Thursday, January 7, 2010

Applied Materials (AMAT) - Apr Call Buyer

AMAT is trading ~ $14 today. The LIVEVOL™ Pro Summary is included below.

The company averages 12,640 options traded a day - today over 26,500 have traded with more than an hour to go in the day. Further, nearly 24,000 of those are calls for an 8:1 call:put ratio. The Company Tab snapshot below (click to enlarge) demonstrates this as well as the Net Deltas (positive) and Net Premium (positive) - the order flow has been buying options and getting long delta ---> Buying Calls.

The 7 largest trades of the day are all purchases of the Apr. 15 calls for 33 vol. The Options Tab snapshot illustrates that these are mostly opening orders - 18,620 volume vs 3,463 OI (open interest). Click either image below to enlarge.

Finally, the Charts Tab snapshot below (click to enlarge) illustrates the divergence between the IV30™ (red line) and the HV10™ (white line). However, you can also see that the prior earnings cycle yielded HV10™ of ~50%.

This is bullish in that it is a purchase of calls - but it's not uber bullish in that it deals in Apr. options. This could be a vol bet more than anything else. IV30™ does tend to be higher than current levels over the last 6 months in AMAT and VIX is now below 20.

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