Groupon Inc (GRPN) calls are hot, even as the stock sinks
Groupon Inc (NASDAQ:GRPN) is extending yesterday's slide, down 1.8% at $5.92, after the firm said Chief Financial Officer Jason Child is hitting the bricks, reiterated its full-year guidance, and increased its stock buyback plans. Still, option traders are once again rolling the dice on a short-term bounce for the mass coupon concern.
GRPN calls have changed hands at twice the average intraday clip, and have more than tripled puts thus far. It seems traders are buying to open the weekly 6/5 6-strike call, to gamble on a bounce north of $6 by Friday's close, when the options expire. In light of GRPN's slide, delta on the call has dropped to 0.37 from 0.56 at last night's close, reflecting the decreasing odds of expiring in the money.
Short-term traders can wager on GRPN at a relative discount, though. The security's Schaeffer's Volatility Index (SVI) of 37% stands lower than just 3% of all other readings from the past year, and its 30-day at-the-money implied volatility of 37.2% is lower than just 5% of similar readings from the past 12 months. On the other hand, the stock's Schaeffer's Volatility Scorecard (SVS) of 2 indicates that GRPN has tended to make undersized moves over the past year, relative to what the options market has priced in.
Groupon Inc (NASDAQ:GRPN) has now given up 7.2% so far this week, and is on pace for its lowest close since late October. As such, the equity's 14-day Relative Strength Index (RSI) now sits at 26 -- in oversold territory.