$VBIV people.stern.nyu.edu/msubra... talks through something El mentioned about how option activity rises as you get within 30 days of M&A
I'll include screenshots for every option chain's OI I explored
The conclusions I draw
1. There is quite a bit of OTM calls and high theta/ITM puts OI being added in the last 4-6 weeks especially towards end of december
2. There is a large amount of general call buying and it only increases for Jan, especially in last 4-6 weeks
3. There's as much Jan activity as there is december activity in december (odd since december is cheaper for speculation)
4. November 18th seems to kick off a lot of the increases
5. We don't see quite as much activity in the 7.5/10s vs the 3.5-5s
6. We actually see ITM calls/OTM puts start to get closed out as we approach expiration.
This aligns with M&A options activity according to the paper.
Look inside here for more data on the OI of various option chains.
I wish I'd paid attention a bit sooner for some of this.