BSX - Boston Scientific Company – Shares at the medical device maker slumped to a five-month low this morning despite reporting a return to profitability albeit on underwhelming revenues and predictions for more of the same. Shares fell 15.7% to $8.58 and stand 27% lower than a 52-week high made at the end of August. Option volume today of 58,000 contracts is five times the usual average and counting. However, we did note some activity that indicates investors do not feel ultra-bearish on the prospects for the company's share price looking forward. The November 9 strike put options were the single-most trafficked contract and there appeared to be a willingness to write puts rather than buy them. Volume of 4,700 changed hands throughout the day with investors exchanging premiums of anywhere from 30 to 75 cents. At worst they see shares falling no further than $8.25 by expiration. Those options in Monday's session were priced at just a dime. Volatility on the options did decline a little after earnings to 41%.
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VMED - Virgin Media, Inc. – Shares of the telecommunications company added 2% to $14.71 today, perhaps prompting one option trader to bank gains on a previously established bullish position. It appears the investor originally purchased 11,000 calls at the January 12.5 strike for an average premium of 1.03 per contract on August 26, 2009. Today, the trader sold the calls for about 1.36 apiece. Net profits on the sale amount to approximately 33 cents for a total of $363,000. The investor also rolled the call position to a higher strike to position for further upward movement in the price of the underlying shares. The trader paid an average of 1.12 per contract to establish an 11,000-lot call position at the higher January 15 strike. Additional profits may be available to the investor if shares of VMED rally at least 10% to surpass the breakeven price of $16.12 by expiration day in January.
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SPY - SPDR Trust Series – It's that time of the year when options positions have to be adjusted once again. And it was deja-vu all over again for the world's biggest options trade as one institutional investor once again sought to maintain a huge protective option combination into the March contract. The trade involved a total of 720,000 put options with the investor trading in a December ratio put position for a fresh bearish look at the March contract. The investor was long 120,000 December 95 puts and short 240,000 December 82 puts. In July implied volatility was running much higher than today's VIX reading of 21.45.