Imperva Inc (IMPV) Calls Hot On Sale Speculation

Imperva Inc (NYSE:IMPV) is rallying today on reports the company is exploring strategic options

by Karee Venema

Published on Jul 11, 2016 at 11:53 AM
Updated on Jun 24, 2020 at 10:16 AM

Imperva Inc (NYSE:IMPV) call volume has jumped to six times what's typically seen at this point in the day, and is in the 99th percentile of its annual range. Drilling down, the majority of the action has centered at IMPV's July 45 call. However, with IMPV stock up 11.8% at $50.06 on reports the cybersecurity firm is exploring strategic options at the encouragement of its new shareholder -- including a possible sale -- it looks like a number of speculators are selling to close their now in-the-money calls ahead of this Friday's expiration.

More broadly speaking, this accelerated call activity is nothing new in IMPV's options pits. Amid relatively low absolute volume, the stock has racked up a top-heavy 10-day call/put volume ratio of 12.50 at the International Securities Exchange (ISE), Chicago Board Options Exchange (CBOE), and NASDAQ OMX PHLX (PHLX). What's more, this ratio ranks in the 78th annual percentile, meaning calls have been bought to open over puts at a near-annual-high clip.

Echoing this call-skewed backdrop is IMPV's Schaeffer's put/call open interest ratio (SOIR) of 0.34. Not only does this show that calls nearly triple puts among options expiring in three months or less, but it ranks lower than 93% of all comparable readings taken in the past year. In other words, short-term speculators have rarely been as call-heavy toward the stock as they are now.

Outside of the options arena, short interest jumped nearly 16% in the latest reporting period, and these bearish bets now account for a healthy 7.9% of the stock's available float. As such, it's entirely possible that some of the recent call buying -- particularly at out-of-the-money strikes -- is a result of shorts hedging against any upside risk.

Technically, the stock has been a long-term laggard, down 26% year-over-year. However, since plunging to an annual low of $31.11 on May 6, the shares of Imperva Inc (NYSE:IMPV) have bounced 61%. Plus, thanks to today's surge, IMPV stock has effectively filled this early May bear gap.

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