Implied Volatility Mover
Implied volatility in the options on Cisco Systems (CSCO) is dropping in the wake of the company’s earnings report. Shares are up $1.07 to $17.92 in heavy trading of more than 60 million shares after results topped Street expectations. Meanwhile, 140,000 calls and 95,000 puts traded on the networking giant, which is 2.5X the daily average volume. November 18 puts and calls are the most actives in CSCO. Some investors are possibly liquidating positions in these near-the-money options on the heels of the pop in the stock. Meanwhile, 30-day implied volatility in CSCO options drops 48 percent to 22.5, compared to a 52-week range of about 18 and 43.5.
Volume Signals
Cisco Systems (CSCO) options volume is running 2.5X the (22-day) average, with 234,000 contracts traded and call volume accounting for 40 percent of the volume.
Abercrombie & Fitch (ANF) options volume is 6X, the average daily, with 78,000 contracts traded and call volume representing 64 percent of the activity.
Tyco (TYC) options volume is running 5.5X the average daily, with 43,000 contracts traded and call volume accounting for 96 percent of the activity.
Increasing options activity is also being seen in Mosaic (MOS), Sequenom (SQNM), and Sony (SNE).
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