Options

Symbols with High Options Volume vs Normal, November 17

Nielsen Holdings plc (NLSN), Expedia Group, Inc. (EXPE) and Zillow Group, Inc. CL C (Z) have unusually high options volume today as compared to their 20 day average volume.

Nielsen reported earnings before the open today and shares plummeted -5.5%. The largest volume option is the above-the-money call expiring in February with 16k contracts changing hands.

Expedia is down 25% today after reporting disappointing earnings last night. The just out of the money calls expiring on tomorrow has traded the most options. 

NLSN EXPE and Z have unusual options volume today.

Nielsen Holdings plc (NLSN) has the highest options volume/20-day average at 11.4x earnings was 2019-11-07

  • 25100 options traded vs normal volume 2200. Calls to puts is 17995 to 7065 for a call-put ratio of 2.5
  • NLSN is trading $18.98 down -5.53% today. The week change is -5.85% and month is -6.36%.
  • 16269 #1 volume $23 strike call delta 0.15 Feb-21 DTE 107 OI 15014 bid-ask $0.2 - 0.35 IV 33.7% (prior $0.4 - 0.7 IV 36.7%).
  • 5233 #2 volume $19 strike put delta -0.48 Jan-17 DTE 72 OI 72 bid-ask $1.1 - 1.25 IV 34.2% (prior $1 - 1.2 IV 42.5%).
  • IV 30-day 41% -16.8%. Put-call strike slope 2.4% +0.9%.

Expedia Group, Inc. (EXPE) is second highest volume today/20 day at 11x earnings is 2019-11-06

  • 59600 options traded vs normal volume 5400. Calls to puts is 34319 to 25287 for a call-put ratio of 1.4
  • EXPE is trading $102 down -24.65% today. The week change is -25.36% and month is -22.46%.
  • 3051 #1 volume $110 strike call delta 0.12 Nov-8 DTE 2 OI 0 bid-ask $0.3 - 0.4 IV 120% (prior $25 - 25.8 IV 178.4%).
  • 2599 #2 volume $100 strike put delta -0.37 Nov-8 DTE 2 OI 20 bid-ask $1.8 - 1.95 IV 131.3% (prior $0 - 0.05 IV 175.6%).
  • IV 30-day 33.6% +4.8%. Put-call strike slope 2.2% -1%.

Zillow Group, Inc. CL C (Z) third highest volume ratio at 5.1x earnings is 2019-11-07

  • 13800 options traded vs normal volume 2700. Calls to puts is 6513 to 7247 for a call-put ratio of 0.9
  • Z is trading $34.09 up 1.37% today. The week change is 4.67% and month is 18.12%.
  • 1286 #1 volume $25 strike put delta -0.03 Nov-8 DTE 2 OI 69 bid-ask $0.15 - 0.2 IV 196.8% (prior $0 - 0.15 IV 259.9%).
  • 20 #2 volume $23 strike put delta -0.01 Nov-8 DTE 2 OI 41 bid-ask $0 - 0.1 IV 0% (prior $0 - 0.1 IV 294.2%).
  • IV 30-day 71.4% -4.7%. Put-call strike slope 0.8% 0%.

Explanation

  • ORATS computes todays total options volume in all tickers with US equity options.
  • The total options volume for each symbol is compared to its average volume for the past 20 days.
  • The tickers with the highest ratio of options volume today to the 20 day average are presented below.
  • Also shown are the 2 highest traded individual options along with implied volatility (IV) and bid-ask prices.
  • The options delta, days to expiration (DTE), open interest (OI), and prior trading days bid-ask and IV are included.
  • The change of the 30 day interpolated IV can help determine if the volume was due to buying or selling of options.
  • The put-call strike slope of the IV can help determine if the trading was in the low strikes versus high strikes.
  • A slope + change can indicate buying in the low strikes relative to the high strikes (or selling high strikes)
  • A slope - change can indicate buying in the high strikes relative to the low strikes (or selling low strikes)

The views and opinions expressed herein are the views and opinions of the author and do not necessarily reflect those of Nasdaq, Inc.

In This Story

NLSN EXPE Z

Matt Amberson

Matt Amberson, Principal and Founder of Option Research & Technology Services. ORATS was born out of a need by traders to get access to more accurate and realistic option research. Matt started ORATS to support his options market making firm where he would hire statistically minded individuals, put them on the floor, and develop research to aid in trading options. He is heavily involved with product design and quantitative research. ORATS offers data and backtesting on a subscription basis at www.orats.com. Matt has a Master’s degree from Kellogg School of Business.

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