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The company is up on news from an upgrade/outlook improvement. Right out of the gate the stock jumped with vol. The Tick Chart is included below.
The company has traded over 26,000 options in the first hour on total daily average option volume of just 5,176. All but 2.027 contracts have been puts yielding a 12:1 call:put ratio. Action has been in the Nov 28 calls (over 11k trade) and the Oct 27 calls. The Stats Tab and Day's biggest trades snapshots are included (below).
The Options Tab (below) illustrates that the calls in Nov are opening, Oct are ambiguous. The tight markets make it difficult to really identify long or short interest in the past on that line.
The Skew Tab snap (below) illustrates the vols by strike by month.
We can see the upside in Oct with just a few days to expo is bid. The rest of the months show a pretty nice skew - "normal."
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 a steady rise in stock price since the end of August. Also note on the bottom chart, the IV30™ has now popped past the HV180™ (long-term realized) and the HV20™ (short-term realized).
For a purely spec play, a $0.09 purchase in the Oct 28 calls is one bet - though this has a higher change of being a loser than a winner. An Oct 27/28 call spread for $0.28 is another spec play with a slightly higher probability of success. With earnings coming in the Nov cycle (projected) a vol sale in Nov would require a bit more research into the earnings vol patterns (maybe we'll circle back to that in a few weeks). It's not out of the question, I just haven't taken the time to look.
This is trade analysis, not a recommendation.
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Ophir, just general question - can not find weekly options on spy in lvp - where to look? Thanks!
ReplyDeleteHi Alexey,
ReplyDeleteToday there are no weeklies as this is expiration week. The next weekly options will come out this Thursday.