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Most Active Options Update: JPMorgan, RIM, Green Mountain Coffee

JPM, RIMM, and GMCR are actively trading in the options pits today

by 12/5/2012 1:09 PM
Stocks quoted in this article:

Three of today's most actively traded names among options traders are JPMorgan Chase & Co. (NYSE:JPM - 41.30), Research In Motion Limited (USA) (NASDAQ:RIMM - 11.59), and Green Mountain Coffee Roasters Inc. (NASDAQ:GMCR - 42.45). Here is a quick look at some interesting trades we are seeing in these option pits today.

JPM shares are up nearly 2% today to retake control of their 10-day moving average. Meanwhile, on the options front, the most popular strike is the January 45 call, where more than 17,300 contracts have changed hands. The lion's share of this volume crossed the tape as one 13,000-contract block, which traded at the ask price of $0.17 per contract. Given that implied volatility has actually declined, these could be overhead calls being sold to close while the shares rally. If not, the strategy is calling for sharp upside in the shares through Jan. 18, as breakeven on the position would be $45.17, or 9.4% above current levels.

On the most active list again today is RIMM, which is seeing a lot of attention at its December 10 put. More than 14,000 contracts have traded, narrowly outpacing current open interest. Meanwhile, implied volatility has shot up more than five percentage points, and nearly all trades have transpired at the ask price, suggesting new buyers. If these put buyers did buy the positions to open (at an average per-contract price of $0.27), breakeven at December expiration in just over two weeks would be $9.73 (strike less debit paid). Although the stock has outperformed the S&P 500 Index (SPX) by nearly 30 percentage points in the last month, analysts remain skeptical along with today's option buyers. Of the 33 brokerage houses following the stock, just 9% have named RIMM a "buy" or better, leaving the vast majority in the "hold," "sell," or even "strong sell" camp.

Finally, GMCR has tacked on more than 4% on no notable news, spurring some speculators to bet on a near-term reversal using near-the-money puts. More than 5,300 contracts have traded on the December 40 put, which came into today's session with just 2,843 contracts in open interest. A number of mid-sized blocks have traded at the ask, for an average purchase price of $1.63. In order for these puts to be in the money at expiration, the stock needs to drop south of $38.37 within the next 13 trading days. During the past 10 days, buy-to-open calls have been virtually at parity with puts, as evidenced by the call/put volume ratio on the International Securities Exchange (ISE), Chicago Board Options Exchange (CBOE), and NASDAQ OMX PHLX (PHLX) of 1.01. This is in the lower one-third of the past year's worth of readings, suggesting investor demand for puts has increased in the last two weeks.

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

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