Ctrip.com (CTRP) - Volatile Stock and Three Day Straddle

CTRP is trading $41.34, up 7.0% with IV30™ down 7.2%. The LIVEVOL™ Pro Summary is below.



Ctrip.com International Ltd. is a travel service provider for hotel accommodations, airline tickets and packaged tours in China.
The stock just came up on a real-time custom scan. This one hunts for calendar spreads between the front two months. In order for a trade to have any legs that sells the expiring month this close to expo, there's gotta be a stock move... And we have one with this stock, today.

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 (which is normal this close to expo). What isn't normal is the size of the spread (vol diff). The Dec/Jan 41 straddle vol diff is ~22 points, or nearly 50% of the IV30™. Whoa...

Last expo (three days prior), the vol difference was more like 11 points. I've included that Skew Chart below.



So the vol difference this time around is due to the stock gap down yesterday, which was pretty size. Today it has rebounded. The thing is, nobody seems to know why the stock gapped down. Here's the news from Motely Fool.com:
----------------
Shares of Chinese travel agency Ctrip.com (Nasdaq: CTRP) dropped more than 13%, on four times the typical day's trading volume. The company has not publicly released news that would explain the large move in shares, but the company's stock is richly valued and tends to be volatile.
Source: MotelyFool
---------------

Hmm...

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



Potential Trades to Analyze
1. Sell the Dec 41 straddle @ $1.65 (~66 vol)
Buy the Jan 41 straddle for $5.00 (~48 vol)
Pay $3.25.

2. Do a calendar strangle:
Sell the Dec 40/42 strangle @ $0.85 (~67 vol)
Buy the Jan 40/42.5 strangle for $3.85 (~48 vol).

3. Ok, here's a total 180:
Buy the Dec 41 straddle for $1.80. I mean, think about it, the stock moved ~$6 yesterday and $2.70 today... Sheesh, $1.80 feels cheap, no?

4. Continuing the contrarian play:
Do #3 and sell the Dec 39/43 strangle @ $0.45 to reduce the net debit to $1.35.

This is trade analysis, not a recommendation.

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AIG - Vol and Stock Move Re-visited

AIG is trading $51.75, down small with IV30™ up 1.4%. The LIVEVOL™ Pro Summary is below.



I wrote about AIG on 12-9-2010, in particular, with the stock moving I felt the vol was kinda low. You can read that post below:
AIG - Vol Explodes on Bailout Ownership Changes

We looked at three 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.

Anyway, they all won simply because the stock moved $6 (or whatever). Let's look at the Skew Tab today (below).



So we see that the front month (i.e. the front 3 days) are very elevated (as usual) compared to the back month. There is a fairly substantial upward bend to the skew to the upside. I've highlighted the 55 strike vol difference (38 points).

Let's look 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 that wild move up from ~$42 to now ~$52 in the last week or so. We can also see that the IV30™ (short-term implied vol) is below the HV20™ (short-term realized vol) and the HV180™ (long-term realized vol). Specifically:

IV30™: 46.97
HV20™: 55.91
HV180™: 50.00

Finally, let's look to the Options Tab.



The question now, is the AIG vol still too low? The Jan ATM straddle is priced at ~ 47 vol, so it's come up ~7% from the Dec ATM straddle in the last post. This feels like one of those trades that will keep working, until it doesn't, with the "doesn't" turning into a painful loser. Let's look at some trades, but keep a close mind on the fact that the IV30™ only looks low because the HV20™ has catapulted up on the AIG stock move of late.

Possible Trades to Analyze
1. Buy the Jan 50 straddle for $6.30 and hope AIG moves a lot. This trade might be a winner intra-month with some stock moves rather than a trade to hold to expo. This would be an "active" trade, not a "sit and watch" trade.

2. Do #1, but sell that upside skew in Dec for a three day scalp.
Sell the Dec 55 call @ $0.36 (85 vol). Note that if AIG rips passed 55, this is a loser.

3. For you risk lovers:
The upside is super bid because of the recent stock move, Do #2 but sell 2 of the Dec 55 calls.

This is trade analysis, not a recommendation.

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Valassis Communications (VCI) - Vol & Stock Pop on Upcoming News

VCI is trading $35.56, up 2.5% with IV30™ up 5.6%. The LIVEVOL™ Pro Summary is below.



