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Option Brief: SunEdison Inc (NYSE:SUNE) call volume jumped to more than two times its daily average yesterday, as 122,000 contracts crossed the tape. As such, the solar stock's 30-day at-the-money implied volatility surged by 8.1% to 67.1%.
Experiencing the biggest change in open interest overnight was SUNE's April 20 call, which added nearly 38,500 contracts. A healthy portion of this volume -- including a block of 19,147 contracts -- traded at or above the ask price and the International Securities Exchange (ISE) confirms buy-to-open activity at the near-the-money strike. However, given that north of 51,600 contracts traded off the bid price at SUNE's April 22 call, and open interest fell there overnight, it's possible that some of the positions opened at the lower strike were the byproduct of a roll down strategy -- a theory that Trade-Alert supports.
SUNE lost more than 4% yesterday to land at $19.49, after spending most of the month north of the $20 level. Therefore, it appears that some of yesterday's option traders tempered their bullish bets, in the hopes that the stock would surmount the 20 strike (rather than the 22 strike) by the closing bell on Thursday, April 17, when the newly front-month options expire.
At last check, SunEdison Inc (NYSE:SUNE) had pared a solid portion of yesterday's losses, up 2.4% at $19.96. However, even if the shares fail to surmount $20 by the time the option expires, the most the traders stand to lose is the initial premium paid.