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Facebook Call Options Premiums Spike Amid Earnings Plunge

More than 400,000 options traded in the first 30 minutes of today's session

Jul 26, 2018 at 10:19 AM
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By now, the post-earnings sell-off for the shares of Facebook, Inc. (NASDAQ:FB) is well-known around Wall Street. Though the social media name reported stronger-than-expected second-quarter profit of $1.74 on Wednesday, quarterly sales grew 42% to $13.2 billion -- their slowest pace in almost three years. Plus, the company warned profit margins will be negatively impacted over the next several years due to rising privacy costs and slowing usage in large advertising markets.

FB stock is down 18.1% at the open to trade at $178.05 -- on track for its worst day ever -- with a loss of this magnitude wiping more than $100 billion off of Facebook's market cap since last night's close, the biggest loss on record to a company's one-day loss in market capitalization. But while the shares are now in the red on a year-to-date basis -- and have the Nasdaq and S&P 500 Index lagging the Dow in today's trading -- they are holding above their post-bull gap highs from late April.

Analysts have been quick to chime in on FB after earnings, too. While Raymond James downgraded the security to "outperform" from "strong buy," UBS lowered its rating to "neutral" from "buy." Additionally, Baird joined an onslaught of brokerage firms that cut their Facebook price targets -- slashing its to $195 from $210 on the "bombshell" earnings news.

Options traders are rushing FB post-earnings, too. With roughly 30 minutes of trading under our belt, around 269,000 calls and 145,000 puts have changed hands -- 15 times what's typically seen at this point in the day, and volume pacing in the 100th annual percentile.

Not surprisingly, short-term Facebook options are pricing in sky-high volatility expectations, per the stock's 30-day at-the-money implied volatility (IV) of 38.5% -- in the 96th annual percentile. Nevertheless, it's been bullish options prices that have spiked amid today's sell-off, per FB's 30-day IV skew at 1.6%, which ranks in the 1st percentile of its 12-month range, meaning calls have rarely been cheaper than puts over the last year.

 
 

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