Friday, March 30, 2007
flyonthewall.com is poo pooing speculation concerning a possible takeover of Sunoco (SUN). Call options activity has been running at 24,000+ vs 3,200 puts with call strikes trading up to $80. theflyonthewall says implied volatility at 30 is actually below historic volatility "invalidating takeover chatter". thefly's comments are carried via the Bloomberg system on trading desks around Wall Street and its worth noting that after the note came out the stock eased off the highs of the day. I'm not sure I buy the low implied volatility argument given the heavy volume; these aren't a few folks from chatrooms buying up these calls. This is something to keep an eye on. The rumored suitor, by the way, is ExxonMobil (XOM).