Tuesday, September 21, 2010

Teradyne (TER) - Puts Trade on Stock Pattern

TER is trading $10.46, with IV30™ up 0.5%. The LIVEVOL™ Pro Summary is below.

The company has traded over 7,000 options on total daily average option volume of just 2,160. All but 247 contracts have been puts yielding a 28:1 put:call ratio. The most action was in the Nov 10 puts were over 4,500 contracts traded and in the Oct 11 puts were 2,000 traded. 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 Nov puts are entirely opening (compare OI to trade size). This is long interest. You can also see that Nov vol is the highest in the entire chain as it has an earnings cycle. I can't tell what the Oct trading was, but based on the skew tab, I am leaning toward sales.

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

This is a pretty cool skew chart. We can see the Oct options that traded (highlighted) are the lowest vol in the entire options chain for the first three months. We can also the Nov 11 line (highlighted) and how that vol is substantially above Oct. This feels like buying Nov and selling Oct. As of this writing, that would be selling 42.5 vol and buying 53.

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

The IV30™ looks pretty fair. The one thing that jumps out at me on this chart is the stock pattern. It has a tendency to peak and crash then repeat with lower peaks and lower troughs. For what it's worth, it's at another possible peak right now.

This is trade analysis, not a recommendation.

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