Implied Volatility Mover and Volume Signals for Wednesday, January 2, 2013
Implied Volatility Mover
Implied volatility in the options on Zipcar (ZIP) is down sharply on news Avis Budget has made a $12.25 per share cash offer for the company. The stock is zipping $3.98 per share higher to $12.22 on surging volume of 9.9 million shares and is within three cents of the takeover offer price. Meanwhile, 11,000 calls and 4,400 puts traded on the auto rental company so far. February 12.5 calls and May 10 puts are the most actives, and 30-day implied volatility has plummeted 68 percent to 19.
Volume Signals
Agilent (A) options volume is running 7.5X the (22-day) average, with 27,000 contracts traded and call volume accounting for 97 percent of the volume.
Western Digital (WDC) options volume is 2X, the average daily, with 17,000 contracts traded and call volume representing 90 percent of the activity.
Hess (HES) options volume is running 2.5X the average daily, with 17,000 contracts traded and call volume accounting for 62 percent of the activity.
Increasing options activity is also being seen in Pulte Group (PHM), International Paper (IP), and Dynegy (DYN).
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