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What Options Say: BUD & Rival Brewers

The option market is betting that someone is going to buy Anheuser-Busch, according to one observer. The problem is, the option market has been doing that off and on for a while.

"If you look back at the option activity, the rumors regarding a possible buyer for Anheuser-Busch began around January of 2007," said Rebecca Darst of Interactive Brokers on CNBC's "Squawk Box." "And what we have seen is a sort of cyclical behavior among option traders, where they sort of gun for these 10 percent upside calls, volume would rise on these calls, the volatility would spike way up, and then nothing would come of the merger rumors; they'd just sort of dissipate until the next go-around."

This time, she said, traders seem to be focusing on InBev.

"Watching the option activity in Anheuser-Busch is a little bit like talking to someone who's had a few beers... 'You should merge with InBev... no, really, you should merge.. with.. InBev,'" she said. "The same theme that comes up, again and again. While we've seen an unusual level of volume in Anheuser-Busch options repeatedly over the past week and a half, two weeks, yesterday its options prices hit a five-year high. There's one reason for this, and it's speculation over the possible InBev merger, so this is not new."

Traders are buying five times as many calls, the right to buy BUD stock in the future, as puts, she pointed out. That means they think the price will suddenly spike in the market, but they will have the right to buy it more cheaply, and thus make a profit.

"Calls out-traded puts by five to one, so what we're seeing is an unusual level of tenacity in the call buying of Anheuser-Busch on a rumor, or merger talk, or possible acquisition talk that has consistently failed to materialize," she said. "We're talking about a family-run business that's probably got a lot of ingrained conservatism and a desire to keep things independent, and yet option traders seem to be second-guessing the rest of the market, saying, 'No, we know what's best.'"

Of course, traders could be looking at Constellation Brands activity as well, Darst said.

"I wondered if this latest round of merger talk in Anheuser-Busch could have been the result of some new optimism about beer stocks, given some very bullish buzz around Constellation Brands, which distributes Corona here in the U.S., and there's been some positive buzz about their sales heading up to Cinco de Mayo," she noted.

"On Tuesday Constellation Brands shares were up 12 percent, and we saw its options tarding at 35 times the normal level. This carried over into yesterday, with options trading at 14 times the normal level. In this case, it looks like traders are tending more to buy puts on Constellation Brands at the money, just in order to protect gains, I would expect, in the underlying share price, so there's not a lot of speculative upside going on Constellation Brands. But I wondered if that might have been responsible for sparking a little resurgence of those stubborn Anheuser-Bisch rumors in pushing premiums to those five-year highs."

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