There’s been a pick up in put buying in IBM since Mr Buffett’s announcement this morning.
The 3 month average is 56% of options trading in IBM are Calls.
Today 66% of the trade in in Puts.
Volatility also spiked from 10% to 19% today
The skew is perhaps the most telling of all readings, as regular May at the money calls (155s) are trading 9% volatility, while the corresponding puts are 19.50% implied volatility.
June isn’t much better, as 155 call implied volatility is 11% while 155 puts are 15%.