InvenSense Inc (NYSE:INVN) is soaring this afternoon, up 8% at $15.16, amid unconfirmed rumors the company may be a takeover target for Intel Corporation (NASDAQ:INTC) or QUALCOMM, Inc. (NASDAQ:QCOM). In the options pits, calls are flying off the shelves at faster than double the expected intraday rate. Short-term contracts are being targeted, too, per the stock's 30-day at-the-money implied volatility -- up 5% to 59.3%.
Digging deeper, INVN's most active strike is the December 14 put, where 2,812 contracts are on the tape. The vast majority have crossed at the bid price, and volume outstrips open interest, suggesting these bets are being sold to open. In other words, the traders are convinced the shares will maintain their perch atop $14 through the close on Friday, Dec. 19, when the soon-to-be front-month options expire.
Looking at the charts, since July 2013, InvenSense Inc (NYSE:INVN) has ended a week south of $14 just once -- last Friday. As such, delta on the December 14 put is negative 0.31, representing a less than 1-in-3 chance the option will be in the money at options expiration.