Option traders were clearly not set-up for a more than 30% surge in shares of Kraft (Ticker: KRFT) following a deal to merge the company with Heinz (Ticker: HNZ) to create The Kraft Heinz Co. On Tuesday, shares in Kraft closed at $61.33. Established bullish positions expressed through call option open interest at out-of-the-money strikes with a range from 62.5 to 75 was just 55,000. The most heavily-trafficked strike price is the 67.5, of which 86% of the total open interest of 23,600 call options expire in June.
Notably, total option open interest at the 80.0 and 85.0 strikes straddling the pre-market trading price of $82.38, is a meager 370 contracts. September expiration call options at the 80.0 strike closed on Tuesday at just a nickel and traded up to 4.00/5.20 during the first 30 minutes of the trading session with shares in Kraft up 32.25% at $81.12 as of 9:50 am ET.
Chart shows scant call positioning above $80.0 ahead of deal