Foster Wheeler (FWLT) - Low Vol on Moving Stock

FWLT is trading $32.94, down 0.8% with IV30™ up 1.2%. The LIVEVOL™ Pro Summary is below.



I wrote a note on this stock on 9-28-2010 with the stock trading $24.67. Click the title to read that post (below):
Foster Wheeler (FWLT) - Oct Call Buyers on Promising News; Buyout Rumors Surface

Today, I found this stock using a real-time custom scan. This one hunts for low vols.

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

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 FWLT 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™: ~37.57
HV20™: 45.00
HV180™: 46.37

So, IV30™ is depressed relative to the short term and long term realized movement of the stock. The HV is elevated because the stock has been rising rather abruptly. We can see a gap up on earnings and then a more recent rise. On 11-3-2010 the stock was trading $23.73, it's up ~39% since then.

The Skew Tab (below) illustrates the vols by month. I've only included the front two months.



A normal looking skew to the downside, but an elevated vol to the upside in both Dec and Jan.

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



Possible Trades to Analyze
1. Buy the Jan 33 straddle for $3.35 or ~38 vol.

2. More aggressive, buy the Dec 33 straddle for $1.43 or ~ 38 vol.

3. Do #1 but sell something.
Sell the Jan 30 puts @ $0.62 (~40 vol). This cuts the total debit to $2.73, but also severely limits the profit potential to the downside.

4. A little riskier: Do #3 and sell two Jan 30 puts.
The debit now becomes $2.11, but the position is now naked downside below $30.

5. A contrarian trade:
Sell the Dec 33 straddle @ $1.37.
Buy the Dec 32/43 strangle for $$0.64.
This yields a net credit of $0.73 (MaxGain) with a MaxLoss of $0.27 or a 2.7:1 ratio. The PnL range for this one is very small, though.

6. Try #5 but buy the Dec 31/35 strangle for $0.27. This creates a $1.10 credit (MaxGain), with MaxLoss of $0.90.

Note that #5 and #6 both sell depressed vol.

This is trade analysis, not a recommendation.

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Eastman Kodak (EK) - Vol Rips, Calls Active on... Something?

EK is trading $5.36, up 12.3% with IV30™ up 33.3%. The LIVEVOL™ Pro Summary is below.



I found this stock from the Top Scans --> High Option Volume.

The company has traded over 45,000 contracts on total daily average option volume of just 4,597. Over 42,000 calls have traded yielding an 11:1 call:put ratio. The Stats Tab and Day's biggest trades snapshots are included (below).





The Options Tab (below) illustrates the action. The Dec and Jan 5, 5.5, 6 7 calls are trading. With the exception of the Jan 5 calls, the rest are all trading more than OI.



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



The upside skew is bent like crazy in the Dec options. The feels takeover (ish) or something, but EK... I dunno...

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 gapped up on 10-27-2010 on earnings and now again today. For what it's worth, on 7-28-2010 the stock gapped down from earnings.

I dunno... Doesn't this whole thing feel like a head fake? Either that or you know... not a head fake...

This is trade analysis, not a recommendation.

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AIG - Vol Explodes on Bailout Ownership Changes

AIG is trading $46.22, up 9.5% with IV30™ up 35.6%. The LIVEVOL™ Pro Summary is below.



News:
------------------------
Bailed-out insurance conglomerate American International Group Inc. is taking a key step toward paying off a bailout that was at one point worth US$182 billion the largest of the financial crisis.

The company says in a public filing Wednesday that it will pay off a loan from the Federal Reserve Bank of New York. AIG says that will clear the way for the Treasury to sell off the government's stake. Treasury's stake in AIG will temporarily rise from roughly 80 per cent to 92 per cent, as part of the deal.
Source: The Canadian Press
------------------------

There's more, but I'm not gonna copy all those stories.

I found AIG using a custom scan I built searching for names where IV30™ is up at least 10% today. The scan details are below with a snapshot if you want to build it yourself in Livevol Pro.

