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 Ford Motor Company (NYSE:F - 11.71), Oracle Corporation (NASDAQ:ORCL - 33.99), and JPMorgan Chase & Co. (NYSE:JPM - 44.04). Here is a quick look at today's interesting option activity in these options pits.
During the past 50 trading sessions, buy-to-open call orders on F have more than quadrupled their put counterparts at the International Securities Exchange (ISE), Chicago Board Options Exchange (CBOE), and NASDAQ OMX PHLX (PHLX). In fact, the 50-day call/put volume ratio of 4.19 is higher than 91% of the past year's worth of readings, signifying a greater-than-usual appetite for long calls. This trend is continuing today, with roughly 20,000 call options already changing hands. Most active is the January 2013 12.5 call, where close to 10,000 options have traded, nearly all at the ask price. Implied volatility is on the rise, as well, suggesting these are being purchased to open. For these out-of-the-money calls to be profitable at expiration in just over four weeks, F needs to be trading north of $12.68 (strike plus average premium paid).
As 52-week, at-the-money implied volatility hits a new 52-week low, ORCL option buyers are scooping up puts for a relative bargain. Narrowly taking the top slot among active options this morning is the March 32 put, where more than 5,700 contracts have traded, more than doubling existing open interest. A tick higher in implied volatility and data from the options exchanges suggest at least some of the orders are on the buy side. Given the volume-weighted average price of $0.61, ORCL would need to be trading below $31.39 when these options expire, in order for the puts to be profitable. Of course, the put buyers can close their positions at any time between now and then, to take profits off the table or cut losses. Today's bears are jumping in following a gap higher in the shares; ORCL touched a 19-month high yesterday following several upgrades and a strong sales forecast.
Calls and puts are running relatively near parity today on JPM, as 24,000 calls have traded compared to 21,000 puts. One popular strike so far has been the March 40 put, where slightly more than 3,000 contracts have traded at the ask price. In fact, one block of 3,000 contracts accounts for most of this volume, and traded at the ask price of $0.77 per contract. If these are in fact bearish bets that the shares will fall over the next three months, breakeven at expiration is $39.23 (strike minus debit paid). This is a gamble against the current uptrend, as JPM is up 32.5% in 2012 and has rallied nearly 10% since Dec. 4, when it rebounded off its 80-day moving average at $40.20.
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.