Calls In Play as Cree, Inc. (CREE) Rallies

Cree, Inc. call volume has soared to nine times the intraday average

Dec 23, 2014 at 11:01 AM
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Cree, Inc. (NASDAQ:CREE) is up 2.4% this morning to trade at $32.90, and options traders are responding in kind. In fact, calls are crossing the tape at a rate nine times the intraday average, and are outpacing puts by a more than 3-to-1 margin. Short-term contracts are in high demand, too, as evidenced by CREE's 30-day at-the-money implied volatility, which has jumped 6.8% to 51.9% -- in the 82nd percentile of its annual range.

Drilling down, the equity's January 2015 33-strike call has seen the most action, and according to Trade-Alert, a number of these positions were bought to open. Amid today's pop, delta on the call has risen to 0.51 from 0.41 at last night's close, implying a greater probability the option will be in the money at the close on Friday, Jan. 16 -- when front-month options expire.

From a wider sentiment perspective, today's accelerated call activity marks a change of pace in CREE's options pits. At the International Securities Exchange (ISE), Chicago Board Options Exchange (CBOE), and NASDAQ OMX PHLX (PHLX), the equity's 10-day put/call volume ratio of 2.69 ranks just 3 percentage points from an annual bearish peak.

Echoing this is the security's Schaeffer's put/call open interest ratio (SOIR) of 0.83, which ranks higher than 92% of similar readings taken in the past year. Simply stated, short-term speculators have rarely been as put-heavy as they are now.

Looking at the charts, the withstanding trend toward puts aligns more accurately with CREE's technical showing. Year-to-date, the equity has surrendered more than 47% of its value. More recently, Cree, Inc. (NASDAQ:CREE) has underperformed the broader S&P 500 Index (SPX) by north of 26 percentage points over the past 60 sessions.

 

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