Options play: Twitter volatility slides

Following an awkward earnings report shares in social media company Twitter (Ticker: TWTR) have fallen by 12% to $37.56 with the typical post-earnings burst of pumped-up volatility readings. Option volume on Twitter is among the most active at the start of trading with volumes reaching 45,000 within the first 12 minutes.

The first contract to exceed 1,000 contracts was Friday’s weekly expiring put at the 35.0 strike where ahead of yesterday’s close investors had amassed just 6,100 positions. Despite shares in Twitter closing at $42.60 on Tuesday, concerned investors boosted the premium on the 35.0 strike put option to as high as 1.00 last week. So far 3,600 puts at the strike have traded while volume is picking up at the 34 strike as investors consider the potential for further declines ahead of the weekly expiration. Overall implied volatility has fallen by around one-quarter to 62.5% while the puts listed above are trading with volatility readings of around 100%. 

Bearish plays outweighed bullish call activity by around 30% in early trading. 


 

Twitter implied volatility tumbles, while nearby weekly expiration remains high.

About the Author
Andrew Wilkinson

Andrew is a seasoned trader and commentator of global financial markets. He worked for several London-based banks trading cash and derivatives before moving to the U.S. to attend graduate school. Andrew re-joins Interactive Brokers following a two-year stretch at a major Wall Street broker-dealer as their Chief Economic Strategist. His coverage of stocks, options, futures, forex and bonds regularly surfaces in global media, and over the last several years Andrew has made many TV appearances on Bloomberg, BBC, CNBC and BNN and Yahoo Finance.

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