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Rumors abound of a deal with MSFT. Let's look to the Skew Tab (below). We can see a tremendous upside skew, totally reverse of "normal skew." The upside is super bid, back months haven't reacted yet.
Looking to the Options Tab (below), we can see the Oct 34 calls are $0.20 bid priced at 106 vol. HV10™ is 21.33. Nice... Keep in mind ADBE is actually at a "discount" right now given their collapse after the earnings release on 9-21-2010 AMC.
The stock went from $32.94 to $26.67 in a day. It's reasonable to assume a takeover price would be at a substantial premium to even the 34 strike. Happy spec to anyone who wants to trade this one.
One note - it may be possible to do an Oct/Nov 34 call spread for nearly even (sell Oct/buy Nov). If done for even, that's an arb.
This is trade analysis, not a recommendation.
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last seconds were really crazy, wow
ReplyDeleteNice catch Ophir! I got the Oct/Nov 34 spread for 13 cents.
ReplyDeleteCheap little bet. If the stock is taken over it's a loser, but for a spec play it's a reasonable trade.
ReplyDeleteOphir,
ReplyDeleteAre there any reasons on hump in nov 35 and gap in oct 35 skew (at least visually)?
I don't think so. Just a part of the price discovery process. Skew should look a touch smoother tomorrow I am guessing.
ReplyDeleteIs oct 34-35 vol still in hundreds? wonder why...
ReplyDeleteVol is down substantially, the Oct 34 calls are down ~65% now.
ReplyDeletehmm, TOS is not translating right then... need to switch to Livevol... :)
ReplyDeleteTry the free trial, Alexey.
ReplyDeleteI sure will, by the way, how long is trial period?
ReplyDeletethe end of Oct.
ReplyDelete