I noticed the stock because of it's vol and stock jump at ~3pm EST. The Tick Chart is included below. The top is the stock price, the bottom is the Dec vol.



I've circled the pop. Here's the news:
-----------------------------
12:04PM Valassis surging after announcing it will issue guidance tomorrow Dec 15: Co announced today that it will host a conference call Dec. 15, 2010, at 11am ET to discuss its 2011 guidance. Valassis' 2011 guidance press release will be published before the market opens on Dec. 15.
Source: Yahoo! Finance
-----------------------------

So, with earnings coming out, the vol popped - makes sense. But why did the stock pop? Hmm... Would a company surprise with an earnings announcement if it was bad news? I think the market has decided, no, it wouldn't. That means not only are earnings coming out, but now expectations are embedded in the options. Let's look to the skew tab to see what the Options market is reflecting.



Check out the upside skew in Dec (but not in Jan). Hmm...again...  Let's look at the Charts Tab and peak at the current vol level.



Specifically:

IV30™: 35.56
HV20™: 27.10
HV180™: 44.55
Jan IV: 40.29
Dec IV: 80.12

Possible Trades to Analyze
A standard calendar spread isn't really much fun here because it's just selling the earnings vol. Let's look at some slightly creative stuff:

1. Given the upside skew that has developed in the Dec OTM calls:
Buy the Dec/Jan 37.5 call spread (sell Dec/ buy Jan) for $0.85. This purchases ~40 vol and sells ~75 vol but it also has a positive delta. Ideally, VCI pops to $37.5 at expo for this trade.

2. The upside skew also brings about an interesting call spread within Dec:
Buy the Dec 37.5/40 call spread for $0.30. This purchases ~87 vol and sells ~ 105 vol. It's a $2.50 call spread for just $0.30, but... It's a bullish bet on essentially a one day move. The MaxGain:MaxLoss payout is 7.33:1, but the odds of winning are certainly less than 50%. The question is if the bad odds are overcome with a superior payout.

3. Feeling contrarian? Sell that upside in Dec naked. Risky...

This is trade analysis, not a recommendation.

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Tesoro (TSO) - Elevated Vol and Expo

TSO is trading $16.94, down 1.0% with IV30™ up 1.0%. 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 (which is normal this close to expo). There's also a parabolic bend up (upside and downside) in Dec.

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 IV30™ has risen passed HV20™ and HV180™, so it is elevated a touch. The stock has risen nicely of late, though in the last week has done a little turn down.

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



Potential Trades to Analyze
1. Start Simple:
Sell the Dec 17 straddle @ $0.69 (~54 vol).
Buy the Jan 17.5 straddle for $1.81 (~40 vol).
Net debit is $1.12. Note the offset strikes - that creates a delta to this position.

2. More complex:
Do #1, sell the Jan 15 put @ $0.21 (~42 vol). This reduces the debit to $0.91, but is naked both sides if the stock moves size in the next 3.5 days.

3. For you risk lovers:
Do #2 and sell the Dec 16/18 strangle @ $0.14 (~59 vol). This reduces the debit to $0.77. If TSO sticks around here to expo, this can probably be closed for a winner on Friday close.

Note: TSO is an independent petroleum refiner, so one day surprise moves are a real possibility. Getting overly short the $0.10 options in this one doesn't feel like a smart play. Also, the Jan options are pretty expensive. This one may be a pass overall unless you have some strong convictions.

This is trade analysis, not a recommendation.

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New York Times (NYT) - Elevated Vol on Positive Guidance

NYT is trading $9.39, up small with IV30™ up 4.5%. The LIVEVOL™ Pro Summary is below.



There was some interesting news on 12-7-2010. You can read that below:



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

Custom Scan Details
Stock Price >= $7 and <= $70
IV30™ - HV20™ >= 10
HV180™ - IV30™ <= -8
Average Option Volume >= 1,200
Industry != Bio-tech
Days After Earnings >=10 and <=60

The goal with this scan is to identify short-term implied vol (IV30™) that is elevated 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 selling elevated IV30™ simply because earnings are approaching. The NYT 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™: 61.34
HV20™: 35.62
HV180™: 51.03

So the IV30™ is elevated relative to the short term and long term realized movement of the stock.

