Implied volatility in the options on Tyson Foods (TSN) is up sharply on unconfirmed reports the USDA has identified cases of mad cow disease. The talk has triggered volatile reactions in a number of names including WEN, MCD, PPC, DF, MOO and also in the live cattle futures market. TSN shares tumbled to low of $17.3 on heavy volume, but was recently up 15 cents to $17.81. Options volume is running 19X the daily average. May 18 puts, which were out-of-the-money before the chatter made the rounds, are the most actives. 6,400 traded. May 17 puts and 18 calls are the next most actives in TSN and 30-day ATM implied volatility jumped 28.5 percent to 33.
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.