Custom Scan Details
Stock Price >= 10
Average Option Volume >= 1,200
Days After Earnings >= 5 and <= 60
IV30™ Percent Change >= 10%
IV30™ >= 10

The goal here is find stocks more than $10, with a greater than 10% rise in IV30™ (short-term implied) that is not due to an earnings date, with enough option liquidity to trade.



The AIG 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).



IV30™: 40.20
HV20™: 28.19
HV180™: 47.43

We can see the IV30™ rising as the stock has popped on the news. Now the Skew Tab (below).



We can see a notable upside skew, especially in Dec to the OTM calls.  Finally, let's look to the Options Tab.



Possible Trades to Analyze
1. I'm not usually a premium buyer, but the Dec 46 straddle is priced at
~$2.45 fair value and the stock has moved $4.00 today alone. I dunno, feels like that straddle is kind of cheap.
Buy the Dec 46 straddle for $2.50.

2. Take a little of that premium off with an upside skew sale.
Trade #1 +
Sell the Dec 50 call @ $0.40. This reduces the net debit to $2.10.

3. Trade #2 and sell a put, like the Dec 43. But, I dunno if a $0.20 sale is worth it.

This is trade analysis, not a recommendation.

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Ivanhoe Mines (IVN) - Stock Drop, Takeover Offer and Elevated Vol

IVN is trading $25.48, up 2.0% with IV30™ up 1.1%. The LIVEVOL™ Pro Summary is below.



The stock just came up on a real-time custom scan. This one hunts for calendar spreads between the front two months. The stock gapped down over $4 of couple of days ago and is up for sale; more on that below.

Custom Scan Details
Stock Price >= $5
Sigma1 - Sigma2 >= 8
Average Option Volume >= 1,000
Industry != Bio-tech
Days After Earnings >=5 <=70
Sigma1, Sigma2 >= 1

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 back months that are cheaper than the front by at least 8 vol points. 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 selling elevated front month vol simply because earnings are approaching.

News:
----------------------
The steep decline in shares of Ivanhoe Mines(IVN) on Wednesday can be divided into two separate investor concerns: first, an immediate and negative take on valuation, and second, a sense that the speculative mining play is losing longer-term leverage to sell itself on the best terms.

Ivanhoe Mines announced concurrent to a new deal with Rio Tinto(RIO) to fund its Mongolian copper and gold project, Oyu Tolgoi, that Ivanhoe will be issuing $1.2 billion in shares. Ivanhoe also provided a capex forecast that was much higher than the company's previous capex plan.

Ivanhoe Mines shares were down 13% near midday, and trading of 7 million shares was well above the less than 2 million average trading volume for the speculative mining play.

The knee-jerk reasons for the selloff were the valuation call on the mining company's stock as a result of the dilution to come from the rights issuance, and the negative surprise on capex.
Source: TheStreet, written by Eric Rosenbaum.
----------------------

Now we can turn to the Charts Tab (below). The top portion is the stock price, the bottom is the vol (IV30™ - red vs HV20™ - blue vs HV180™ - pink).



I've highlighted the large stock move down and contemporaneous HV20™ pop.

More news came after the stock drop regarding a takeover. That news is below:
----------------------
Ivanhoe Mines (IVN) is expected to try to sell itself, sources said, and will likely employ a two-step process in which the company first sells or spins off all its assets except its stake in the Oyu Tolgoi copper-gold mine.

After disposing of its other assets, Ivanhoe would then seek a buyer for the part of the company not owned by Rio Tinto (RIO), its largest shareholder. Rio would have the opportunity to make an offer if Ivanhoe moves forward on selling itself, and BHP Billiton (BHP), Xstrata (XSRAF.PK) and Anglo American (AAUKY.PK) might also be interested in the copper mine stake.

Source: Seeking Alpha, written by Rachael Granby.
----------------------

Interesting...

Looking to the Skew Tab (below), we can see the elevated vol in the front month (red line) relative to the second month (yellow line).



We can see how the front month is elevated to the back. I've highlighted the 27 line, as that vol diff looks the largest (about 13 vol points).

