VRX puts are hot after a chilling Citron Research report
Valeant Pharmaceuticals Intl Inc (NYSE:VRX) shares are plummeting -- and were temporarily halted -- on a devastating short-seller report. The stock was last seen roughly 24% lower at $111.50, and earlier touched a two-year low of $98.35. Against this backdrop, the stock has landed on the short-sale restricted list, and option bears are blitzing the biotech.
At last check, roughly 65,000 VRX puts have changed hands -- 10 times the average intraday put volume, and nearly twice the number of VRX calls exchanged. The equity's 30-day
at-the-money implied volatility has spiked to a fresh 52-week high of 144.70%, more than doubling from yesterday's close.
Most popular thus far is the weekly 10/23 95-strike put, which has garnered a healthy amount of what looks like
buy-to-open action. By purchasing the puts at a volume-weighted average price (VWAP) of $3.94, the buyers will make money if VRX sinks beneath $91.06 -- territory not explored since mid-2013 -- by Friday's close, when the options expire. Delta on the put sat at zero yesterday -- when the contract was even deeper out of the money -- but has surged to negative 0.23 today, implying a 23% chance of expiring in the money.
Even before today, Valeant Pharmaceuticals Intl Inc (NYSE:VRX) was
under fire for its drug pricing. As alluded to earlier, the equity's foray into double-digit territory today was prompted by a report from Citron Research --
"Valeant: Could this be the Pharmaceutical Enron?" -- which accused the company of fraud and a "cover up."