Call Players Bombard Celldex Therapeutics, Inc. (CLDX) on Upbeat Data

Call volume has exploded on Celldex Therapeutics, Inc. (NASDAQ:CLDX) after the biotech announced positive data for its experimental brain cancer vaccine

Nov 23, 2015 at 11:20 AM
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New Jersey-based biotech stock Celldex Therapeutics, Inc. (NASDAQ:CLDX) typically flies under the radar of most options traders, with average daily volume for CLDX amounting to fewer than 1,600 calls and puts. However, speculative activity on CLDX has spiked today, with call volume already ramping up to 2,460 contracts -- six times the expected intraday norm.

The most active strike is CLDX's December 17 call, where 323 contracts have traded. The largest block consisted of just 50 contracts, indicating that small players are responsible for most of the action in CLDX's options pits today. That 50-contract block of December 17 calls traded near the ask price, suggesting they may have been bought.

Meanwhile, CLDX options have gotten pricier across the board lately. Trade-Alert data pegs the stock's 30-day at-the-money implied volatility at 82.5%, in the 90th percentile of its annual range. In other words, options players are pricing in higher-than-usual volatility expectations for CLDX -- and buyers are shelling out for higher option premiums, as a result.

And today's big price move hasn't dampened volatility expectations, with CLDX up 12.6% at $18.23 on the heels of Friday's upbeat brain cancer vaccine data. The stock is now trading at its highest point since its post-earnings Aug. 11 bear gap, cementing a recent breakout above resistance at its 80-day moving average.

Today's rally in Celldex Therapeutics, Inc. (NASDAQ:CLDX) is likely being aided by some short-covering activity. Short interest accounts for 18.6% of the stock's float, representing 7.4 times CLDX's average daily trading volume.


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