Nabors Industries (NBR) - Puts Trade Ahead of Earnings

NBR is trading $30.28, up 0.7% with IV30™ up 4.5%. The LIVEVOL® Pro Summary is below.



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Nabors Industries Ltd. (Nabors) is a drilling contractor that conducts oil, gas and geothermal land drilling operations in the United States Lower 48 states, Alaska, Canada, South America, Mexico, the Caribbean, the Middle East, the Far East, Russia and Africa.

I've done some call order flow, here's one with puts trading ahead of earnings. We project earnings in late April, but after the Apr monthly cycle.

The company has traded over 46,000 contracts on total daily average option volume of just 6,516. Puts have traded on a 2.3:1 ratio to calls. The action is in the May 28 puts where more than 27,500 puts have traded. On the call side, 8,500 Jun 34 calls have traded. The Stats Tab and Day's biggest trades snapshots are included (below).





The Options Tab (below) illustrates that the May 28 puts and Jun 34 calls are mostly opening (compare OI to trade size). In fact, the Jun 34 calls zero OI. Both strikes look like substantially purchases. Needless to say the 27,500 puts would be a gigantic OI for this stock.



The Skew Tab snap (below) illustrates the vols by strike by month.



The skew is quite pretty, actually. The upside in Apr is bent up. It's interesting to note that the ATM in Apr is below the other two months but the upside skew is actually above the other two months. Probably worth some examination.

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).



We can see the stock has been rallying over the last six months. On the vol side, IV30™ is now elevated to HV20 (short-term realized vol) and the HV180 (long-term realized). Again, earnings are likely out of this cycle (i.e. not tomorrow)

Possible Trades to Analyze
1. Spread the upside skew in Apr:
a. For the slightly bullish:
Buy the Apr/May 34 call spread for $0.54. This sells ~43 vol, purchases ~41 vol, and owns the earnings vol month.
b. For the more bullish:
Buy the Apr/May 34/33 call spread for $0.79. This sells ~43 vol, purchases ~41.5 vol, and owns the earnings vol month but also owns slightly more deltas than #1a.

I don't see anything else that jumps out at me simply b/c of the normal looking skew. Please don't miss understand that as a bullish stance on this stock. I have no opinion at all on this stock and just a reminder -- 27,500 puts have traded in the earnings month.

This is trade analysis, not a recommendation.

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Silicon Graphics (SGI) - Calls Trade Ahead of Earnings

SGI is trading $20.67, up 3.5% with IV30™ up 3.1%. The LIVEVOL® Pro Summary is below.



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Silicon Graphics International Corp., formerly Rackable Systems Inc., is a provider of clustered computing and storage, high-performance compute and storage, and data center technologies integrated with a choice of software, customer support services and professional services.

The company has traded over 5,300 contracts on total daily average option volume of just 1,416. All but 30 contracts have been calls, yielding a 177:1 call:put ratio. The action is in the Jun 19 calls where just under 3,500 have traded. The Stats Tab and Day's biggest trades snapshots are included (below).





The Options Tab (below) illustrates that the Jun 19 calls are mostly opening (compare OI to trade size). The orders look like purchases to me and with Jun vol up 1.5 points, the circumstantial evidence is in line. The largest OI in the entire option chain (that I see) seems to be 2,021 (in the Jun 20 calls), so the 3,500 that have traded today in the Jun 19 calls is quite substantial.



The Skew Tab snap (below) illustrates the vols by strike by month.



We can see a rickety skew which makes for some great trades to analyze. It's interesting that Apr vol is above May vol (by a little), while May likely has an earnings cycle (that's just a projection). I've highlighted the Jun 19 calls as well -- note that the strike is essentially perfectly in line with the rest of the strikes, so order flow hasn't done much to that line in isolation.

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).



Most notably, the stock has gone straight up since early Jan 2011. This was a $5.84 stock at one point within the last 52 wks and is now over $20.

Possible Trades to Analyze
1. Trade the Apr/May upside skew
Buy the Apr/May 24 call spread for $0.75. This purchases the earnings OTM calls for less vol than the front month that's sold. Another note: I'm just guessing about earnings -- it may be in Apr.

2. Trade the Apr/Jun upside skew:
Buy the Apr/Jun 23 call spread for $1.15 with the same kind of rationale as #1. If the trade works out to Apr expo, it can be extended with a sale of some then elevated May vol (perhaps the May 24 calls).

