Friday, August 13, 2010

Virginia Media (VMED) - Options Action Jumps

VMED closed at $20.61 yesterday. The LIVEVOL™ Pro Summary is below.

The company traded over 33,000 options on total daily average option volume of just 3,162. Three large trades made up this volume:
1) 7,000 Aug 22.5 call purchases for $0.05
2) 7,000 Sep 20 straddle sales @ ~$2.12
3) 5,000 Jan '11 22.5 call purchases for $1.15
The Stats Tab and Day's biggest trades snapshots are included (click either image to enlarge).

The Options Tab (click to enlarge) illustrates the action more clearly. Every trade was opening other than the Sep 20 calls.

These trades probably weren't done by the same entity, though they all do agree on limited downside movement (call purchases and vol sale).

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.

The IV30™ and HV20™ track pretty well (actually, very well), so I'm not in love with the straddle sale. The $2.12 sale makes money on Sep expo. if VMED is in the range ($17.88,$22.12). The 52 wk. range is [$10.03, $22.45]. The call purchases are a bit odd as well. Not sure what the Aug purchases are about, and the Jan vol feels very "fairish" at best with HV120™ at 39 and IV120™ at 42. I'd probably rather sell that if anything at all.

Lots of action, no real great trade in my eyes based on the vols and chart. If a takeover happens in the next week, then watch for some angry $0.05 call sellers. But, I wouldn't bet on it.

If lookng for a trade in this one, a Sep vol purchase (opposite of order flow) looks ok if you can get prices on the liquidity from the other side. Maybe a Sep 20/22.5 1 x 2 call spread for less than $1. Maybe buy some Sep 25 calls to cover in case there really is a takeover.

This is trade analysis, not a recommendation.

Legal Stuff:

No comments:

Post a Comment