Friday, April 23, 2010

USG - Big Bull Bets on Vol Rise After Earnings

USG is trading 23.94 with IV30™ up 15.6%. The LIVEVOL™ Pro Summary is below.

The company has traded over 36,800 options today on total daily average option volume of just 1,988. The largest trade was a call spread purchase in Jun. Calls alone have traded more 15x average total volume on a 5:1 ratio with puts. The Stats Tab and Day's biggest trades snapshots are included (click either image to enlarge).

The Options Tab (click to enlarge) illustrates that the active calls in May, Jun and Aug are mostly (or partially) opening as volume > OI. The May 25, Jun 25 and Aug 25 calls are predominantly purchases - the Jun 27.5 are sales to a spread. You can also see how vol is climbing size today. IV30™ went from 50 to 40 after earnings a few days ago - and now it's right back to 50.

The Skew Tab snap (click to enlarge) is interesting in that it's not... It just looks like a normal skew - no calls in any month seem out of line. To read why skew exists and what "normal" shape is you can click here.

If the order flow continues I imagine at some point the upside would bend. Finally, the Charts Tab (6 months) is below (click to enlarge). The top portion is the stock price, the bottom is the vol (IV30™ - red vs HV20™ - blue). The yellow shaded area at the very bottom is the IV30™ vs. the HV20™ vol difference.

You can see the steep run up in stock off earnings from ~$19 to now over $23 in just a week. I've also blown up the vol chart and hyper magnified on just a few days to illustrate the weird vol moves (click to enlarge). The rise into earnings and drop are normal - the re-rise is the odd part.

This is trade analysis, not a recommendation.

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