Thornburg Mortgage (TMA: sentiment, chart, options) shares have taken an 18% hit in today's session after word hit the Street that Morgan Stanley issued Thornburg a default notice for failing to meet a $9-million margin call. The notice was issued under the companies' master repurchase agreement, under which Morgan Stanley loaned TMA $49 million.

Today's report initially sent Thornburg shares down as much as 26%. On a year-to-date basis, the stock is looking at a total loss of nearly 70%. Regardless, option players seem to be betting that Thornburg's slump has found a bottom. The Schaeffer's put/call open interest ratio of 0.66 is sitting at an annual low, revealing that short-term speculators have not felt more optimistic toward the shares at any other time in the past 52 weeks.

As we head into the afternoon, a trio of TMA's 2.50-strike options are trading heavy volume. The March 2.50 call has seen 8,722 contracts cross the tape on open interest of 20,778, while the March 2.50 put has traded volume of 7,251 on open interest of 30,231. Out in the April series, 3,558 contracts have changed hands on the April 2.50 put. At last check, TMA was hovering around $2.29.