3. Follow the same rationale as #1 or #2, but with the puts/put spreads.

This is trade analysis, not a recommendation.

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Power-One (PWER) - Depressed Vol into Volatile Earnings

PWER is trading $8.85, up 1.8% with IV30™ down 4.9%. The LIVEVOL™ Pro Summary is below.



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Power-One, Inc. (Power-One) is a designer and manufacturer of energy-efficient power conversion and power management solutions for renewable/alternative energy, routers, data storage, servers and data centers, wireless communications, optical networking, semiconductor test equipment, industrial markets and custom applications.

I found this stock using a real-time custom scan. This one hunts for low vols.   This one has a little twist.

Custom Scan Details
Stock Price >= $7
IV30™ > 1
IV30™ - HV20™ <= -8 and >= -40
HV180™ - IV30™ >= 7
Average Option Volume >= 1,200
Days After Earnings >= 32
Industry != Bio-tech

The snapshot of the scan is included (below) in case you want to build it yourself in Livevol Pro™.



The goal with this scan is to identify short-term implied vol (IV30™) that is depressed both to the recent stock movement (HV20™) and the long term trend in stock movement (HV180™). I'm also looking for a reasonable amount of liquidity in the options (thus the minimum average option volume), want to avoid bio-techs (and their crazy vol) and make sure I'm not purchasing depressed IV30™ relative to HV20™ simply because of a large earnings move.

The PWER Charts Tab is included (below). The top portion is the stock price, the bottom is the vol (IV30™ - red vs HV20™ - blue vs HV180™ - pink).



We can see:
IV30™: 52.99
HV20™: 65.20
HV180™: 70.50

So, IV30™ is depressed relative to the short term and long term realized movement of the stock. Another thing to note -- this time in the upper portion, look how much the stock has moved on the last two earnings cycles (circled in yellow).The last cycle in particular, close-to-close the stock moved from $11.75 to $9.26 or 21%. More on that in a sec...


We can glance at the Skew Tab below.



The shape is normal for both months, and we can see that May is substantially elevated to Apr b/c earnings are due out in the May cycle.

Finally, let's look to the Options Tab (below).



Notice that the May ATM strangle (8/9) is priced at ~58 vol. From the Charts Tab breakdown above, we know that HV20 and HV180 are both above that level, and the last two earnings cycles resulted in some fairly large volatility (stock movement).


Possible Trades to Analyze
1. Ignore earnings, buy the depressed Apr vol.
The Apr 8/9 strangle is priced at ~ 47 vol. That's well below the short-term and long-term realized vols.

2. Buy earnings vol.
As I mentioned above, even the earnings (May) vol is lower than the trend in the realized. A purchase of the 8/9 strangle (or 8 straddle), may be worth examining.

3. Play it totally different.
If there's a lot of anticipation coming into the next earnings cycle, then maybe Apr vol should be cheap. Perhaps an Apr sale to fund a May purchase is worth analyzing.


This is trade analysis, not a recommendation.

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Clean Energy Fules (CLNE) - Stock and Vol Up Again on Legislation

CLNE is trading $16.84, up 12.8% with IV30™ up 7.5%. The LIVEVOL™ Pro Summary is below.



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Clean Energy Fuels Corp. is a provider of natural gas as an alternative fuel for vehicle fleets in the United States and Canada.

I wrote about CLNE on 2-22-2011. You can read that post here:
Clean Energy Fuels (CLNE) - Vol and Stock Pop on UPS Deal

The stock was up ~ 10% that day to $13 and change. A month later (ish), it's all the way to nearly $17. And the bullish order flow continues...

Here's a quick snippet of news:
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The U.S. House of Representatives is expected to take up Boone Pickens' plan to increase natural gas consumption for a second time next week and this time around the measure, called the NAT GAS Act, is expected to pass. Pickens told reporters in Houston on Tuesday that he expects the bill to pass before the House breaks for its summer recess.
Source: Pickens' Natural Gas Plan Could Pass This Time, from Indie Research by the tickerspy.com Staff.
---

FYI:  Pickens is a founder of Clean Energy Fuels according to the post above.

The company has traded over 15,000 contracts on total daily average option volume of just 2,848. Calls have traded on a 3.7:1 ratio to puts. The most active options are the Apr 15-17 calls. The Stats Tab and Day's biggest trades snapshots are included (below).





