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Of the 20 equities seeing the heaviest options volume in recent sessions, three names of notable interest this afternoon are Facebook Inc (NASDAQ:FB), Cisco Systems, Inc. (NASDAQ:CSCO), and Ford Motor Company (NYSE:F). Here is a quick look at today's interesting activity in these options pits.
Total option volume in Facebook Inc is running south of normal levels today, but some call buyers are looking longer-term to scoop up in-the-money bullish bets at the December 24 call. More than 6,000 calls have changed hands at this strike, which was previously home to roughly 4,500 open positions. Implied volatility has ticked higher, and several blocks have traded off the ask price, suggesting they may have been purchased to open for a volume-weighted average price (VWAP) of $2.70. Breakeven at expiration in six months is therefore $26.70, or the strike price plus the VWAP. With the stock slightly higher today at $24.43, this breakeven level represents an advance of 9.3% from current levels. During the past six months, FB has declined 10.9%, so this range of price swing is far from impossible. Facebook option speculators have been call focused of late, as evidenced by the stock's Schaeffer's put/call open interest ratio (SOIR). The current reading of 0.58 ranks lower than all similar readings taken during the past year.
Taking the top spot among all option strikes in Cisco Systems today is the June 25 call, where over 6,300 of the front-month options have changed hands, mostly at the ask price. Although open interest exceeds volume, implied volatility is up 1.2 percentage points, and data from the International Securities Exchange (ISE) suggests some buy-to-open activity. Given the VWAP of $0.19, the breakeven price at expiration on Friday afternoon is $25.19, which is north of the stock's 52-week high of $24.98. Currently, CSCO shares are sitting just south of this acme, at $24.86, but delta on the position is 0.42, giving the option about a 2-in-5 chance at expiring in the money in two days. During the past two weeks, puts have been the preferred choice in the Cisco option pits, as the equity's 10-day put/call volume ratio at ISE, Chicago Board Options Exchange (CBOE), and NASDAQ OMX PHLX (PHLX) stands at 1.36, which is 1 percentage point from an annual high. Simply put, puts are being bought to open at a faster pace than usual -- almost the fastest pace all year.
Finally, Ford Motor is seeing some action at the January 2014 16-strike call this afternoon. More than 2,500 contracts have traded (the large majority at the ask price), and ISE data indicates that most of the orders were of the sell-to-open variety. The shares are trading slightly south of the strike price at $15.46 -- and are up more than 19% year-to-date -- but these are nonetheless a bet that Ford shares will stay wedged below the strike price through January 2014 options expiration. If not, the call seller may be forced to deliver Ford shares at a price of $16 apiece, no matter how high the stock is trading. If the call remains out of the money, the call sellers keep the initial premium collected as profit.
The 20 stocks below have attracted the highest options volume -- in the front three-months' series -- during the past 10 trading days. The companies highlighted are those that are new to the list since the last time the study was run. Data is courtesy of Schaeffer's Senior Quantitative Analyst Rocky White.