In front of this afternoon’s earnings, RIMM option flow is running 5x the usual pace, with 70,000 contracts trading as shares trade down 45 cents near $74.46. April 80 calls are the most active, with 8000 trading and several sweep sellers collecting $1.80 down to $1.58 for a few thousand contracts. April 80 calls have been the most active since March expiry, with nearly 100,000 contracts trading and a doubling of open interest to nearly 44,000 contracts as of this morning. April atm IV of 55% vs May of 41% suggests traders pricing in a gap move near $6, comparable with the $8 move experienced in December.
About the Author (Author Profile)
Henry Schwartz is the president of Trade Alert LLC, a provider of real-time options analysis tools to leading Wall Street firms. His systems analyze hundreds of thousands of transactions per second to help professionals identify and interpret market activity in real time, supporting informed trading decisions and intelligent idea generation. He has held institutional trading and management roles with Bank of America, Bear Stearns, Salomon Brothers and the Hull Group, and made markets on the CBOE and AMEX floors in the US, and EUREX and MONEP overseas. Prior to founding Trade Alert, he led the electronic market-making group at Bank of America coincident with the launch of the International Securities Exchange. He received his bachelor’s degree in Economics from the University of California, San Diego and his MBA from NYU’s Stern School of Business.