Stocks quoted in this article:
The 20 stocks listed in the table below have attracted the highest total options volume during the past 10 trading days. Data is courtesy of Schaeffer's Senior Quantitative Analyst Rocky White. Three names of notable interest this afternoon are Intel Corporation (NASDAQ:INTC), Tesla Motors Inc (NASDAQ:TSLA), and Delta Air Lines, Inc. (NYSE:DAL).
TSLA put options are heating up, as the shares give back Monday's gains. Roughly 76,000 puts have crossed the tape today, representing a 50% mark-up to the stock's average intraday put volume. A healthy portion of the action consists of near-term bets, with traders buying to open weekly 10/11 170-, 175-, and 180-strike puts. DAL has also been popular among put buyers lately, and today is no exception. The out-of-the-money October 21 put has accounted for more than half of the stock's intraday put volume, and it seems speculators are purchasing the contracts to open to either gamble on a downturn or "insure" their DAL shares. Finally, here is a look at some interesting activity in INTC's options pits.
INTC is following the broader equities market into the red, down 0.9% at $22.61. As such, puts are flying off the shelves at a faster-than-usual clip. So far today, the blue chip has seen roughly 37,000 puts change hands -- a 17% mark-up to its typical daily put volume. For comparison, just 23,000 INTC calls have been exchanged thus far.
Most popular has been the at-the-money November 22 put, where close to 5,400 contracts have traded at a volume-weighted average price (VWAP) of $0.58. Ninety-one percent of the puts crossed on the ask side, and implied volatility is trending higher, hinting at newly bought bearish bets.
By purchasing the puts to open, the buyers expect INTC to extend today's downtrend. More specifically, the speculators will begin to profit if INTC breaches $21.42 (strike price minus VWAP) by mid-November, when the options expire. Should the shares remain north of the strike through expiration, the most the buyers are risking is the initial premium paid for the puts.
However, with Intel Corporation (NASDAQ:INTC) set to take the earnings stage after the market closes on Oct. 15, the stock's near-term options are in demand. Reflecting this, the equity's Schaeffer's Volatility Index (SVI) has ascended to 32% -- just 10 percentage points from a 12-month high. In other words, INTC's near-term contracts are pricey right now, historically speaking. In the same vein, the stock's 30-day, at-the-money implied volatility is up 1.8 percentage points, or 7%, to 28% today.