(REUTERS) U.S. OPTIONS/Dell vols rise ahead of earnings
U.S. OPTIONS/Dell vols rise ahead of earnings
CHICAGO, Feb 9 (Reuters) - Implied volatility on Dell
Computer Corp. <DELL.O> options edged higher in active trading
on Tuesday as traders looked ahead to the group's fourth
quarter results, due on February 16.
Implied volatility, a key factor in determining options
prices, jumped to around 94 percent for the February
at-the-money contract from about 80 percent on Monday and from
an average of around 63 percent during the past month.
"Earnings aren't out until next week. This spike (in
volatility) is sooner and greater than you'd expect. Maybe the
Street is looking for a disappointment in growth or something,"
said Paul Foster, investment strategist and editor of
1010WallStreet.com.
According to a First Call survey of 31 brokers, the mean
estimate was for a per share profit of $0.31. Estimates ranged
from $0.28 to $0.33 per share.
The stock was down 4-3/16 to 99-7/8 at 1041 CST/1641 GMT on
volume of 12.6 million shares, making it the most actively
traded stock on the Nasdaq.
Larry McMillan, president of options advisory group
McMillan Analysis, noted that there was some speculation of a
stock split, which also could have contributed to the rise in
options volatility.
On the American Stock Exchange, where Dell options are
exclusively listed, the February 110 and 105 calls were the
most actively traded, with combined volume of almost 6,700
contracts. The February 100 and 85 puts also drew strong
interest, registering trading volume of more than 4,300
contracts.
Elsewhere, implied volatility on Bankers Trust <BT.N>
options rose only slightly with the stock down 2-3/16 to
85-1/2.
The stock fell under pressure following reports quoting
Deutsche Bank AG <DBKG.F> chief executive Rolf Breuer as
warning in a German television interview that its takeover of
BT would not make economic sense if it was delayed too long.
"Arbs own the (BT) stock and they can't sell it $2 in the
hole without more concrete information," Foster said.
"You'd think they might buy puts to protect themselves....
The market must be optimistic that the deal will go through,"
he added.
((Debra Sherman, Chicago Derivatives Desk 312-408-8750,
chicago.derivatives.newsroom@reuters.com))
REUTERS
*** end of story *** |
