Tuesday, February 2, 2010

Select Comfort (SCSS) - Call Accumulator into Earnings

SCSS is trading 7.35 with vol up 15% today. Earnings are on 2/10. The LIVEVOL™ Pro Summary is below. I found this stock from the high option volume scan.

The company has traded over 4,300 options today in the first three hours on total daily average option volume of 202. Further, 4,225 have been calls for a 32:1 call:put ratio. The Company Tab snapshot is below (click the image to enlarge).

Essentially the entire volume has been purchases of the Feb 7.5 and Mar 7.5 calls. The day's biggest trades and Option Tab snapshots are inlcuded below (click either image to enlarge).

Note the OI in both lines is in the 3000+ range - these trades could be closing as the volume is less than the OI. Also, the OI in the Feb 7.5 line looks suspiciously similar to the actual volume. I have included the Level II pop outs for each line below with the OI chart.

You can see that the OI for both lines has a similar climb. Going to the Time & Sales Tab I looked these opening trades up - they were also purchases. It seems that the call purchases today are a double down bet on the original call purchases (not necessarily by the same entity).

So vol is up, OI is doubling, option volume is 2000% of the daily average and earnings are coming in a week.

The 2-year stock chart is included below for convenience (click to enlarge).

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