Most Active Options: Citigroup and JPMorgan Chase

Short-term option traders are positioned differently on Citigroup Inc (NYSE:C) and JPMorgan Chase & Co. (NYSE:JPM) ahead of earnings

Jan 12, 2016 at 1:57 PM
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The 20 stocks in the table below have attracted the highest total options volume during the past 10 trading days. Names highlighted are new to the list since the last time the study was run, and data is courtesy of Schaeffer's Senior Quantitative Analyst Rocky White. Two names of notable interest are financial giants Citigroup Inc (NYSE:C) and JPMorgan Chase & Co. (NYSE:JPM).

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Short-term ​option traders have been unusually call-focused on C. The stock boasts a Schaeffer's put/call open interest ratio (SOIR) of 0.74, with calls outstripping puts among options with a shelf-life of three months or less. What's more, this ratio ranks below 72% of all others from the past year. Echoing this, traders have bought to open nearly twice as many calls as puts during the past two weeks at the International Securities Exchange (ISE), Chicago Board Options Exchange (CBOE), and NASDAQ OMX PHLX (PHLX), per C's 10-day call/put volume ratio of 1.93.

Based on this bullish betting, expectations are high ahead of the financial firm's fourth-quarter earnings report, set for release this Friday morning. And why shouldn't they be? Looking back eight quarters, C has advanced six times in the session subsequent to reporting. On average, these gains have been about 3.4%.

More generally, though, Citigroup Inc has struggled on the charts. The shares are off 0.2% today at $46.75, and since notching a November high of $56.46, they've given back over 17%.

Meanwhile, short-term JPM option traders are bearishly aligned. The stock's SOIR of 1.15 sits just 2 percentage points from an annual peak. Today, however, the January 2016 59.50- and 62-strike calls are seeing buy-to-open activity, as traders wager on gains by week's end, when the series expires.

Ahead of expiration, JPM will report earnings -- specifically, this Thursday morning. Volatility expectations are elevated heading into the event. During the past eight quarters, the stock has averaged a post-earnings move of 2.1%, but according to near-term at-the-money straddle data, a more ambitious swing of 3.7% is expected this time around.

Technically speaking, JPMorgan Chase & Co. has had a forgettable start to 2016. The shares are currently down 0.7% at $58.44, and have given back 11.5% of their value year-to-date.

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