Analyzing Options Activity Part 2

Analyzing Options Activity Part 2


What does the options analysis tell us about BIIB?


In this video we took a deeper look into the options activity in BIIB. The first interesting thing we noticed is that the implied volatility had a significant increase from one expiration to the next. This indicates that options traders are expecting an upcoming catalyst event that can have a huge impact on the stock price. We noticed that the marketchameleon system picked up 2 future events with potential market moving impact. There is an investor annual meeting and PDUFA date that cover an options expiration with 8 trading days. 


Option Volume and Open Interest


There has been an increase in option volume and open interest in recent history. We brought up graphical representation to visually spot the concentration of option trading and open interest by option contracts expiration and strike prices. 


Implied Volatility Skew


The implied volatility skew in BIIB revealed option traders are placing more skew to upside calls relative to downside puts. The takeaway is that the upcoming catalyst event can be as dramatic or more to the upside than downside.


Straddle Premium


With 8 days to expiration, the BIIB straddle is implying a 22% move according to the option premium.   We used the stock price action analysis tool to run a test how often in history the stock moved by 22% or more over an 8 day period.