Most Active Options Update: Petroleo Brasileiro Petrobras SA (ADR)

Petroleo Brasileiro Petrobras SA (ADR) puts popular ahead of Brazil's presidential election

by Karee Venema

Published on Oct 24, 2014 at 2:31 PM
Updated on Apr 20, 2015 at 5:32 PM

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 streaming video giant Petroleo Brasileiro Petrobras SA (ADR) (NYSE:PBR), which is being targeted by short-term options bears ahead of Brazil's weekend elections.

Most Active Options Table

It's been a wild month for Petroleo Brasileiro Petrobras SA (ADR), with the stock moving in concert with the speculation surrounding this Brazil's presidential election. On the last trading day before voters head to the polls on Sunday, optimism abounds -- and PBR's 7.5% pop today is proof.

It's quite a different story in the equity's options pits, though, with put volume running at two times what's typically seen at this point in the day. Meanwhile, the stock's 30-day at-the-money (ATM) implied volatility (IV) has surged 14.9% to 122.2% -- in the 95th percentile of its annual range -- signaling elevated demand for the security's short-term contracts.

Most active is PBR's November 13 put, where 12,487 contracts have changed hands. A healthy portion of these ATM strikes have gone off at the ask price, and IV is up 10.3 percentage points, suggesting new positions are being purchased. Delta on the put is docked at negative 0.43, indicating a 43% chance the option will be in the money at the close on Friday, Nov. 21 -- when the front-month contracts expire.

From a wider sentiment perspective, today's accelerated put activity is just more of the same for a stock that's shed about 38% since hitting an annual high of $20.94 on Sept. 3, with the shares last seen near $13.05. In fact, at the International Securities Exchange (ISE), Chicago Board Options Exchange (CBOE), and NASDAQ OMX PHLX (PHLX), PBR's 50-day put/call volume ratio of 0.41 ranks in the 94th annual percentile. Simply stated, puts have been bought to open over calls on Petroleo Brasileiro Petrobras SA (ADR) (NYSE:PBR) with more rapidity just 6% of the time within the past year.


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