Options Bulls Blast Volatile Moderna Stock

The stock gained 42.2% last week, despite a pullback on Thursday

Deputy Editor
Mar 2, 2020 at 1:00 PM
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It's been a volatile few days for biotech concern Moderna Inc (NASDAQ:MRNA), which gapped higher early last week following a big breakthrough for its experimental COVID-19 vaccine. The stock wound up gaining 42.2% for the week, despite a pullback on Thursday, as it appears the equity has erased these losses today. In fact, MRNA is now eyeing its highest close on record, up 17.6% to trade at $30.55. 

MRNA March 2

The equity's wild behavior has options players' ears perking up. So far today, 22,000 calls and 2,896 puts have crossed the tape -- three times the intraday average. Most popular are the March 30 and 35 calls. It also appears that positions are being sold-to-open at the 33 call in the same series, according to data from Trade-Alert

This bullish behavior is nothing new for MRNA. In the last 10 weeks, 8.48 calls were picked up for every put at the  International Securities Exchange (ISE), Cboe Options Exchange (CBOE), and NASDAQ OMX PHLX (PHLX). This ratio sits higher than 78% of all other readings from the past 12 months, suggesting a much healthier appetite than usual for long calls of late. 

It should be worth noting that those wanting to get in on this action will have to pay a premium. Moderna's Schaeffer's Volatility Index (SVI) of 151% sits in the 90th percentile of its annual range. This means that near-term options players are pricing in extremely high volatility expectations right now. 

Short sellers have been jumping ship in droves. In the last two reporting periods, short interest has taken a 15% nosedive. There's still plenty of room for a short squeeze to put even more wind at the security's back. The 17.13 million shares sold short represent a solid 7.8% of MRNA's available float, and it would take over three days to buy back these bearish bets. It should be mentioned, however, that Moderna has landed itself on the Short Sale Restricted (SSR) list today. 

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