Unusual Covered Call Opportunity Teva Pharmaceuticals

According to Options and Volatility, shares of Teva Pharmaceuticals

saw unusually high options activity on Monday. Notably, the August 60 calls traded 4,939 contracts versus only 360 open interest. The September calls were also active, with the September 60, 62.50 and 65 calls seeing above average volume. In addition to the increased volume, the implied volatility on the August 60 calls rose dramatically, moving from 23.45 on Friday's close to 25.46 on the close today, an increase of 8.5 percent. This set up a covered call opportunity, buying shares of TEVA and selling a August 60 call for each 100 shares purchased. Options and Volatility noted this captures a 1.92 percent edge and positions bullishly along with the large call buyer. The July 40 calls have a delta of 47, while the covered call position has a slightly more bullish delta of 53. Shares of TEVA closed at 59.37, up 0.78 percent, while the S&P 500 dropped 2.04 percent. Disclosure: The author had a long position in TEVA at the time of publishing.