Thursday, May 27, 2010

Principal Financial (PFG) - Summer Put Buyer on Convergent/Divergent Vol

PFG is trading 27.16, up 4.2% with IV30™ down 8.0%. The LIVEVOL™ Pro Summary is below.

The company has traded nearly 9,000 options in the first hour on total daily average option volume of just 1,718. All but 747 contracts have been puts. The largest trade has been the Jul 26 puts, where volume is over 7,500. 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 puts are mostly opening (compare OI to trade size). Another thing I've highlighted is the Jan '12 vol compared to the current month. This is the same phenomenon I wrote about yesterday with AAPL, AMZN, BAC and WMT - the 2012 option vol is persistently high. In fact, you can see that while IV30™ (30 day implied) is lower by 8% today, the Jan 2012 vol is up 4.1 points (or up about 8%). So a total divergence. The article on this phenomenon and what it might imply is available by Clicking Here.

The Skew Tab snap (click to enlarge) illustrates the Jul 26 put vol. It's interesting to see that July downside vol (summer) is the same level as Oct. usually we see lower summer vol as the market tends to stay range bound, news is thin and traders are in the Hamptons. For this company however, you can see that the Jul and Oct vols are identical on these puts.

Finally, the Charts Tab (6 months) is below (click to enlarge).

The top portion is the stock price, the bottom is the vol (IV60™ is orange, IV30™ is red, HV20™ is blue). The yellow shaded area at the very bottom is the IV30™ vs. the HV20™ vol difference.

You can see that the implied (both 30 and 60 day) is below the realized vol for PFG.

This is trade analysis, not a recommendation.

Legal Stuff:

No comments:

Post a Comment