Tuesday, February 9, 2010

Macerich (MAC) - Put Buyer & Skew Hunter into Earnings

MAC is trading 30.30 with IV30™ up 6%. The company has earnings in two days (2/11/10 BMO). The LIVEVOL™ Pro Summary is below.

The company has traded over 5,000 options today in the first two hours on total daily average option volume of just 877. Further, 4,900+ puts have traded for a 1:19 call:put ratio. The largest trades have been the Sep 25 puts; ~4,700+ have been purchased so far today. The Company Tab and day's biggest trades snapshots are included (click either image to enlarge).

The Options Tab snapshot is also included (click to enlarge).

A couple of things to note:
(1) Sep vol (49) is well below all other months which range 53-61.
(2) The largest OI on any line is about 2,000. In just two hours ~4,700 open interest has been purchased in Sep 25 puts.

Finally, the Skew tab snapshot is included (click to enlarge).

Skew Legend
Red - front
Yellow - second
Green - third
Blue - fourth

You can see that not only is the Sep month (blue line) below all others (as we saw in the Options Tab), but also, the downside skew for just that line is tilted downward. The circle on the skew tab indicates the Sep 25 puts - see how much lower vol it is relative to the other 25 level puts (directly above it).

Note that MAC has earnings in a couple of days.

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