Calls Active as Two Harbors Crashes (TWO)

Shares of Two Harbors Investment Corp. (TWO) are trading lower on the session by 2.06%, at $11.42. The stock hit an intra-day low of $10.77 (coinciding with the 200-day moving average) before bouncing back dramatically.

Despite the flash-crashesque movement in TWO today, out-of-the-money calls are active on the name. Overall call volume is currently running at 3x normal volume with 80% of all strikes purchased being over 5% OTM.

The heaviest action is coming on the December $12.00 strike, where 2,048 contracts were purchased, on the offer, for $0.25. The strike is currently bid $0.20, at $0.30. With open interest of just 1,365, this is clearly new positioning.

Implied volatility is skyrocketing today (not surprisingly), popping 21.9% to 26.86%. 10-day realized vol is registering 19.19%.

Two Harbors Investment Corp. is set to report Q3 earnings at the end of the month.

Two Harbors Investment Corp. operates as a real estate investment trust. The company is focused on investing in, financing and managing residential mortgage-backed securities, residential mortgage loans, residential real properties, and other financial assets. 

About Michael Zerinskas

Originally from Chicago, Michael J. Zerinskas began his career as an intern for a small high-frequency trading firm based at the CME; he then moved on to become Chief Options Strategist at Benzinga.com. Michael is now Unusual Activity Editor at The Options Insider, specializing in VIX, volatility, and flagging unusual activity.