Implied volatility in RIM options is moving back towards the 2012 highs, as shares fall to their lowest levels since late-2003. The Blackberry-maker is under fire today, falling 77 cents to $9.09 on heavy turnover of 27 million shares, after Morgan Stanley downgraded the stock to UnderWeight from Equal Weight. Investors are also digesting a report out today suggesting that RIM might break apart its handset and messaging businesses — Sunday Times. Trading in RIMM options has been very busy. 86,000 calls and 120,000 puts so far. July 10 puts are the most actives and are likely seeing some liquidating trades, as the contract is now in-the-money and has more than 60,000 contracts in open interest — which is the largest in the RIMM options. Other players appear to be taking fresh positions in July 8 puts. Bottom-fishers are possibly driving the flow in the Weekly 10 and 11 calls, which have both traded more than 10,000 contracts. At the same time, 30-day ATM implied volatility in RIMM options is up 28 percent to 79.5 and not far from the 2012 high of 82 set on March 29. Earnings come into focus Thursday afternoon.
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.