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



Potential Trades to Analyze
1. Sell the Dec 27 call @ $0.35.
Buy the Jan 27 calls for $1.20.
Net debit of $0.85, selling ~ 63 vol and purchasing ~ 54 vol. This is a bet that IVN upside moves come after Dec expo.

2. Sell the Dec 25 straddle @ $1.80 (~60 vol).
Buy the Jan 25 straddle for $3.75 (~53 vol).
Net debit of $1.95. I dunno, not in love with this one for some reason.

3. Riskier Trade:
Sell the Dec 27 call @ $0.35.
Buy the Jan 27 calls for $1.20.
Sell the Jan 29 calls @ $0.60.
Pay $0.25 for what will hopefully turn into a Jan 27/29 call spread. Worst case, a takeover blows this position up over $29 pre Dec. expo.

4. Riskiest Trade:
Do #3, and sell the Jan 22.5 put @ $0.65. Net this position collects $0.40, and is naked the downside throughout, and the upside until Dec expo. A purchase of the Dec 23 puts for $0.20 protects the downside until Dec expo.

This is trade analysis, not a recommendation.

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Harmony Gold (HMY) - Time Spread and Popping Stock

HMY is trading $12.14, up small with IV30™ down 0.5%. The LIVEVOL™ Pro Summary is below.



The stock just came up on a real-time custom scan. This one hunts for calendar spreads between the front two months.

Custom Scan Details
Stock Price >= $5
Sigma1 - Sigma2 >= 8
Average Option Volume >= 1,000
Industry != Bio-tech
Days After Earnings >=5 <=70
Sigma1, Sigma2 >= 1

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 back months that are cheaper than the front by at least 8 vol points. 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 selling elevated front month vol simply because earnings are approaching.

Looking to the Skew Tab (below), we can see the elevated vol in the front month (red line) relative to the second month (yellow line).



We can see how the front month is elevated to the back, especially the Dec 12 and Jan 12.5 lines.

Now we can turn to the Charts Tab (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 moved up from $11.33 to $12.69 in between 11-30-2010 and 12-6-2010.

IV30™: 40.61
HV20™: 43.49
HV180™: 34.13

So the sort-term realized and implied vols are well above the long-term trend in the stock.

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



Potential Trades to Analyze
1. Calendar Spread:
Sell the Dec 12 straddle @ $0.70 (47 vol).
Buy the Jan 12.5 straddle for $1.45 (~41 vol).
Pay $0.75. Note that this trade carries a delta as the strikes are offset.

2. Put Calendar Spread:
Sell 1 Dec 12 put @ $0.25 (~45 vol).
Buy 1 Jan 12.5 put for $0.90 (~40 vol).
Pay $0.65. Note that this bet carries a delta because of the offset strikes.

3. For you risk lovers:
Do #1 and also sell the Jan 11 put @ $0.20 (~39 vol).
This yields a net $0.55 debit and evens out the deltas a bit while leaving the downside naked short until Dec expo.

This is trade analysis, not a recommendation.

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Sara Lee (SLE) - Vol Rips; Calendar and Skew Scalp On the Board

SLE is trading $15.73, up small but with IV30™ ripping up 32.2%. The LIVEVOL™ Pro Summary is below.



I found this stock using a custom scan that searches for names where IV30™ is up at least 10% today. It also showed up on my calendar spread scan. The vol increase scan details are below with a snapshot if you want to build it yourself in Livevol Pro.

Custom Scan Details
Stock Price >= 10
Average Option Volume >= 1,200
Days After Earnings >= 5 and <= 60
IV30™ Percent Change >= 10%
IV30™ >= 10

The goal here is find stocks more than $10, with a greater than 10% rise in IV30™ (short-term implied) that is not due to an earnings date, with enough option liquidity to trade.



The only interesting news I found in SLE is about a completed sale of its global Body Care and European Detergents businesses to Unilever for Euro 1.21 billion. (Source: PR Newswire). I am probably missing something here, so do your homework, please.

The SLE 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).



IV30™: 35.10
HV20™: 21.94
IV180™: 21.91

We can see the IV30™ has exploded today as is now well above the HV180™ (long-term realized) and the HV20™ (short-term realized).

