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InterMune Inc (NASDAQ:ITMN) has tacked on 13.7% this afternoon to trade at $51.74, after earlier notching a decade-plus high of $54.57. In fact, trading on the stock was briefly halted during the lunch hour, following news that the firm is fielding buyout bids from the likes of Sanofi SA (ADR) (NYSE:SNY), Roche Holding AG, and others. Not surprisingly, options activity is off the charts.
Diving right in, overall options volume is running at 15 times ITMN's intraday average. Most active by a healthy margin is the January 2015 55-strike call, where 2,629 contracts are on the tape. It appears the majority of these calls are being bought to open at a volume-weighted average price (VWAP) of $3.28, making for an at-expiration breakeven mark of $58.28 (strike plus VWAP) -- uncharted territory for the shares. Potential gains are theoretically unlimited north of here, while losses are limited to the initial premium paid, should ITMN be resting below $55 when the contracts cease trading.
Historically, InterMune Inc (NASDAQ:ITMN) shares -- despite soaring more than 250% this year -- haven't toppled $55 since October 2000. Today, however, the probability the aforementioned call will be in the money at January 2015 options expiration is on the rise, as its delta has jumped to 0.47 from 0.32 at Tuesday's close.