Implied Volatility Mover
Implied volatility in options on Sirius Satellite (SIRI) is easing in the wake of the satellite radio company’s earnings report. Shares are up 9 cents to $3.33 on heavy volume of 40 million shares. Meanwhile, 27,000 calls and 1,990 puts traded on SIRI, which is 3X the daily average. September 3.5 calls are the most active. 10,190 traded. May and June 3.5 calls are the next most actives. 3.5 calls on SIRI are now 17 cents, or 5.1 percent, out-of-the-money. Some investors are possibly liquidating positions in the wake of the earnings report and 30-day implied volatility in SIRI is down 5 percent to 25.5.
Volume Signals
Merck (MRK) options volume is running 2X the (22-day) average, with 45,000 contracts traded and call volume accounting for 61 percent of the volume.
Sirius Satellite (SIRI) options volume is 2.5X, the average daily, with 23,000 contracts traded and call option volume representing 92 percent of the activity.
Lowe’s (LOW) options volume is running 2X the average daily, with 21,000 contracts traded and call volume accounting 97 percent of the activity.
Increasing options activity is also being seen in Marvel Tech (MRVL), Western Union (MU), and Apollo Group (APOL).
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