Implied volatility and volume increased in options on Silicon Graphics on Monday, with some indications traders were taking bullish positions.
Implied vols rose to about 86 percent in the June 12.5 calls and to 93 percent in the puts, well above Friday's 67 percent level, said Paul Foster, strategist with 1010WallStreet.com.
In the last month, implied vol has typically ranged between 64 and 69 percent. The one-month historical volatility of the stock is about 38 percent.
Implied vols in the July and August options made similar gains, rising to around 80 percent in the 12.5 calls.
Volume also increased, with the August 15 calls rising 11/16 to 1-3/8 on volume of 2,304 and open interest of 1,604. The August 12.5 calls gained 15/16 to 2-3/8 on turnover of 1,494 and open interest of 592.
Although time-and-sales did not indicate spreads, market markets may have legged in bull spreads in anticipation the stock will rise further, said Michael Schwartz, chief options strategist, CIBC Oppenheimer.
In a bull call spread, traders would sell the higher strike to bring in premium to finance the purchase of a lower strike.
He also noted the large volume relative to open interest in some strikes indicated positions were being opened.
''My inclination is since the stock is up today, it is somebody putting on bull spreads,'' said Schwartz, ''They're bullish on the stock.''
''We've been discussing this...before,'' added Foster. ''I don't have an angle on this. It's not an earnings issue.''
Silicon Graphics shares ended up 1-6/16 at 13-3/16 on volume of 2.2 million shares. |
