Most-Active Options Update: Premium Sellers in Wells Fargo, Heavy Volume in Apple, American International Group

ONN’s "Lucky 13" is our daily listing of 13 equities with the heaviest daily option volume (based on a 20-trading-day rolling average).

Thursday’s Notable Option Activity–

Wells Fargo (WFC):

Wells Fargo (WFC) shares closed up 18 cents to $27.86 on Thursday. The bank saw nearly 60,000 Oct. 24 puts traded versus open interest of 130,000 contracts, and the Jan. 2010 25 puts changed hands 51,000 times versus open interest of 88,000 contracts. The Sept. 28 straddle closed Thursday at $1.33 with price-over-strike of 4.7%, which moved in from the same straddle Wednesday, which closed at $1.48 with price-over-strike of 5.3%. In addition, we saw premium sellers in the April expiration month. The implied volatility of the April 40 calls was 41.4 compared to 45 on Wednesday. The April 35 calls had an implied volatility of 44.3, down from 47 on Wednesday night.

Apple (AAPL):

It looks like we continued to see call selling action in Apple (AAPL), possibly due to the residual effects from the company’s investor meeting. We saw more action in the Sept. 175 and Sept. 170 call series. The Sept. 175 calls traded 17,900 times and climbed 25 cents on the day. The Sept. 170 calls traded 14,000 times and climbed 67 cents on the day. AAPL shares climbed $1.46 to $172.60 on the day Thursday. Looking at the deltas, the Sept 170 calls had a delta of 60, meaning the calls should have climbed approximately 90 cents. Likewise, the Sept. 175 calls should have gained 51 cents with a delta of 34, but they climbed only 25 cents after call sellers applied downward pressure. The Sept. 175 straddle closed at $5.92 with a price-over-strike of 3.4%, compared to the previous day straddle priced at $6.42 with a price-over-strike of 3.7%.

American International Group (AIG):

We saw more action in the Sept. 30 and Sept. 35 puts Thursday in American International Group (AIG) the same day the company’s former Chief Executive Officer Hank Greenberg said AIG hardly had any value since the government owned 80%. That announcement dragged AIG shares down nearly 3% to close at $37.77 on the day. It appears sellers dominated the Sept. 30 and Sept. 35 puts volume, however, and pushed down implied volatility in the optiions. The Sept. 30 puts closed down three cents. With a delta of 15, these puts should have risen 17 cents. The Sept. 35 puts gained six cents on the day, but should have gained 36 cents with a delta of 32. The lower put prices indicate put sellers in AIG on Thursday, and also brought the Sept. 38 straddle in to trade at $6.63 with a price-over-strike of 17.4% versus the previous day straddle, which traded at $7.15 with a price-over-strike of 18.3%.

The ONN Thirteen: The 13 stocks with the heaviest option volume during the past 20 days

1. Citigroup Inc. (C)
2. Bank of America Corp. (BAC)
3. American International Group, Inc. (AIG)
4. General Electric Co. (GE)
5. Apple Inc. (AAPL)
6. Wells Fargo & Co. (WFC)
7. JPMorgan Chase & Co. (JPM)
8. Microsoft Corp. (MSFT)
9. Research in Motion Ltd. (RIMM)
10. Freeport-McMoRan Copper & Gold Inc.(FCX)
11. Fannie Mae (FNM)
12. Las Vegas Sands (LVS)
13. Wal-Mart Stores Inc. (WMT)