Let's look to the Options Tab (below).



Possible Trades to Analyze
1. Sell the Jan 9 straddle naked @ $1.45. Very risky...

2. Do #1 but purchase the Jan 7.5/10 strangle for $0.65. This yields a net debit of $0.80.

3. Do #1, but purchase the Jan 10 call for $0.45. This yields a $1.00 credit, so there is no upside risk. It is naked downside, starts to lose below $8. If you believe the news will be good going forward (or at least, not bad) based on that guidance (top of article), this trade has a neat little payout in that it sells ~62 vol, has no upside risk and generates a $1.00 credit on a $9.39 stock (or 10.6%).

This is trade analysis, not a recommendation.

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Mastercard (MA) - Two Sided Vol Scalping

MA is trading $260.10, up 2.1% with IV30™ up 4.7%. The LIVEVOL™ Pro Summary is below.



Earlier today I posted a note on Visa. You can read that below:
Visa (V) - Elevated Vol and Time Spread

Now Mastercard shows up as well. But I find this one slightly more intriguing. MA also came up on the Calendar spreads between the front two months. But it also is a very interesting candidate for a low vol scan. More on the latter in a bit...

Calendar 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 low vol scan is included (below) in case you want to build it yourself in Livevol Pro™.



The goal with the calendar 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. The vol difference is about 15 points, with Dec IV up more than 12 points today. Note also the upside skew in Dec. The 280 calls are priced at about 49 vol.

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).





Here's where it gets interesting. What I'm interested in here is the vol portion. Check out how high IV30™ is relative to the short-term historical vol (HV20™) and the long-term historical vol (HV180™). Specifically:

Jan IV: 29.71
IV30™: 29.71
HV20™: 34.51
HV180™: 33.90
Dec IV: 45.61

So, hypothetically, vol below ~30 (i.e. a few points less than the two HV measures) would be "cheap" and vol over ~37 (i.e. a few points more than the two HV measures) would be "expensive." In this case, both can be done.  I have highlighted in yellow on the vol chart, the two vol levels for Dec and Jan options.

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



Potential Trades to Analyze
1. Sell the MA Dec 260 straddle @ $9.70 (~42 vol)
Buy the Jan 260 straddle for $20.30 (~30 vol).
Pay $10.60.
Note that the one-week Dec straddle is priced at ~ 47% of the six-week Jan straddle. Oo...

2. Do #1, but sell the Dec 240 put @ $0.65. This nets a total debit of $9.95, which means the 1-week Dec straddle is sold @ ~50% of the 6-week Jan straddle. Of course, if Dec shows a large move (below $240), those $0.65 aren't gonna feel like a very good sale (regardless of the nearly 60 vol level).

3. Do #1 and sell the Jan 220 put @ $1.15. This yields a total debit of $8.80 and is naked downside until Dec expo.

4. For you risk lovers:
Do #3 and also sell the Jan 280 calls which have a reverse upside skew (~49 vol) @ $0.49. This yields a net debit of $8.31.

Just to be clear, I don't think spreading the time in both V and MA makes sense. No need to double down. Another note: Ceteris paribus, selling a $9.70 straddle in a $260 stock is the equivalent of selling a $0.97 straddle in a $26 stock... Just fyi...

This is trade analysis, not a recommendation.

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Radian (RDN) - Calls Active in Jan on Mortgage Data

RDN is trading $8.07, up 1.4% with IV30™ up 9.5%. The LIVEVOL™ Pro Summary is below.



RDN is a credit enhancement company. The Company operates in three business segments: mortgage insurance, financial guaranty and financial services. This morning they released some delinquency data on mortgages.

I wrote about RDN on 10-11-2010. You can read that post here:
Radian Group (RDN) - Depressed Vol into Earnings.

Basically, I noted that IV60™ (intermediate-term implied vol) was depressed relative to HV60™ (intermediate-term realized vol) and HV180™ (long-term realized vol).

