Friday, February 19, 2010

MSCI South Korea Index (EWY) - Bearish Bet (Assymetric Butterfly)

EWY is trading 46.62. The LIVEVOL™ Pro Summary is below.

The company has traded over 20,000 options today in the first hour on total daily average option volume of 6,704. The largest trade has been the Mar 41/43/46 butterfly (puts) accounting for 20,000 contracts. The Company Tab and day's biggest trades snapshots are included (click either image to enlarge).

This is a bearish bet that EWY goes to the short strike (43) by March expo. It's assymetric. The PnL charts is included (click to enlarge).

The skew chart is provided below (click to enlarge). You can see EWY has a standard looking skew smirk. I have highlighted which strikes were purchased and sold.

Finally I have included ther Charts tab snap (click to enlarge). You can see the recent rally in EWY. Note the pivot point for the rally was --- $43. That's the bet.

The bottom portion of the chart are the vols: IV30™ (red) vs. HV20™ (blue). The yellow shaded area charts the difference.

This is trade analysis, not a recommendation.

Legal Stuff:

No comments:

Post a Comment