UNusual Option Opportunity in HomeAway

According to Options and Volatility, shares of HomeAway inc. AWAY saw unusually high options activity on Friday. Notably, the September 31 calls traded 2,331 contracts versus zero open interest open interest, indicating fresh buying. In addition to the increased volume, the implied volatility on the September 31 calls rose dramatically, moving from 44.35 on Thursday's close to 51.71 on the close Friday, an increase of 16.59 percent. The implied volatility on the October 31 calls, which saw only 7 contracts trade, increased less dramatically, moving up only 6.34 percent to 43.61. The term structure of volatility between the September and October 31 calls steepened dramatically due to the large call buyer in September, increasing from 3.38 to 8.10. This set up a call calendar spread opportunity, buying the AWAY October 31 calls and selling a like amount of September 31 calls. Options and Volatility noted this captures a nearly 250 percent edge and positions bullishly along with the large call buyer. The spread has a theoretical value of 0.26, but was last quoted at 0.08. Disclosure: The author had no position in AWAY at the time of publishing.