Tuesday, January 12, 2010

Phillips-Van Heusen (PVH) - Feb Straddle Seller

PVH is a $2.25 billion vertically integrated seller of apparel. The LIVEVOL™ Pro Summary is below.

The company has traded over 6,6000 options today in the first hour on total daily average option volume of 388. The Company Tab snapshot is below (click the image to enlarge).

Almost all of the volume has been a Feb 45 straddle seller @ ~$3.00. The day's biggest trades and Options Tab snapshots are included below (click either image to enlarge).

The OI (open interest) on the Feb ATMs is well below the trade volume. These are opening positions. The Vol chart comparing IV30™ (red line) to HV10™ (white line) and HV20™ (blue line) illustrates the divergence. Notice the IV30™ is down over 10% today significantly lessening the divergence with historical vol. The underlying chart (top portion) illustrates in fact that the stock has traded in a tight range for several months. The Charts Tab snapshot below can be clicked to enlarge it.

Yesterday (1/11) PVH raised Q4 '09 guidance. Today, Citigroup added PVH to its Top Picks Live list. Note also that earnings are in late March - the Feb options do not include that volatility event.

Ultimately the short straddle bets on lower vol and at expo simply bets the stock goes to $45 with a PnL range if stock stays between $42 - $48. With the stock almost to $44, this is a slightly bullish bet while also betting on lowering vol. The bet is consistent with the recent news.

Legal Stuff:

No comments:

Post a Comment