TD – Option volume in Toronto Dominion-Bank, Canada’s second-largest bank and the recent acquirer of New Jersey lender Commerce Bancorp Inc., accelerated to 12 times the normal level today. Implied volatility rose 28% to top 35%, making it one of the day’s top implied volatility gainers, as shares declined 2% to $65.59 on speculation in the market that Toronto Dominion may be facing a substantial writedown. Traders sought fresh positions in January puts, possibly looking to bear put spreads involving the sale of puts at the 60 strike, which is currently pricing in just a 15% likelihood of landing probability, and buying puts at the 65 strike.
CROX - Shares in squishy, novelty shoe maker Crocs (CROX) lost 14% today to trade at $28.16 heading into the close - compounding a 50% decline in its share price since October. The catalyst behind the slide – and concomitant 21% gain in implied volatility to 102.4% - appears to be a story appearing over the weekend in the Rocky Mountain News daily, which reported that the Colorado-based company instituted mandatory vacation time for its workers in late December because of a slowdown in business. With nearly 96,000 options in action today, Crocs also rated among the most actively traded tickers on our platform. Fresh positioning in the front month contract appeared to favor fresh strangle buying between the 27.50 and 32.50 strikes in anticipation of continued share price volatility for the duration of the month. Calls at the January 35 level traded to buyers and sellers more than 5,000 times despite the value of this position coming off 33% overnight.
CLX – A report in the New York Times this week reported that household chemicals giant Clorox will use its recent acquisition of organic body products maker Burt’s Bees as a platform for the launch of “greener” products and practices. Options trading in Clorox quickly accelerated to 3 times the average volume by noon as its shares pulled off a .46% gain on the session to $63.73. Implied volatility also posted an abrupt increase, up 19.5% to 22.45%. Today’s volume appeared concentrated in February 65 puts, which were shorted at around $2.40-2.45 in possible anticipation of more upside in the month of February for Clorox – possibly a bullish read on the current zeitgeist for environmentally gentler chemicals. Call positions in Clorox already outweigh puts according to open interest by a factor of 1.4.
ZMH - Our market scanners detected an overnight tripling of volume in Zimmer Holdings (ZMH), the maker of reconstructive orthopedic surgical implants. Shares in the company read 3% higher this afternoon at $68.56 – an 8% premium on its 52-week low.
