Implied Volatility Mover
Implied volatility in the options on mortgage insurance company MGIC (MTG) is elevated, even after the company reported earnings. The stock is up 52 cents, or 17.4 percent, to $3.50 in heavy trading of 16.5 million shares in the wake of the results. Options volume is 17,000 calls and 9,200 puts, which is 4X the daily average for the name. March 3 puts, June 4 calls, and March 3 calls are the most actives and 30-day implied volatility in MTG options is not seeing the typical post-earnings “crush”. Instead, it moved up 3 percent and remains elevated around 88.
Volume Signals
Salesforce.com (CRM) options volume is running 3.5X the (22-day) average, with 54,000 contracts traded and call volume accounting for 54 percent of the volume.
Talisman Energy (TLM) options volume is 6.5X, the average daily, with 41,000 contracts traded and call volume representing 50 percent of the activity.
Decker Outdoor Group (DECK) options volume is running 3.5X the average daily, with 33,000 contracts traded and call volume accounting for 68 percent of the activity.
Increasing options activity is also being seen in SLM, Allstate (ALL), and Tiffany (TIF).
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