Implied Volatility Mover
Implied volatility in the options on Orexigen Therapeutics (OREX) is moving higher ahead of the company’s analyst day. Shares added 26 cents to $5.35 and options volume on the stock is running 5X the daily average ahead of the event. 2,220 calls and 60 puts traded on the ticker. The January 5 calls on the biotech are seeing the bulk of the action. 1,900 traded. Meanwhile, 30-day implied volatility in OREX is moving up 12.5 percent to 72.
Volume Signals
iShares Emerging Markets Fund (EEM) options volume is running 4.5X the (22-day) average, with 923,000 contracts traded and call volume accounting for 93 percent of the volume.
iShares MSCI Fund (EFA) options volume is 12X, the average daily, with 658,000 contracts traded and call volume representing 96 percent of the activity.
Sandridge Energy (SD) options volume is running 2.5X the average daily, with 91,000 contracts traded and put volume accounting for 70 percent of the activity.
Increasing options activity is also being seen in Clearwire (CLWR), SPDR Oil and Production Fund (XOP), and NRG.
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