Wells Fargo (WFC) is off 27 cents to $33 ahead of tomorrow morning’s earnings release and implied volatility in the options on the bank is moving up amid a flurry of call activity in the bank today. 78,000 calls and 39,000 puts so far, a ratio of two-to-one. July 34 calls, which are $1 out-of-the-money and expiring one week after the company reports earnings, are the most actives. The flow includes a 12,460-lot for 30 cents on ISE and is an opening buyer, according to ISEE data. More than 44,000 now traded. At-the-money July and Weekly $33 calls are the next most actives and 30-day ATM vols are moving up 12 percent to 29. Interestingly, however, the Weekly 33 straddle is currently trading at 4 percent of the spot price, which is less than the average daily post-earnings move over the past four quarters (4.6 percent). Shares slipped 3.5 percent to $32.84 on 4/13 when profits were last reported.
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.