MNTA January option vols through roof. Many put prices have almost doubled while stock up. More volume in Jan and Feb puts than stock at one point.
Jon
I have been asked by PM to explain this and as I do not have PM capabilities, I thought it might be helpful to some (not many, but some) to explain better.
First statement simply meant that the implied volatility in MNTA options pricing had gone up quite a bit. Statement should have said all option volatilities through roof as I assume February probably rose more since it was past the "event horizon" of Teva decision (if Teva is to be believed).
The put option pricing started to explode higher around 12:33 as MNTA stock price dropped briefly (as Marsh was speaking I assume). And then even as stock recovered and shot upward, option pricing continued higher
In the 12:42 window, MNTA stock was trading right around $16 getting ready to explode higher (after having quickly dipped). That was the peak price for the Jan $14 puts (mentioned earlier by IJ and the focus of my previous selling with some selling today in that window at 0.70 but for very very small amounts). Working through an option calculator, the volatility in that particular option was 125% at that time. It had started the day in the low to mid 70% range (depending on bid or ask) and ended the day in the low 90% range.
I agree with Dew, people playing in these options are playing with fire as there is a high likelihood late January means post January 21 expiration. When I sold a very few puts (15) in that time-frame above, I did not know what was causing the spike. All I knew was the stock had started to tail off and was recovering still up nicely on day and that an option bidding 25 cents in the morning was being bid 50 cents. As the stock started to ramp, I thought that there had to be news/rumors in the market that Teva approval decision was imminent with longs taking that as good news and shorts as bad news and ramping both put prices and volatility higher. I came here and confirmed that thought with the hard news.
IJ - I can't remember when, but I have seen much harder volatility explosions in past. One example might be to go check MNKD volatilities on the date they announced they had re-filed Afrezza (caught market by surprise as it was a bit earlier than most thought and Jan 11 options came into approval window - of course recent delay took PDUFA out past Jan 11 options and you can see the process in reverse). But a vol ramp of 55% is not that big really. I am surprised it was that small mathematically.
The second part of the statement says that some put prices had doubled. The aforementioned Jan $14 puts had gone from 33 cent to 75 cents and were in the 60 cent range when I posted. The lower strikes had more than doubled.
At the time I did the calculation, there were about 8,000 put contracts traded in the Jan/Feb series, which equates to 800,000 shares. The stock had traded only 700,000 shares. A few minutes later this calculation yielded 9,000 contracts or 900,000 shares equivalent vs. 800,000 shares.
I just checked out vols across months for the $14 strike. The Jan vol is in the low 90s, the Feb vol is in the 124% range (to mid-point of bid/ask), and the March vol is in the 101% range. These are as I would expect with a small chance that January captures the event and the longer time-frame reducing IV as you get past the event. Vols for the Feb $14 puts were also in the low 70s at the open. I can't tell for the March series as the closing price yesterday looks illiquid and stale.
Interestingly the $19 calls have vols of 85% for January, 107% for February and 92% for March (to mid-points of big ranges in most cases). The put volatilities are modestly higher, usually indicative of a heavily-shorted hard-to-borrow stock. I hope this helps.
Jon
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