Active trading in Intel calls ahead of earnings
Active trading in Intel calls ahead of earnings. The stock up 3% to $49.42 amid broader gains in the chip sector and 10K Feb 52.5 calls print 46c this morning, then another 10K lot for 51c midday. Nearly 37K now traded at that strike and the interest comes after 14.1K opened yesterday, resulting in 55.8K OI and the largest in the name. More than 19k Mar 52.5 calls also changed hands Thursday. Jan 25th 50, Apr 55, and Feb 50 calls are next most active. Total volume is 3X daily average and lopsided nearly 3:1 at 200K calls and 75K puts. 30-day implied volatility down 8% to 23, while the Jan 25th at-the-money straddle, which expires the day after today's earnings, equals 4.5% of spot, a number that matches the 4.5% average daily post-earnings move of the previous eight quarters.