BUZZ-BlackBerry Ltd: heavy options activity as Q1 results loom

Mon Jun 22, 2015 11:52am EDT
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** Cost of a Blackberry straddle suggests stock likely to see another big move around Tuesday's Q1 earnings report

** Average move on day after last 8 earnings reports is about 8.5 pct

** This time, however, 30-day ATM implied vol at 46 pct, lowest ahead of earnings in last two years, according to Livevol

** Healthy options activity seen in longer-dated options too with July $10 calls busiest on Monday

** Little open interest in near-term options; eight of top ten contracts with highest open interest expire Jan '16 or later

** U.S-listed shares have dropped 9 pct since co reported a surprise quarterly profit in March (Messaging: