Thursday, June 10, 2010

Harley-Davidson (HOG) - Put Spreader on Call Sale in July

HOG is trading 26.80, up 2.4% with IV30™ up 9.7%. The LIVEVOL™ Pro Summary is below.

The company has traded over 51,000 options in the first hour on total daily average option volume of just 14,645. The largest trade was a July 20/25 put spread purchase funded by a July 30 call sale 2,187x each. 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 puts and the call are mostly opening (trade size >> OI). You can also see the June 28 calls traded 8,430 times, but from what I can tell, that is closing (purchase today to close short interest before).

Trade Stats
Buy 2,187 July 25 puts for $1.24
Sell 2,187 July 20 puts @ $0.23
Sell 2,187 July 30 calls @ $0.81
Net debit = 100*2,187*($1.24 - $0.23 -$0.81) = $43,740

Max Gain (at $20) = 100*2,187*$0.81 + 100*2,187*($5.00 - {$1.24 - $0.23}) = $1,049,760

The PnL chart is included (click to enlarge).

Note the naked upside in return for a cheaper spread (smaller debit).

The Skew Tab snap (click to enlarge) illustrates the vols of the strikes in the trade.

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

You can see HOG has traded over $35 recently and hasn't been below $23. This could be a hedge by a long stock holder. But it is interesting that vol is jumping today with the VIX down ~10% on the market rally.

This is trade analysis, not a recommendation.

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1 comment:

  1. thanks, your blog-posts is cool, BUT

    Why your blog haven't any tags/labels.
    Navigation is sucks - I cant filter previous posts.
    How to navigate over hundreds of posts:
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