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



It's the 16 strike that has the vol diff. Let's look to the Options Tab below.



Possible Trades to Analyze
1. Spread the months:
Sell the Dec 16 call @ $0.30.
Buy the Jan 16 call for $0.65.
This pays $0.35, sells 40.3 vol and purchases 33.5 vol.

2. Spread the skew in Jan:
Buy the Jan 16 call for $0.65.
Sell the Jan 17.5 call @ $0.25.
This pays $0.40, buys 33.5 vol and sells 37 vol in a call spread.

3. For you risk lovers:
Buy the Jan 16 call for $0.65.
Sell the Dec 16 call @ $0.30.
Sell the Jan 17.5 call @ $0.25.
This nets a $0.10 debit, but is naked upside until Dec expires. It sells the elevated vol twice. Keep in mind, a vol pop does not automatically mean a sale. Vol rising means risk rising, so, ya know... Be careful...

For what it's worth (not a lot), I wouldn't be naked options until I knew what this vol pop was about. Also, paying $0.05 in the Dec 15 puts seems super cheap with vol exploding, no?...

This is trade analysis, not a recommendation.

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Orexigen (OREX) - FDA Decision Out, Stock Pops & Recap

OREX is trading $10.37, up huge on FDA news. The LIVEVOL™ Pro Summary is below.



News:
--------------------
FDA panel recommends approval for ContraveA Food and Drug Administration panel on Tuesday recommended that the agency approve Orexigen Therapeutics Inc.'s weight loss drug Contrave, making it the first in group of competitors to get a positive nod from experts. The panel of experts voted 13 to 7 for Contrave's approval, and 11 to 8, with an abstention, that additional studies be conducted on heart risks. Experts had voiced safety concerns on the drug, but determined the benefits outweigh the risks.
Source: AP
--------------------

I wrote about OREX, pre-news, on 11-30-2010. You can read that post here:
Orexigen (OREX) - Trading a Bio-tech and FDA News

I felt that the options market reflected a better chance that the FDA would approve than not. Specifically, with the stock trading $5.38, the Dec 4 puts were priced the same as the Dec 9 calls. It looks like the options market was right... this time.

The stock is whipping around, so as of ~ 9:40am EST, let's take a quick look at the Options Tab, below, and the possible trades that we analyzed. It does feel like the stock is headed a touch lower as of right now. It looks like it was as high as $12 pre-market.




Possible Trades to Analyze
1. Bet on a muted move, like HGSI:
Sell the Dec 6 straddle @ $3.70
Buy the Dec 3/9 strangle for $1.15
Open: $2.55 credit
Close: $2.80 debit
Net: $0.25 loser (-10%)

2. Go to Jan for the bet on a muted move:
Sell the Jan 6 straddle @ $3.95
Buy the Jan 2.5/9 strangle for $1.25
Open: $2.70 credit
Close: $2.70 debit
Net: Unchanged

3. Bet on a big move up:
Buy the Dec 7/11 call spread and pay $0.95.
Open: $0.95 debit
Close: $2.85 credit
Net: $1.90 winner (+200%)

An alternative is the 8/11 call spread for $0.50 if possible,
Open: $0.50 debit
Close: $1.95 credit
Net: $1.45 winner (+ 290%)

4. Bet on a smaller move up:
The Dec 6/8 call spread for $0.55 seems reasonable.
Open: $0.55 debit
Close: $1.90 credit
Net: $1.35 (+ 245%)

5. For you risk lovers, a Dec 5/8/11 long x short x short call spread costs $0.40.
Open: $0.40 debit
Close: $1.50 credit
Net: $1.10 (+ 275%)

6. Do nothing, just watch...

So, in this case, given the upside tilt to the options market, obviously getting long the deltas was a winner. Selling the meat and buying the wings to cover proved to be a loser, but a small one. Of all the bets, I think I liked that one the best - though this time it would have been a losing bet.

This is trade analysis, not a recommendation.

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SLM - Calls Trade, Vol Rips, Skew Bends

SLM is trading $12.17, up 2.4% with IV30™ popping 10.7%. The LIVEVOL™ Pro Summary is below.



