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Salix Pharmaceuticals, Ltd. (Salix) is a specialty pharmaceutical company dedicated to acquiring, developing and commercializing prescription drugs used in the treatment of a variety of gastrointestinal diseases, which are affecting the digestive tract.
Something has just happened - not sure what yet. Check out the Tick Chart (price on the bottom and vol (Mar options) on the bottom).
The company has traded 16,169 options on total daily average option volume of just 536. Puts have traded over 15,000x yielding a nearly 40:1 ratio with calls. The action is in the Mar options - over 10,000 Mar 37 puts have traded. The Stats Tab and Day's biggest trades snapshots are included (below).
The Options Tab (below) illustrates that the Mar 37 puts are opening (compare OI to trade size). The Mar 40 puts look like purchases as well, the Mar 35 are less clear to me.
280,000 shares of stock traded (were purchased) with these puts. The breakeven low price is ~ $30.30, on the high end it's ~$51.50. I've included the PnL on Mar expo for these puts and stock, below.
The Skew Tab snap (below) illustrates the vols by strike by month.
What I see first here, is that the front month (red) is well below the back two. Clearly something is priced into the Mar options - some sort of news, decision, FDA conference, etc. I also note that the Mar 22.5 puts are $0.30 bid - whoa...
Finally, the Charts Tab (6 months) is below. The top portion is the stock price, the bottom is the vol (IV30™ - red vs HV20™ - blue vs HV180™ - pink).
Check out the vol. Holy momma... That is a vol spike. Yesterday IV30™ jumped over 20%, and as of this writing it's up another 40% on top of that today.
Possible Trades to Analyze
No specifics here, but just note how wide the markets are. Please don't trade the NBBO the bad way. Limit orders are a must.
This is trade analysis, not a recommendation.
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"I also note that the Mar 22.5 puts are $0.30 bid - whoa..." whoa..., as in expensive or cheap?
ReplyDeleteI just meant that there is legitamtely value to those puts that are 50% down.
ReplyDeleteThe event is the March 7 PDUFA date for Xifaxan (label expansion).
ReplyDelete