Dan previewed GPRO’s options market open in yesterday’s MorningWord post. With the first full day of options trading in GPRO in the books, a few things stood out:
First, 30 day implied volatility in GPRO options ended the day around 75, quite high for a $5 billion company, though a reflection of the high realized volatility in GPRO’s first 7 days of trading. 7 day realized volatility is around 195, though that is likely to come down as the stock calms down following the initial price discovery process after the IPO.
Along those lines, the total volume in GPRO stock yesterday was around 17 million shares. That is the lowest full day’s volume in GPRO since the IPO. The stock traded 15.5 million shares on Thursday, but that was only a half-day session. The lower volume is also partially a result of traders moving to the options market to put on some of their positions, as opposed to just trading the stock itself.
In the options market, 17k calls traded vs. 10k puts. The most active line was the Jul19th 45 calls, which traded over 2k at an average price of $1.44. The most actively traded put strike was the Jul19th 40 put, which traded nearly 1,400 times at an average price of $1.19. The other notable strike that traded over 1k on the session was the Aug 60 call, which traded nearly 1,200 times at an average price of 0.47.
GPRO’s trading range since its $24 IPO is a $28.65 low on the first day of trading and a $49.90 high on July 1st. The August 44 straddle closed the day at around $9.00, implying that options traders view the potential for a move outside the $35-$53 range as nearly as likely as a close within that range 6 weeks from now. In other words, GPRO volatility is likely here to stay for at least the rest of the Summer.