Wednesday, February 24, 2010

** UPDATE: Millipore (MIL) - Takeover Bid Leaked, Stock Jumps $30 then Drops - Options Trade


You can read the original post BY CLICKING HERE.

MIL is trading 92.86 up almost $4. The LIVEVOL™ Pro Summary is below.

The original blog was kicked off by a singular report from Bloomberg that TMO was going to (or had already) bid $6 billion for MIL - the equivalent of ~ $107 stock price. There were no denials or confirmations. Stock went from $72 to $102 back to $87 and now to $94.

The news worthy of update today is that MIL confirms that they are evaluating strategic alternatives and they have confirmed engaging Goldman Sachs as its financial advisor. The stock is up $4 since yesterday. Click the news snap to enlarge.

The company is extraordinarily active again in options - over 25,000 options today in the first two hours on total daily average option volume of just 1,400. Further, 21,000+ calls have traded for a 5:1 call:put ratio. The Stats Tab is included (click either image to enlarge).

The Skew Tab snapshot is included (click to enlarge) for 2-19-10 (pre-news), yesterday and today.

Skew Legend:
Red - Front month
Yellow - Second month
Green - Third month
Blue - Fourth month

Note going from yesterday to today that the upside skew is finally bending upward indicating higher probability placed in the upside (literally a skew in the probability measure). Also notice how the front two months vols (red and yellow) have come down closer to the back months today when compared to yesterday.

Finally, the Charts Tab snap is included again for completeness. The bottom portion of the chart are the vols: IV30™ (red) vs. HV20™ (blue). The yellow shaded area charts the vol difference.

This seems like the most interesting trading/analytical opportunity in a takeover/event stock in a really long time - maybe since ROH.

This is trade analysis, not a recommendation.

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