Tuesday, June 1, 2010

Newell Rubermaid (NWL) - Call Accumulator

NWL is trading 17.11 up 2.7% with IV30™ up 11.9%. The LIVEVOL™ Pro Summary is below.

NWL recently confirmed earnings guidance.

The company has traded over 12,000 options in the first two hours on total daily average option volume of just 2,001. All but 1,206 contracts have been calls yielding a 9:1 call:put ratio. The largest trades are in the front two month 17.5 and 20 calls as well as the second month 20 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 Jul 20 calls are opening (volume >> Open Interest). The Jun 17.5 calls are purchases today on long OI (so they are increasing the open interest). The Jun 20 calls are purchases today on long OI as well. The Jun 17.5 and 20 calls became active on 5-3-2010 (i.e. a month ago) and are continuing to accumulate long positions.

The Skew Tab snap (click to enlarge) illustrates how the Jun and Jul 20 level call volatility is increasing. The skew is bending up with the order flow. I've highlighted the 20 strike for those two months. Note that the back three months still slope downward.

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 from the shaded region at the bottom that the IV30™ generally trades above the actual vol (HV20™). Right now the two are almost in synch as the stock has risen recently. Around the end of Feb on the chart you can see where the IV and HV converged. A sort of "quiet" period ensued, then the stock moved up as IV™ rose. For the convergence most recently (early May(ish)), the stock dropped first then rose.

This is trade analysis, not a recommendation.

Legal Stuff:


  1. how can you tell if a options is long open int?

  2. 1) Use the Level 2 pop-out in Livevol Pro.
    2) See the OI chart and find a spike (or dip)
    3) Go to Time & Sales for trades that day and that options
    4) If the trades were purchases (sales) and increased OI, then it's long (short) interest.