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Call activity has surged in JPMorgan Chase & Co's (NYSE:JPM) options pits today, as the stock heads higher to start the week. Specifically, 58,000 calls -- 72% more than the intraday norm -- have been exchanged so far, compared to just 13,000 puts.
Among JPM's most active options today is the weekly 9/6 52.50-strike call, where roughly 15,000 contracts have changed hands for a volume-weighted average price (VWAP) of $0.13. More than three-fourths of these contracts crossed at the ask price, suggesting they were purchased. In addition, implied volatility has increased nearly 10 percentage points, and volume exceeds current open interest levels, which points to the creation of new positions at this strike. Also, data from the International Securities Exchange (ISE) confirms that at least some of the volume is of the buy-to-open variety.
Although JPM stands 37.2% higher on a year-over-year basis, the stock has suffered a 9.8% loss in the past month, and has been attempting to gain some ground during today's session -- tacking on 1% to trade at $51.02. Against this backdrop, the aforementioned call buyers are rooting for continued gains through the week's end. Specifically, they anticipate JPM will topple the breakeven price of $52.63 (strike price plus the VWAP) by this Friday's close, when the options expire.
Delta for the call currently sits at 0.12, or 12%, meaning the option has a roughly 1-in-8 chance of moving in the money over the next three-plus sessions. Even so, the most the call buyers stand to lose is the initial premium paid, should JPMorgan Chase & Co (NYSE:JPM) remain below the 52.50 strike upon expiration.