I found this stock using a custom scan I built searching for names where IV30™ is up at least 10% today. The scan details are below with a snapshot if you want to build it yourself in Livevol Pro.

Custom Scan Details
Stock Price >= 10
Average Option Volume >= 1,200
Days After Earnings >= 5 and <= 60
IV30™ Percent Change >= 10%
IV30™ >= 10

The goal here is find stocks more than $10, with a greater than 10% rise in IV30™ (short-term implied) that is not due to an earnings date, with enough option liquidity to trade.



The company has traded over 143,000 contracts today on daily average volume of just 7,488. Calls have traded on an 11:1 ratio to puts. The Stats Tab snap is included below.



The SLM 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).



IV30™: 40.08
HV20™: 26.00
IV180™: 44.31

We can see the IV30™ is in between HV180™ (long-term realized) and HV20™ (short-term realized). So, it's "fair" ish.

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



Notice the gaping vol difference between the ATM strikes in Dec and Jan. It's over 10 vol points with an IV30™ of just 40.  Let's look to the Options Tab.



Possible Trades to Analyze
1. A Dec/Jan 13/12.5 call spread paying $0.42 is an interesting play. The MaxLoss is $0.42. If the stock jumps abruptly passed $13 in Dec. expo, the MaxGain is just $0.08. The trade scalps about 10 vol points.

The added bonus... Earnings might be in the January cycle. Jan expo is 1-21-2011, with an earnings date projected in the ten day period 1-17-2011 to 1-27-2011. Selling elevated vol to purchase depressed vol and getting an earnings date is a great little trick.

2. Other spreads looking to sell elevated vol versus depressed vol either in the same month or in a calendar spread seem worth a look.

This is trade analysis, not a recommendation.

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Legal Stuff:
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Citigroup (C) - Stock and Vol Pop on Government Exit

C is trading $4.63, up 4.0% with IV30™ jumping 10.0% on the US government exit news. The LIVEVOL™ Pro Summary is below.



News from AP below:
-------------------------------------
NEW YORK -- Citigroup Inc.'s shares rose in premarket trading after the U.S. government made a deal to sell remaining shares of the company for a $12 billion profit on the big bank's bailout.

The stock of the bank added 12 cents, or 2.7 percent, to $4.57 on Tuesday.
The Treasury Department said late Monday that it's selling 2.4 billion shares at $4.35 apiece. Adding in the $20 billion that Citigroup repaid in December 2009, the government will get back a total of $57 billion from the bailout.

Citigroup received $45 billion in taxpayer support late in 2008 in one of the largest rescues undertaken by the government as it worked to stem the worst U.S. financial crisis since the Great Depression.
The government stepped in to rescue other banks during the financial meltdown. The latest estimate from the Congressional Budget Office in late November was that the $700 billion Troubled Asset Relief Program would end up costing the government $25 billion, down from an August CBO estimate of $66 billion.
Source: AP
-------------------------------------

The company has traded 1.4 million contracts on total daily average option volume of just 518,594. Calls have traded on 5:1 ratio to puts. Net premium and net deltas are very positive - people are buying calls. The Stats Tab and Day's biggest trades snapshots are included (below).





The Options Tab (below) illustrates the action. Jan 4, 4.5 and Dec 4.5 calls are active in the front two months.



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



We can see that both Dec and Jan have upside skew.

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 jumped of late going from ~$4.10 to now over $4.60 in the last two weeks or ~12%.

Potential Trades to Analyze
There are a few ways to play this one.

1. You can look to purchsase stock if you believe in the recovery story.

2. You can sell some elevated vol while getting long:
Do a buy-write (or selling a put is equivalent).

3. Do #1 and sell some puts. Double long and selling the elevated vol.

4. Buy cheap calls and look for both a stock rise and a vol increase.

5. Just sell vol (straddles and stangles) delta neutral.

This is trade analysis, not a recommendation.

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Legal Stuff:
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Stillwater Mining (SWC) - Calendar Vol Spreading

SWC is trading $21.71, down 3.3% with IV30™ unched. The LIVEVOL™ Pro Summary is below.



