-------------------------------------------------------------------
For a limited time we are offering a FREE real-time trial to Livevol Pro™ for non-professional traders. You can get your trial by following the directions here: Click for Free Trial Offer
-------------------------------------------------------------------
The company has traded 10,000 options in the first four hours on total daily average option volume of just 3,294. Puts have traded on a 2.6:1 ratio to calls, with the action in the Nov 29 and 30 puts. The Stats Tab and Day's biggest trades snapshots are included (below).
The Options Tab (below) illustrates that the puts are mostly opening (compare OI to trade size). The flow looks long. The Stats Tab above indicates that people are getting long premium and short deltas (in options) - i.e. buying puts. Of the eight largest trades today (above), seven are puts going up on the offer, the eighth are calls hit on the bid.
The Skew Tab snap (below) illustrates the vols by strike by month.
We can see the vol divergence opening up between the front month and the back (which is expected into earnings). Note also from the Options Tab (above) that the Nov vol is up 7 points, while Dec is up 3.1 and Jan'11 is up 1.4.
Historically EXPE earnings vol is pretty fair valued - it looks like the one day ATM straddle went up 4/8 and down 4/8 days.
Finally, the Charts Tab (6 months) is below. The top portion is the stock price, the bottom is the vol (IV30™ - red vs HV20™ - blue vs HV180™ - pink). The yellow shaded area at the very bottom is the IV30™ vs. the HV20™ vol difference.
We can see the rather impressive vol increase of late. It's also interesting to note that EXPE IV30™ tends to trade above it's long term realized (HV180™).
As of this writing, the Nov 26 puts are offered @ $0.55 (I know the snap I took doesn't show it, just trust me). If one could buy those for $0.55, sell two of the Nov 25 puts mid-market @ $0.35 and pay $0.20 in the Nov 24 puts, that's a $0.05 butterfly on a bet that EXPE goes down on earnings. Might be worth the gamble for small. If you can get it for even, well.... you know...
This is trade analysis, not a recommendation.
Follow Live Trades and Order Flow on Twitter: @Livevol_Pro
Legal Stuff:
http://www.livevolpro.com/help/disclaimer_legal.html
So try for a mid-market fill on two legs out of three?
ReplyDeleteI prefer mid-market to paying or selling on the NBBO the bad way for sure :-)
ReplyDeletetotal of 16 butterflies filled so far at .10 :)
ReplyDeletewondering how many persons is out there thinking that it's worth trying... expected return is positive anyway given 50% probability of stock going down
Those seem like great prices, well done. I wouldn't do too many. Keep in mind this thing needs the stock in a relatively tight range if held to expo. I would not say it's 50:50. The question is, are the odds better than the payout? I think for a SMALL speculative bet, maybe it is.
ReplyDeleteNot advice, just a general comment: Maybe try to get the $0.05 kind or better. Seems like for $0.10 you've done enough maybe. Granted, you're only risking $160...
just a remark - those are total, not (just) from me. I don't know how many guys traded it besides me.
ReplyDeleteOh, I see. Damn, I thought you got them all... that would have been sweet trading... lol.
ReplyDelete>> Maybe try to get the $0.05 kind or better.
ReplyDeletemy broker is doing NBBO and it seems there is no way to be filled at 0.05
Maybe someone knows broker capable of better execution? Just wondering...
no, it's trying to leg into it.. which is not a good idea... but I had to throw it out there.
ReplyDeleteyeah, I don't like to leg in/out
ReplyDeleteprobably for the better.
ReplyDelete