Unusual Covered Call Opportunity Level Three Communications

According to Options and Volatility, shares of Level Three Communications

saw unusually high option volume today. Notably, the August 60 calls traded 22.556 contracts versus only 1.035 open interest, indicating that this was fresh buying. In addition to the increased volume, the implied volatility on the August 60 calls rose sharply, moving from 31.27 on Friday's close to 43.51 on the close today, an increase of nearly 38 percent. The stock rose 1.12 today to 54.16, while the August 60 calls rose 0.75, nearly keeping pace with the price of the stock. This set up a covered call opportunity, buying shares of LVLT and selling a August 60 call for each 100 shares purchased. Options and Volatility noted this captures a 3.86 percent edge and positions bullishly along with the large call buyer. The December 60 calls have a delta of 28, while the covered call position has a slightly more bullish delta of 72. The author had no position in LVLT at the time of publication.