Wednesday, June 16, 2010

Terex (TEX) - Call Buyer Hunts Skew

TEX is trading $21.05, down 1.6% with IV30™ up 5.3%. The LIVEVOL™ Pro Summary is below.

The company has traded over 11,400 options in the first hour on total daily average option volume of just 2,754. All but 195 contracts have been calls. The largest trades are call purchases in June and July. 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 are mostly opening (trade volume >> OI). You can also see how large this open interest will be relative to the other lines. 5,000 OI in each line is more than 2x any other line.

The Skew Tab snap (click to enlarge) illustrates the vols of each line. This is very cool for this trade.

You can see the vols bought for each month are the lowest of all the strikes. My best guess is this trader looked at the skew before choosing the calls to purchase.

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.

We can see the stock ha been quite a bit higher recently. The 52 wk. low is $10.24 and the 52 wk. high is $28.71. I like the anatomy of this trade relative to the skews purchased. Of course, if TEX doesn't go up, it's a loser.

This is trade analysis, not a recommendation.

Legal Stuff:


  1. I'm not sure I see the logic of making this trade. The price has to really get moving for those JUN calls to pay off; why not take advantage of the big skew and sell the JUN, buy the JULY?

  2. Same question, unless trader know that the stock will move within 2 days - inside probably?

  3. It's a weird bet. I guess we'll see in three days.

  4. June calls ITM already and tripled, it was fast :)