Regeneron Pharmaceuticals, Inc. (REGN) Option Buyers See Higher Highs

Regeneron Pharmaceuticals Inc (REGN) is assailing new heights, attracting a fresh crop of option bulls

by Andrea Kramer

Published on Mar 16, 2015 at 12:35 PM
Updated on Jun 24, 2020 at 10:16 AM

Regeneron Pharmaceuticals Inc (NASDAQ:REGN) is blazing up the charts, similar to sector peers Valeant Pharmaceuticals Intl Inc (NYSE:VRX) Celgene Corporation (NASDAQ:CELG). REGN was last seen 4% higher at $446.70 -- and earlier tagged a fresh all-time high of $449 -- thanks to encouraging stats on praluent, its cholesterol drug with Sanofi SA. Against this backdrop, and with REGN north of a familiar roadblock in the $438-$440 neighborhood, option players are rushing to place bullish bets on REGN.

REGN calls are trading at four times the average clip at midday, and have more than doubled puts thus far. Front-month calls are particularly popular, with potential buy-to-open activity detected at the March 445, 450, and 455 calls -- the three most active strikes. By purchasing the calls to open, the buyers expect REGN to muscle north of the strikes by the close on Friday, when the options expire.

In light of REGN's rally, delta on the calls has skyrocketed. The now in-the-money March 445 call sports a delta of 0.55, compared to 0.19 at Friday's close, implying a 55% chance of expiring in the money. Delta on the March 450 and 455 calls has jumped to 0.43 and 0.31, respectively, from 0.12 and 0.067.

Leading into Regeneron Pharmaceuticals Inc's (NASDAQ:REGN) drug data, option buyers were initiating bullish bets. On the International Securities Exchange (ISE), Chicago Board Options Exchange (CBOE), and NASDAQ OMX PHLX (PHLX), the stock's 10-day call/put volume ratio of 1.36 sits in the 73rd percentile of its annual range, pointing to a healthier-than-usual appetite for long calls over puts of late.

Daily Chart of REGN since October 2014

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