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Option Brief: BlackBerry Ltd (NASDAQ:BBRY) is up 6.8% at $9.59, thanks to news that Dan Loeb's Third Point LLC took a 10-million-share stake in the firm. Against this backdrop, the stock's short-term options are flying off the shelves -- especially on the call side -- sending its 30-day at-the-money implied volatility (IV) up 3.3% to 60.5%.
Already today, BBRY has seen roughly 35,000 calls change hands -- double its average intraday volume. More than 9,900 contracts traded at the March 10 call, mostly at the ask price, and IV ticked higher on a number of early transactions, suggesting at least some newly bought bullish bets.
By purchasing the calls to open, the traders expect BlackBerry Ltd (NASDAQ:BBRY) to climb into double-digit territory by March options expiration. Risk is limited to the initial premium paid for the calls, should the shares remain south of $10 throughout the options' lifetime. Currently, delta for the calls has jumped to 0.44 from 0.32 at Friday's close, suggesting a roughly 44% chance of the contracts finishing in the money at expiration.