Put Traders Circle Abercrombie & Fitch Co. (ANF)

Abercrombie & Fitch Co. (NYSE:ANF) plunged right out of the gate this morning on a third-quarter sales warning, but it was a different story yesterday. On Thursday, the shares gained 4.7%, prompting a rush of options betting -- especially on the put side, where contracts crossed at an 83% mark-up to the daily average.

The two most active options were the weekly 11/7 34-strike put and the December 25 put, where a collective 3,151 contracts changed hands. Open interest at both strikes rose overnight, suggesting new positions were initiated. However, whereas the weekly puts traded mostly at the ask price, the back-month puts were exchanged largely at the bid price -- pointing to buy-to-open and sell-to-open activity, respectively.

Thursday's put buyers, who bet on ANF dropping below $34 by tonight's close (when the weekly contracts expire), are in luck. ANF has tumbled nearly 13% this morning to trade at $30.82, and earlier touched a two-year low of $30.31. On the other hand, the deep out-of-the-money put writers may be getting a little nervous, as they need ANF to maintain its perch atop $25 through the close on Friday, Dec. 19 -- when back-month options expire. Due to this morning's bear gap, delta on the back-month put has moved to negative 0.17 from negative 0.079 at Thursday's close.

Taking a step back, yesterday's preference for short-term Abercrombie & Fitch Co. (NYSE:ANF) puts over calls is fairly typical. The stock's Schaeffer's put/call open interest ratio (SOIR) of 1.79 ranks in the 97th percentile of its annual range, meaning speculators have played puts over calls at a near-extreme rate, among options set to expire within three months.