Bears Keep Flocking to Abercrombie & Fitch Co. (ANF)

Abercrombie & Fitch Co. (ANF) put buying has been popular of late

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Published on Jan 9, 2015 at 11:01 AM
Updated on Apr 20, 2015 at 5:32 PM

Abercrombie & Fitch Co. (NYSE:ANF) lost 0.8% yesterday, despite a broad-market rally, and put traders responded in force. The contracts crossed at an 82% mark-up to the usual intraday rate. Against this backdrop, the stock's 30-day at-the-money implied volatility popped 2.7% to 47.2%, indicating rising demand for short-term strikes.

Most active was ANF's January 2015 29.50-strike put, which saw buy-to-open activity. These speculators are banking on the shares continuing to descend south of $29.50 through next Friday's close, when the front-month options expire.

Taking a step back, this put-buying trend is business as usual. During the last 10 weeks at the International Securities Exchange (ISE), Chicago Board Options Exchange (CBOE), and NASDAQ OMX PHLX (PHLX), ANF has racked up a put/call volume ratio of 1.65 -- in the 71st percentile of its annual range.

Option bears are in luck this morning, as ANF is following sector peer Gap Inc (NYSE:GPS) lower, off 2.3% at $28.45. In fact, delta on the aforementioned put has moved to negative 0.65 from negative 0.53 at Thursday's close, signifying a higher probability of an in-the-money finish.

No matter what happens in the next week, though, one thing's for sure -- short-term Abercrombie & Fitch Co. (NYSE:ANF) options are costly right now. The stock's Schaeffer's Volatility Index (SVI) of 65% sits at the top of its annual range.

Daily Chart of ANF since August 2014


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