Stocks quoted in this article:
The 20 stocks listed in the table below have attracted the highest total options volume during the past 10 trading days. Names highlighted are new to the list since the last time the study was run, and data is courtesy of Schaeffer's Senior Quantitative Analyst Rocky White. One name of notable interest today is Petroleo Brasileiro Petrobras SA (ADR) (NYSE:PBR), as option bulls refuse to throw in the towel on the sinking stock.
Petroleo Brasileiro Petrobras SA (ADR) has sold off sharply this week, ahead of this Sunday's presidential election in Brazil. All told, the shares have plunged 19.2% from last Friday's close -- including today's 6.3% drop to $13.30 -- as a number of polls suggest the incumbent candidate Dilma Rousseff is extending her lead over Socialist Party candidate Marina Silva. In spite of this, call volume is running at a faster-than-usual clip today, and per the stock's 30-day at-the-money implied volatility (IV), which has risen to an annual high of 90.2%, short-term contracts are in demand.
While PBR's November 16 call and put are the most active strikes, it appears they may be tied to stock. Looking elsewhere, the November 19 call has received notable attention, with 6,278 contracts on the tape thus far. Almost all of these changed hands at the ask price, and IV is 4.5 percentage points higher, hinting at the purchase of new positions. At last check, delta on the call was docked at 0.17, suggesting a slim 17% chance of an in-the-money finish at the close on Friday, Nov. 21, when back-month options expire.
From a wider sentiment perspective, today's accelerated call activity marks a change of pace in Petroleo Brasileiro Petrobras SA's (ADR) (NYSE:PBR) options pits. At the International Securities Exchange (ISE), Chicago Board Options Exchange (CBOE), and NASDAQ OMX PHLX (PHLX), the security's 50-day put/call volume ratio of 0.47 ranks in the 96th percentile of its annual range, meaning puts have been bought to open over calls with more rapidity just 4% of the time within the past year.