Friday, March 5, 2010

Nuance (NUAN) - Calls Trading; Pattern Forming?

NUAN is trading 15.55 with IV30™ up 5 points (17%). The LIVEVOL™ Pro Summary is below.

The company has traded nearly 9,000 options in the first half an hour of trading on total daily average option volume of just 1,235. Further, just 74 puts have traded meaning a 120:1 call:put ratio. The largest trades have been the Mar 15 and Apr 17.5 calls. The Stats Tab and Day's biggest trades snapshots are included (click either image to enlarge).

The Options Tab (click to enlarge) illustrates that the calls in March are opening (compare OI to volume). The Apr 17.5 calls require a little digging. You can also see that Mar vol is the highest of all months - even more than July which has earnings (a vol event).

Looking at the Level 2 pop-up for the Apr 17.5 calls we can see that the OI jumped on 2-3-2010. The Time & Sales snap for that day and those options is also included (click to enlarge).

The OI went up on purchases. Since the Apr 17.5 call trades today have pre-dominantly been purchases, it's safe to say that these are going to increase the OI (are opening).

Finally, the Charts Tab (6 months) is below (click to enlarge). The bottom portion is the vol - IV30™ (red) and HV20™ (blue). The yellow shaded area at the very bottom is the vol difference.

Note the up turn in the stock and vol which is "not normal" behavior but also not unheard of. You can also see that the IV30™ has consistently been higher than the HV20™ for several months. In other words, the vol has been a sale (in the past) yet is increasing even more today.

The last piece of information we can glean from the chart is how the stock (and vol) have moved following days like today (unusually high opening call volume - i.e. the volume bars at the bottom are tall and green). See the highlighted areas.

In Sep, it was a stock peak and HV20™ stayed still. In Dec stock peaked and HV20™ fell off a cliff. Today... I guess we'll see...

This is trade analysis, not a recommendation.

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