In the first two and a half hours today the company has traded over 15,000 contracts on total daily average option volume of just 3,905. Over 13,000 Jan 9 calls have traded (substantially buying in my opinion), yielding a 24:2 call:put ratio. 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). There doesn't seem to be an OI greater than 8,000 on any one line and if we exclude the Dec 8 calls, there isn't anything greater than 5,000... So the Jan 9 action is substantial for this name.



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



We can see that the Jan vol is elevated to the upside, but oddly enough, the Jan 9 line is not. It's actually the Jan 10 and 11 options that have juicy vol.

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 kind of stumbled along. The vol chart is interesting. I have highlighted in yellow the vol level of the Dec 9 calls. We can see it's well below the HV180™, though above the HV20™.

The stock price is off about 8% since I wrote about in mid October. The Jan 9 straddle is worth ~ $1.60, that feels sort of fair(ish). The Jan 7.5/9 strangle is worth about $0.80 - also kind of fair(ish). I don't see a great trade here... Maybe a Jan 9/10 call spread is worth analyzing further if it can be done for $0.20 or less.

This is trade analysis, not a recommendation.

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Visa (V) - Elevated Vol and Time Spread

V is trading $80.54, up 0.4% with IV30™ up 11.4%. 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. It also came up on the one day vol gain custom scan making it pretty interesting.

Custom Scan Details (calendar spread)
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 (red line is above the yellow line). I have highlighted the 75/85 strangle vol diff.

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).





What I'm interested in here is the vol portion. The Dec vol is in the 47 range. That vol level is actually off the chart (literally). There is some juice in the front month for sure.

IV30™ (and Jan IV): 29.47
HV20™: 24.98
HV180™: 33.09
Dec IV: 47.05

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



Potential Trades to Analyze
1. Sell the Dec 75/85 strangle @ 0.58 (~51 vol)
Buy the Jan 75/85 strangle for $2.40 (~ 22 vol)
Net debit is $1.82.

2. Do #1, but also sell the Jan 70 puts @ $0.50. This reduces the net debit to $1.32 and is naked the downside below $70 for this week (until Dec. expo.).

3. Pay it totally backwards:
Buy the Dec 80 straddle for $3.13. Maybe there's something to this elevated vol and V is gonna move in the next week.

4. As usual, the final trade is for you risk lovers:
Do #2, but sell two of the Dec 75 puts @ $0.22. This reduces the net debit to $1.10. The downside risk goes away after Friday. If V is inside the short straddle strikes, this trade might close for win on expo (i.e. a sale of the Jan 75/85 strangle out on the next Monday could be a winner even if the stock doesn't move).

This is trade analysis, not a recommendation.

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Education Management (EDMC) - Elevated Vol and a Time Spread

EDMC is trading $13.90, down 0.5% with IV30™ down 1.2%. The LIVEVOL™ Pro Summary is below.



EDMC is a provider of post-secondary education in North America, with approximately 136,000 enrolled students as of October 2009. There is some interesting news going on with these guys, more on that 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 (red is above yellow) for the 12.5 and 15 strikes... nifty...

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).





What I'm interested in here is the vol portion. I've marked in yellow lines the vol level of the Dec and Jan options. 

Check out how high IV30™ is relative to the short-term historical vol (HV20™) and the long-term historical vol (HV180™). Specifically:

IV30™: 84.79
HV20™: 36.76
HV180™: 74.10

So, in the words of Cheech Marin, "waas sapening?" Here's some news:

1. Education Management, for-profit postsecondary education provider, said its board approved a 300% increase to the size of its stock buyback initiative, from $50 million to $150 million, and extended the term of the program to Dec. 31, 2011.
Source: TheStreet

2. Twenty for-profit colleges reaped $521 million in U.S. taxpayer funds in 2010, seven times more than in 2006, by recruiting armed-services members and veterans through misleading marketing, according to a Congressional report today.
Source: Bloomberg

Other than that, the stock gapped down more than $3 on 10-14-2010. The news from Motley Fool on 10-14-2010 is below:

--------------------------
What: Shares of for-profit educators are getting slaughtered in early trading, after industry bellwether Apollo Group (Nasdaq: APOL) pulled its 2011 outlook on regulatory concerns, and forecast sharp drops in new student enrollments....

