Players have been sizing up Cisco (CSCO) ahead of earnings. Shares are up one penny to $23.03 and 271,000 options traded so far (178K calls). Feb 24 calls are the busiest. 36K changed hands. Meanwhile, more than 25K April 21 puts traded. The action includes a bullish April 21 – 24 risk reversal (bought April 24 calls, sold April 21 puts), bought at 25 cents, 10000X. Another large spread, a three way, involved the April 24 – 46 call spread and April 21 puts, at four cents, 10400X. It was crossed and tied to shares on a 30 delta. The overall tone of trading seems to reflect expectations for a good report. Meanwhile, a volatility skew between Feb (30.5) and Mar (26.3) hints at a possible 4.1 percent earnings gap move when Cisco reports after the closing bell.
About the Author (Author Profile)
Frederic Ruffy is a well-known trader, writer, and strategist who has spent years educating investors and creating intelligent, insightful, unbiased market observations that are frequently cited by the Wall Street Journal and other financial publications. As senior analyst, Fred provides frequent and regular notes and daily updates for activity of interest.