Aurelia’s Call Option Sale on Mediobanca: A Strategic Hedge or a Risky Gamble?

Aurelia Srl, a key shareholder in Italy’s Mediobanca Spa, recently sold call options on 225,000 shares of the banking group, marking a significant move in the context of a broader consolidation play in Italy’s financial sector. The transactions—split into two tranches with strike prices of €18.50 and €18.00, and a subsequent sale of an additional 125,000 shares at €18.00—occur amid a voluntary public exchange offer by rival bank Banca Monte dei Paschi di Siena (BMPS) for Mediobanca’s shares. With Mediobanca’s stock price closing at €18.37 at the time of the announcement, the moves raise critical questions about Aurelia’s strategy, the risks it faces, and the implications for Italy’s banking landscape.

The Mechanics of the Call Options

A call option gives the buyer the right—but not the obligation—to purchase shares at a predetermined strike price before expiration. By selling these options, Aurelia collects premiums upfront (€0.375 per share for the €18.50 tranche, €0.60 for the €18.00 tranche, and €0.40 for the second €18.00 sale), but assumes the obligation to sell the shares at the strike price if the options are exercised. This strategy typically reflects a neutral-to-bearish outlook on the stock, as Aurelia profits from the premium while capping its upside potential.

The current stock price of €18.37 places the €18.50 strike just €0.13 above the market, meaning those options are slightly out of the money (OTM). The €18.00 strike, however, is €0.37 below the current price, making those options in the money (ITM). This suggests Aurelia is hedging against a potential decline in Mediobanca’s stock while accepting the risk of being forced to sell shares at a lower price if the stock falls below €18.00.

Context: The BMPS-Mediobanca M&A Drama

The call options were sold against the backdrop of BMPS’s €5.2 billion takeover bid for Mediobanca, a move that has roiled Italy’s banking sector. BMPS aims to create a larger banking giant to compete with UniCredit and Intesa Sanpaolo, but the offer faces regulatory hurdles and Mediobanca’s resistance. Should the bid succeed, Mediobanca’s share price could rise significantly, potentially triggering the exercise of Aurelia’s call options.

However, the current stock price—already up 5.3% on the day of the announcement—suggests the market is pricing in some probability of a successful merger. If the deal collapses, Mediobanca’s shares could drop, leaving Aurelia’s ITM options exposed to losses.

Aurelia’s Dual Play: Banking and Renewable Energy

Aurelia’s ownership structure, revealed in 2025 data, underscores its dual focus:
- Renewable Energy (62% of revenue): A leader in solar and wind projects, with plans for an IPO to fund a €250 million expansion into offshore wind and energy storage.
- Automotive (38% of revenue): A legacy division under pressure from rising EV component costs and supply chain bottlenecks.

The call option sales could reflect a capital-raising strategy to fund its renewable ambitions. By monetizing its Mediobanca holdings through options rather than outright sales, Aurelia retains upside exposure to the banking sector while generating immediate liquidity.

Risks and Rewards

The key risks for Aurelia include:
1. Stock Price Volatility: If Mediobanca’s shares rise above €18.50, the OTM options remain unexercised, but the ITM options at €18.00 could force Aurelia to sell shares at a loss relative to current prices.
2. Regulatory Uncertainty: The BMPS bid’s success hinges on EU antitrust approvals and Italian political will, which are far from assured.

The rewards, however, are clear:
- Premium Income: The total premiums from the three tranches amount to ~€156,875, a modest but risk-free gain.
- Strategic Flexibility: By retaining Mediobanca shares, Aurelia can participate in a merger’s premium or hold out for higher offers.

Conclusion: A Calculated Move, but Not Without Hurdles

Aurelia’s sale of Mediobanca call options appears to be a prudent hedging strategy, leveraging the premiums to fund its renewable energy expansion while maintaining exposure to a potential merger upside. However, the risks are substantial: if Mediobanca’s shares plunge below €18.00, Aurelia could be forced to sell at a loss, undermining its capital-raising goals.

The broader picture paints Aurelia as a strategic player navigating Italy’s dual transitions: in finance, through banking consolidation, and in energy, through its renewable ambitions. With its renewable division poised for an IPO and a 23% revenue surge in 2025, the company’s focus on diversification and liquidity makes this call option play a tactical, if risky, maneuver. Investors should monitor Mediobanca’s stock trajectory closely—any move above €18.50 by expiration could signal a missed opportunity, while a drop below €18.00 might force Aurelia into an unplanned liquidity crunch.

In a market where banking consolidation and energy transformation are twin engines of change, Aurelia’s bet is both emblematic of its ambitions and a testament to the fine line between strategic foresight and calculated risk.