Someone is looking for volatility to pick up in ZioPharm
optionMONSTER's tracking systems detected the purchase of 2,469
January 5 puts for $0.80 against open interest of just 63
contracts. Several large blocks of shares were purchased shortly
after, apparently creating a so-called
and stock at the same time makes the investor directionally neutral
on the drug developer. They stand to profit, however, from
increasing because that will inflate the value of the options.
Using long-dated contracts increases the sensitivity to the change
because they have a
. (See our
He or she is probably looking forward to results from the ongoing
Phase 3 trials of ZIOP's Palifosfamide cancer drug. Option premiums
often increase as the market anticipates such data, which can make
or break a company's future. Implied volatility currently stands at
57 percent versus its 38 percent historical propensity to move.
The shares rose 4.29 percent to $5.59 yesterday. It reported
quarterly results after the bell, but earnings usually don't matter
for a development-stage companies like ZIOP.
The delta-neutral trade pushed total option volume in the name to 9
times greater than average.
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