Pandora Media options volume is heavy in front of this afternoon’s earnings, with nearly 11,000 contracts trading, 8x normal pace, as shares trade down 3% near 14.18 in spot volume double the normal level. Like yesterday, calls dominate the action, with March 16s leading the list and buyers paying a VWAP of 53cents. Interestingly these calls were most active yesterday, when 6300 contracts were opened and buyers were paying paying 40cents vs 14.31 stock. Today, with stock lower, the IV has lifted to compensate for the delta (and theta) and the calls are higher. Data show the 14 straddle is trading around 2.10 and the implied std deviation for the earnigns reaction is nearly 17%, for a 1sigma range of $12 to $17 after the news comes out tonite.
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.