Valeant Stock Dips Back Below 200-Day Moving Average

Short-term options traders are targeting VRX

Oct 13, 2017 at 2:32 PM
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Shares of Valeant Pharmaceuticals Intl Inc (NYSE:VRX) are sliding for a second straight day, with traders possibly responding to a phase 3 trial update for Siliq -- a product of subsidiary Ortho Dermotologics. VRX stock was last seen 3.9% lower at $13.29, putting the equity on pace to close below its 200-day moving average for the first time in over a month. However, it bottomed out just above the $13 level earlier, a level that contained its late-August, early September pullback.

valeant pharmaceuticals

In the meantime, options traders are jumping on near-term puts. Put volume today is running at two times the expected pace, which is nothing new. Valeant has a Schaeffer's put/call open interest ratio (SOIR) of 1.86, ranking only 2 percentage points from a 12-month low. In other words, options traders targeting contracts that expire within three months have been unusually put-skewed.

It's hard to blame anyone for wanting to use short-term options to speculate on VRX stock. That's because the security has a Schaeffer's Volatility Index (SVI) of 41%, ranking just 2 percentage points from a 12-month low -- pointing toward lower-than-usual volatility expectations. Moreover, a Schaeffer's Volatility Scorecard (SVS) of 94 points toward a tendency to blow past options traders' expectations.

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