level is almost 12% south of the stock's current perch, and in territory not explored by JPM since mid-December.
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.