Groupon (GRPN) is off $2, or 26.5 percent, to $5.55 on heavy volume of 47 million shares after the company posted better-than-expected EPS numbers, but revenues fell short of expectations. Guidance was in-line. Options on the stock are busy for a second day. 37,000 calls and 51,000 puts so far today. Like yesterday, August 6 puts are the most actives. More than 20,000 traded yesterday at VWAP of 35 cents. 10,795 traded today at 47 cents. It’s likely that some investors were buying yesterday ahead of the news and liquidating today. Although the stock is reeling, there’s been an impressive vol crush in the August term. For instance, IV in the Aug 6 puts approached 300 yesterday ahead of the results, but is down 65 percent to 104 today.
Groupon Implied Volatility Skew Before Earnings
GRPN IV Skew After Earnings
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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.