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Valeant Pharmaceuticals Intl Inc's December 135 call is again being bought to open
Valeant Pharmaceuticals Intl Inc (NYSE:VRX) has barely budged this afternoon, up 0.1% at $131.27, as traders continue to tread cautiously ahead of a potential deal with Allergan, Inc. (NYSE:AGN). Nevertheless, option speculators have been busy today, with VRX calls running at five times the expected intraday clip. Plus, the stock's 30-day at-the-money implied volatility (IV) has risen 2% to 48.8%, signaling elevated demand for short-term strikes.
Garnering the most action for the second day in a row is VRX's December 135 call, where roughly 3,300 contracts have changed hands. Four-fifths of theses calls have traded at the ask price, IV is higher, and data from Trade-Alert points to freshly minted bullish bets. In other words, today's buyers expect the stock to topple the near-the-money strike by the close on Friday, Dec. 19, when back-month options expire.
Historically speaking, $135 has been a tough nut to crack for Valeant Pharmaceuticals Intl Inc (NYSE:VRX). In fact, the shares haven't closed above this level since early May. Nevertheless, delta on the call sits at 0.46, signifying an almost 1-in-2 probability the option will be in the money at expiration.