The stock just came up on a real-time custom scan. This one hunts for calendar spreads between the front two months. I actually like both sides of this trade; the vol sale and the vol purchase. Details below.

Custom Scan Details
Stock Price >= $5
Sigma1 - Sigma2 >= 8
Average Option Volume >= 1,000
Industry != Bio-tech
Days After Earnings >=5 <=70
Sigma1, Sigma2 >= 1

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 back months that are cheaper than the front by at least 8 vol points. 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 selling elevated front month vol simply because earnings are approaching.

Looking to the Skew Tab (below), we can see the elevated vol in the front month (red line) relative to the second month (yellow line).



We can see how the front month is elevated to the back. I've highlighted the ATM strikes and the gaping vol diff which is approximately 18 vol points wide.

Now we can turn to the Charts Tab (below). The top portion is the stock price, the bottom is the vol (IV30™ - red vs HV20™ - blue vs HV180™ - pink).





I've indicated with the yellow line the level of the Dec options (~78 vol) and the Jan options (~59 vol).

Dec IV: 78
HV20™: 71.41
HV180™: 64.44
IV30™: 62.76
Jan IV: 60

Like yesterday's post on FSLR, the Dec vol and Jan vols look like reasonable trades to analyze on their own. When taken together, they make a nice little pair.

Note that the stock has run up of late from ~ $19 to now over $21.70 in the last few days.

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



Potential Trades to Analyze
1. Sell the Dec 22 straddle @ $2.15 (75 vol).
Purchase the Jan 22.5 straddle for $3.80 (56 vol).
Pay $1.65.

2. Sell the Dec 21/22 strangle @ $1.70 (77 vol).
Purchase the Jan 21/22.5 strangle for $3.00 (60 vol).
Pay $1.30

3. Do some call or put spreads month-to-month:
Dec/Jan 23/22.5 call spread.
Dec/Jan 20 put spread.
Or whatever catches your fancy.

4. Do just one side. Just sell Dec or just purchase Jan.

This is trade analysis, not a recommendation.

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Legal Stuff:
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Verigy (VRGY) - Huge Trades in Takeover Seem... Lucky?

VRGY is trading $13.00, up 42.1% with IV30™ up 38.7% on takeover news. The LIVEVOL™ Pro Summary is below.



Here's our little news snippet:
-----------------------------------
Announced on 12/06/2010
Verigy Ltd. (VRGY ) announced on Monday December 6, 2010 that it had received an unsolicited bid from Advantest Corp. (ATE) for $12.15 per share in cash. Verigy has a pending transaction with LTX-Credence (LTXC ). In the LTX-Credence (LTXC ) - Verigy Ltd. (VRGY ) merger proposal, LTX-Credence (LTXC ) shareholders would receive .96 shares of Verigy Ltd. (VRGY) per LTX-Credence (LTXC ) share.
-----------------------------------

There was some rather large order flow on 11-18-2010 (Thursday before expo). First, the company's average is included below:



So, basically this company doesn't really trade, it averages 279 calls a day and 359 contracts in total (daily)... But on 11-18-2010:



Yeah, see the green numbers. 3,141 Dec 8 calls (on zero open interest) and 2,297 Dec 9 calls on 75 OI. The company has averaged 279 calls traded a day. The largest OI on Nov 18th was 123 in the Dec 9 puts.

The next day, another 500 Dec 8 calls traded and were entirely (100%) long opens.

So ~2000% of avg. daily volume traded on Nov. 18th long in the calls and three weeks later a takeover. That turned a ~$250,000 bet into ~$2.2 million. Prior to 11-18-2010 (when 5,439 calls traded) there wasn't a single day when more than 2,200 calls traded over the 6 months prior...

Before making judgement, we can note that on and around 11-18-2010, the stock was down ~10% on news of their own takeover. So, one could argue that the stock was depressed and someone swooped up some calls.

To me, 20x average volume in front month calls (it was one day before Nov expired) doesn't feel like an investment that the stock will rally.

That's one hell of a lucky bet...eh hem...

This is trade analysis, not a recommendation.

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Legal Stuff:
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