Unusual Covered Call Opportunity In Cablevision Systems
According to Options and Volatility, shares of Cablevision Systems Corporation (NYSE: CVC) saw unusually high options activity on Thursday and Friday. Notably, the December 30 calls traded 4,075 contracts versus only 22 open interest on Thursday, with 212 contracts trading on Friday.
In addition to the increased volume, the implied volatility on the December 30 calls rose dramatically, moving from 33.68 on Wednesday's close to 40.42 on the close Friday, an increase of nearly 20 percent. While the stock dropped 0.34 over the two-day period, the December 30 calls actually increased 0.25 in that time frame, due to the heightened buying pressure. This set up a covered call opportunity, buying shares of CVC and selling a December 30 call for each 100 shares purchased.
Options and Volatility noted this captures a 1.46 percent edge and positions bullishly along with the large call buyer.
The December 30 calls have a delta of 38, while the covered call position has a somewhat more bullish delta of 62.
Disclosure: The author has no position in CVC at the time of publishing.
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