BUZZ-Bullish bets return on two-day Valeant rally

Fri Nov 20, 2015 2:35pm EST
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** Strong two-day rebound in U.S.-listed shares of Valeant Pharmaceuticals International brings out options bulls who appear to be betting on shares rebounding by mid-Apr to where they were before short seller Citron Research attacked the stock in October

** Second day of notable bullish activity in the options as some analysts issue positive notes, and a big Valeant investor suggests Allergan plc would be a good fit to buy the Canadian drugmaker

** On Friday, options volume at 88,000 contracts, with calls trading at nearly 2x normal pace, according to Trade Alert data

** Trading in calls outnumbers puts by nearly 2x, most since Oct 21, when a report by Citron Research questioned Valeant's distribution relationships

** Largest trade on Friday was a position build in 9,800 Apr $175 calls for about $638,300 in premium; these calls are now trading at about a 10th of their price on Oct 21

** Valeant's 30-day implied volatility has dropped to 86.76 pct, down from 115.51 pct two weeks ago; expectations for a big move in shares still in the 92nd percentile of its 52-week range, according to Trade Alert

** VRX up 22 pct from Wednesday close, but still down 25 pct over last month; shares currently gaining 5.5 pct to $88.65