Halozyme Therapeutics, Inc. (HALO) Shorts Could Be Feeling the Heat

Halozyme Therapeutics, Inc. (HALO) short sellers may have hedged with long calls

by Karee Venema

Published on Jan 7, 2015 at 1:31 PM
Updated on Jun 24, 2020 at 10:16 AM

With Halozyme Therapeutics, Inc.'s (NASDAQ:HALO) annual analyst and investor day currently underway, the stock has rallied more than 8% to trade at $10.92. Today's positive price action is likely being met with mixed reactions from traders in and out of the options pits.

In the options arena, speculators at the International Securities Exchange (ISE), Chicago Board Options Exchange (CBOE), and NASDAQ OMX PHLX (PHLX) have bought to open 52.46 calls for every put over the past 10 sessions. What's more, this ratio ranks in the 94th percentile of its annual range, meaning calls have been bought to open over puts with more rapidity just 6% of the time within the past year.

Elsewhere on the Street, however, short interest accounts for 25.4% of the stock's available float, and it would take more than four weeks to cover these bets, at average daily trading volumes. It's possible, then, that some of the recent call-buying -- particularly at out-of-the-money strikes -- is a result of short sellers hedging their bearish bets.

Regardless of the reason, now is not an opportune time to purchase short-term options on Halozyme Therapeutics, Inc.'s (NASDAQ:HALO). Specifically, the equity's Schaeffer's Volatility Index (SVI) of 1.20 sits higher than all other comparable readings taken in the past year, suggesting the stock's front-month options are expensive, from a volatility perspective.


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