The Options Tab (below) illustrates that the Apr 16 and 17 calls are mostly opening (compare OI to trade size). The order flow in all three strikes (Apr 15-17) looks long today and the existing OI in the Apr 15 also looks long. So, in English, call buyers are abundant...



The Skew Tab snap (below) illustrates the vols by strike by month.



We can see at the tail end of the upside skew (OTM calls), the vol is elevated relative to the other strikes in Apr and May. It's interesting to note that the Apr vol is actually below the May vol with the exception of the 19 strike.

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).



We can see the stock pop at the end of Feb (the first blog), and now again today. The IV30™ has just now reached the HV20 (short-term realized vol) and is already well above the long-term realized vol (HV180).

Possible Trades to Analyze
1. Two ways to play the bullish side and still scalp some vol:
a. Apr 18/19 call spread for $0.20. This sells ~ 6 vol points higher than it purchases.
b. Apr/May 19 call spread for $0.35. This sells ~ 8 vol points higher than it purchases.



This is trade analysis, not a recommendation.

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Macy's (M) - Calls Trade but Skew Sits

M is trading $23.83, up 2.9% with IV30™ up 4.0%. The LIVEVOL® Pro Summary is below.



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Macy’s, Inc. (Macy’s) is a retail organization operating retail stores and Internet Websites under two brands (Macy’s and Bloomingdale’s) that sell a range of merchandise, including men’s, women’s and children’s apparel and accessories, cosmetics, home furnishings and other consumer goods in 45 states, the District of Columbia, Guam and Puerto Rico... You now, 'Macy's'...

This is another story about upside order flow similar to the one I posted on MWW, earlier.

The company has traded over 26,000 contracts on total daily average option volume of just 10,653. Calls have traded on a 15.7:1 ratio to puts with the action in the Apr 24, 25 calls (~16,000 total contracts). The Stats Tab and Day's biggest trades snapshots are included (below).





The Options Tab (below) illustrates that the calls in Apr could be mostly opening (compare trade volume to OI). I don't know what's wrong with me today, but these look like sales too (like in MWW). Having said that, with vol up, this does point to buy side orders, substantially.



The Skew Tab snap (below) illustrates the vols by strike by month.



Unlike MWW earlier, the skew in M hasn't moved to order flow, with the possible exception in the Apr 26.

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).



We can see that the stock has stayed in a channel of late but that the IV30™ has tended to trade above historical for the last two months. IV30™ was as high as 40.30 on 3-16-2011.

Possible Trades to Analyze
The skew hasn't really moved so there aren't any obvious kinks to sell (or buy). This one really has two possibilities that I'd like to analyze, though neither is astonishingly insightful (I guess they never are...).

1. Sell the vol:
With IV30™ elevated to both the short-term and long-term historical realized vols, a sale seems worth examining. The caveat of course is, the vol was at 40 just a couple of weeks ago, so patience may be a virtue (isn't it always?).
Sell the Apr 24 straddle @ $1.34.
Cover with a long strangle.

2. Buy the upside:
A bunch of spreads, obviously, are possible. The Apr 25/26 call spread costs ~$0.15 and does sell slightly higher vol than it purchases.

This is trade analysis, not a recommendation.

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Monster Worldwide (MWW) - Vol Explodes, Calls Trade, Skew Bends

MWW is trading $15.49, up 1.3% with IV30™ spiking up 18.6%. The LIVEVOL® Pro Summary is below.



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Monster Worldwide, Inc. (Monster) provides global online employment solution.

I wrote about this company for TheStreet.com this mornin', so I'll skip the individual trade analysis.

The company has traded nearly 12,000 contracts on total daily average option volume of just 2,204. All but 535 contracts have been calls yielding a 21.3:1 call:put ratio. The action has been in the Apr 16 17, 18 calls where ~10,000 contracts have traded. The Stats Tab and Day's biggest trades snapshots are included (below).





The Options Tab (below) illustrates that the calls are mostly opening (compare OI to trade size). Given the vol move the circumstantial evidence points to purchases as the substantial side -- though the Apr 17 calls do look like they were offered down... I'm just sayin'. Having said that, Apr vol is up 15.9 points or 33% today.  This does have the feel of takeover rumor order flow...



The Skew Tab snap (below) illustrates the vols by strike by month.



The story gets interesting right about now... While the upside skew in Apr is bid, the upside in May is a bit muted (relatively). Ok, so what? I believe that MWW has earnings due out in late Apr/early May which means that the upside with an embedded earnings date is cheaper than the front month without earnings.

