Wednesday, September 8, 2010

AnnTaylor Stores (ANN) - Straddle Seller in Oct

ANN is trading $17.26, up 2.6% today with IV30™ down nearly 5%. The LIVEVOL™ Pro Summary is below.

The company has traded over 5,900 options in the first three hours on total daily average option volume of just 1,557. The largest trade was an Oct 17 straddle sale @ $2.40 ~1,500x. Color provided by Mike Bristow, Vtrader Group. In total, I see that straddle traded nearly 3,000x. 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 calls and puts are mostly opening (compare OI to trade size). The Oct vol is down 2.7 points and is now the lowest of all the monthly vols. The straddle sold ~54.5 vol.

The Skew Tab snap (click to enlarge) illustrates the vols by strike by month.

It's interesting to see that Sep and Oct have an upward bend to the upside skew. Dec is flat (normal).

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 and HV180™ - pink). The yellow shaded area at the very bottom is the IV30™ vs. the HV20™ vol difference.

IV30™ is 55, HV20™ is 54 and long term historical is 57. Since the straddle sold 54.5 vol, it feels kind of fair. Not real exciting either way.

Trade Stats
Sell 2,700 Oct 17 straddles @ $2.40
Breakeven Low: $14.60
Breakeven High: $19.40
ANN 52 wk range is [$11.59, $25.24]

I pretty much have no opinion on this trade one way or the other. I guess that means, I don't like it...

This is trade analysis, not a recommendation.

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