Now what: Naturally, today's news casts even more doubts about the industry's future. It's no secret that for-profit educators have been facing intense scrutiny about just how effectively they prep students for the job market, but Apollo's announcement shows just how real those regulatory risks are becoming. With the Department of Education pushing for rules that could restrict their program offerings, as well as access to financial aid, for-profit school stocks are about the last turnaround bets I'd consider making.
Source: MotleyFool
--------------------------

Ok, so now we see the "sit-i-ation." It's an industry wide phenomenon with always present company specific risk.

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



Potential Trades to Analyze
1. Start simple:
Sell 1 Dec 12.5/15 strangle $0.40 (~87 vol).
Purchase the Jan 12.5/15 strangle for $2.00 (~82 vol).
The net debit is $1.60. This trade bets on essentially calm waters through Dec expo, then you either hold a cheap strangle into Jan hoping for a big move, or sell that long strangle @ > $1.60 (hopefully).

2. Do #1 and sell the Jan 10 put @ $0.35 (~95 vol). This reduces the debit to $1.25 and requires that EDMC not fall apart (go below $12.5) before Dec expo. to avoid a naked short option risk.

3. For you risk lovers:
Do #2 and sell the Jan 17.5 call @ $0.40 (~80 vol). This creates a net debit of $0.85, needs EDMC to stay in ($12.5, $17.5) before Dec. expo in order to avoid naked option risk. If the stock stays in ($15, $17.5) by Dec expo, the end position has a MaxLoss of $0.85 and MaxGain of
$1.65 or ~ 1.9:1 MaxGain:MaxLoss with a cheap little bet that the stock moves.

Ultimately, the question is - do you want to bet that EDMC behaves nicely for the next 7 days (to Dec. expo)?

This is trade analysis, not a recommendation.

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Great A&P Tea Company (GAP) - Order Flow Before Bankruptcy... Did Someone Know?

GAP is trading $1.00, down 64.7% with IV30™ up 66.5% on bankruptcy news. The LIVEVOL™ Pro Summary is below.




First, the news:
----------------------------
Shares of Great Atlantic & Pacific Tea Co., parent of the money-losing A&P supermarket chain, plunged 62% to $1.08 in Friday morning trading. Bloomberg reported the New Jersey-based supermarket operator may soon file for bankruptcy.
Source: MarketWatch
----------------------------

The excitement stems from the highly unusual and active order flow yesterday with the stock trading in the $2.80 range. The company averages ~2,000 contracts traded a day, and yesterday nearly 38,000 traded. The pop-out from the Charts Tab is included below - this is the easiest way to find summary order flow stats in LVP.



I also have included the days largest options trades (I found this by clicking on the volume bars for that day on the Charts Tab - the very bottom).



In total, 10,967 Jan 1 puts traded and 3,235 Feb 1 puts traded. Additionally, 3,035 Jan 0.5 puts traded... Hello? 0.5 puts?...

The trading though, isn't quite as clean as we might think here. Here are some details.

Jan 1 Puts:
OI was: 12,011
OI is now: 10,068

So the interest went down. I tried to find if that existing interest was long or short, and my best guess is that it was long from the trades that happened on 10-18-2010 and 12-7-2010.

So, in English, the long put positions actually net closed a little bit yesterday (there was more selling of puts than buying).

Feb 1 puts:
OI was: 2,537
OI is: 3,271

So interest went up. I believe those puts were bought yesterday.

The Options Tab from today is included below. You can see the OI as well.



So what first seemed to scream, CHEATER!!!, doesn't necessarily anymore. I also don't know if the 0.5 puts were long or short.  In my opinion, someone may in fact have known something, and was able to trade through a negotiation (many of the Jan 1 and Feb 1 puts traded through a broker). The brokers may have found the people with the other side of the position.

Keep in mind Jan 1 put OI went down 2,000 though volume was 10,000. So, 6,000 were short and 4,000 were long. I believe the 4,000 long could have been in the know (this is a guess).

Similarly for the Feb 1 puts. With 3,200 trading, and OI increasing by ~800, it looks like 2,000 were bought and 1,200 were sold (this is also a guess).

Net, net, the volume seems too high yesterday to simply excuse as randomly unusual, given the bankruptcy news immediately following (i.e. today BMO). I'll let you guys decide which side you fall on...

This is trade analysis, not a recommendation.

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