On CNBC's "Options Action," Mike Khouw spoke about Macy's Inc (NYSE:M), which traded about three times the average put options volume on Monday. The company reports earnings on Wednesday and the options market is implying a move of 16% in either direction. Its average move on earnings over the last 8 quarters was 7.1%.
Khouw said the market cap of the company is about $2.1 billion, while the enterprise value is $9 billion. If you compare that to $6.8 billion market cap and $12 billion enterprise value on the historical numbers, you will see that the implied move is roughly in line relative to the enterprise value of the business, explained Khouw.
The biggest trade on Monday was the sale of the weekly, September $6 puts for $0.20. Over 20,000 contracts were traded and the trade breaks even at $5.80, or 16.8% below the closing price on Monday.