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).



I've highlighted three things. The first two in the top portion are stock gaps. This stock can move size, fast and often. On the vol side, we can see that IV30™ is just now breaching the HV180 (long-term historical realized vol).

Possible Trades to Analyze
Gotta leave this blank for this one...

This is trade analysis, not a recommendation.

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Limelight Networks (LLNW) - Calls Trade on Facebook Rumor

LLNW is trading $6.94, up 5.6% with IV30™ up 15.0%. The LIVEVOL™ Pro Summary is below.



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Limelight Networks, Inc. (Limelight) is a provider of content delivery network services.

The news moving the stock seems to be a rumor over a potential content deal with Facebook. My source for that was Andrew Wilkinson's post on Seeking Alpha. You can read that article here: Monday Options Brief.

The company has traded over 10,000 contracts on total daily average option volume of just 1,885. All but 790 contracts have been calls yielding a 12.6:1 call:put ratio. The most active lines are Apr 7 calls and secondarily, the May 7 calls. The The Stats Tab and Day's biggest trades snapshots are included (below).





The Options Tab (below) illustrates that both the Apr and May 7 calls are mostly opening (compare OI to trade size). It looks like the Apr 7 calls are purchases and the May 7 calls feel like sales.



The Skew Tab snap (below) illustrates the vols by strike by month.



It's interesting to see that the May 7 strike has higher vol than the Apr 7, but the May 8 strike has lower vol than the Apr 8. This makes a bunch of potential spreads worth examining.

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).



The stock jumped 27% in mid Feb on a better than expected earnings result. The stock closed at $8.20, but since then has fallen all the way back down to the $6 level (and today is spiking to nearly $7). The vol spiked ahead of the news (or on the news) and has come back down to the long-term historical trend (HV180). This stock definitely has the propensity to jump around.

Possible Trades to Analyze
1. Spread the Apr Skew:
Buy the Apr 7/8 call spread for $0.30. This sells ~ 5 points higher vol than it purchases, which is a nice trick in a call spread.

2. Calendar Spread Apr/May upside skew:
Buy the Apr/May 8 call spread for $0.25. This sells ~ 4 points higher vol than it purchases.

3. Diagonal Calendar:
Buy the May 7 calls for $0.75.
Sell the Apr 8 calls @ $0.10.
If the stock rips up, this trade likely wins. If the stock stays around $7 into Apr expo, then the trade can be extended with a sale of the May 8 calls.

This is trade analysis, not a recommendation.

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Huntsman (HUN) - Calls Trading, Skew Moving, Rumors Continuing

HUN is trading $17.59, up 5.1% with IV30™ up 10.6%. The LIVEVOL® Pro Summary is below.



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Huntsman Corporation is a manufacturer of differentiated organic chemical products and of inorganic chemical products.

This company has been a takeover target/rumor for so long I can't even remember when it started. Today, the rumors have returned.

The company has traded nearly 17,000 contracts on total daily average option volume of just 3,382. Calls have traded on a 46:1 ratio. The Stats Tab and Day's biggest trades snapshots are included (below).





Turning to the Options Tab we can see the action. The Apr 18 calls have traded more than 9,500x on relatively small OI while the Apr 19 calls have traded more than 1,800x on relatively small OI. The direction feels like purchases as the vol is up, the stock is up, and the skew is tilting. The actual execution prices are ambiguous though in terms of backing out a direction. So, it's circumstantial evidence at this point.



The Skew Tab snap (below) illustrates the vols by strike by month.



We can see the Apr upside skew goes straight up as vol by line adjusts to the order flow. A vol divergence has opened up between the upside in Apr and May on the 19 line (the 20 strike in Apr is just nickel bid, so don't get too excited).

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).



We can see an abrupt reversal in the IV30™ as of today's 10%+ pop. Right now IV30™ is above both the short-term realized movement of the stock (HV20) and the long-term trend (HV180), but not by much. We can also see that IV30™ reached as high as 46.41 as recently as 3-16-2011, so if the vol is going to start rising, there may be some room yet to go.

Possible Trades to Analyze
I'll keep this generic (ish). There are some upside skew trades on the board whether they be in Apr or Apr to May.

For you traders that like to sell vol (hi, I'm a vol seller), as I mentioned earlier, there is a possibility the vol creeps even higher, so analyzing a vol sale is worth the time, but it might be worth revisiting that analysis in the near future.

This is trade analysis, not a recommendation.

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