The implied volatility (vols) on the October At-the-Money (ATM) Call options are 58% vs 48% for the Septembers. With the PDUFA date of Oct 22nd, a week AFTER the Oct expiry, one would expect a big bump up in the available Jan Vols as seen between the Seps and Octs. Instead, the Jan vols at 60% - about the same at the Octs. This would suggest the market is pricing in the possibility of approval before the Octs expire but not before the Seps expire. Also, because the vols are around 60 and not north of 100 as one might expect for such a binary event, the market clearly expects approval. The elevated Vol, 60% vs 30% historic, is for the impact of a black box label for pancreatitis which Byetta does not have and trial data does not show as being necessary. But the FDA being a regulator gets to protect itself from future liability by needlessly slapping on a warning label - even if trial data doesn't back it up.
As an update, the 10-day Call/Put ratio continues to sink, now to the lowest level in a year at 0.64. Ordinarily investors are giddy piling into Calls of a biotech that is about to get approval for a huge drug - especially in a market where there is a scarcity of big new drugs to be approved for unmet medical needs. Maybe AMLN should buy a Goldmine in angola, dig for oil under the Eiffel Tower, or manufacture lead paint in china, in order generate some bullish investor interest.
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