Tuesday, February 9, 2010

Research in Motion (RIMM) - Skew Divergence & Earnings

RIMM is trading 66.39. The LIVEVOL™ Pro Summary is below.

The vol of each month is relatively flat - ranging from just 42-43 excluding Feb. The snapshot is included below.

The Skew Tab snapshots (rotated and flat) are presented below. Note that even though the ATM vols are similar (from above) there is a distinct skew in the red (Feb) and yellow (Mar) months while green (Jun) and blue (Sep) are right on top of each other and much flatter. Click either image to enlarge.

The March and June Options Tab snapshots are below (click either to enlarge).

A few things to note:
(1) Earnings are at the end of March and therefore out of the March expo.
(2) The OI in March and June upside calls:
Str March June
75 24,340 ---- 4,454
80 18,994 ---- 5,054
85 9,303 ---- 2,382
90 4,678 ---- 2,000
95 5,532 ---- 754
100 71,615 ---- 3,265

This can occur for several reasons - sometimes it's just the length of time a certain month has been available, other times it's growing positions (bets) in a certain time frame.

The Skew chart for RIMM as of 12/21/2009 (earnings were 12/17/2009 AMC) is included below (click to enlarge).

You can see the second month (yellow) and third month (green) up and down skews overlap pretty well.

Finally, the Charts Tab snap shot is included below (click to enlarge). You can see that three of the last four earnings cycles the stock has gapped and HV20™ (blue line on bottom chart) jumped higher than IV30™ (red line on bottom chart).

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