Momenta Pharmaceuticals, Inc. (MNTA)

[semi_infinite]

I don't believe any HFT outfit would touch MNTA - not enough volume and liquidity. Looking at the ask side of the Nov 10 puts - it started at 0.40 this morning and as the stock gets sold, the ask shrinks to 0.30 and stuck there. The stock has dropped 0.30 and the put premium should have moved up about 0.10. Time decay is taking hold while volatility risk goes up. Tells me the option sellers don't have much faith in this drop. Same applies when the stock goes up and ask side on calls don't budge. For the last 2 days, someone is also selling the Nov. 11 strangles on a small scale, betting that the stock stays in the range of 9.90 to 12.10 by Nov. expiration. So my guess is that this mean reverts to whatever moving average the large 300K share player is playing.

PS. as I was typing this, the ask on the Nov 10 finally moves to 0.35 but it took a dip to 10.50 to get that.