Shares of KeyCorp (KEY) are trading down .12 today to $8.45.? KEY is trading .5 off of the highs of the year.
A large call/roll combination traded in KEY on Dec/Mar 8 calls and Mar 7 puts.? The call roll traded for? .45/.72 with the puts trading for .10.? A block volume today in the strikes totaled 25,270 contracts, while average contract volume is over 4,000 contracts per day for the name.? Open interest is over 30,000 contracts in the Dec and 18,000 contracts in the Mar strikes.? The implied volatility is up 1% in Mar suggesting the trade was vega neutral. The paper looks to be rolling this combination (long call and short put) with the Dec 7 puts expiring worthless based on the executing prices.
30-day implied volatility is 30%. 10-day implied volatility is 20%.? 30-day implied volatility is trading over the 10-day.
KeyCorp is a bank holding company for KeyBank National Association (KEY).