![](https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEjF3xam9BZGlc6YGOmKn7fGbPvQBVqe6Pjdg29MMXiKWaRiezRXXxMHJ8mC1iZexToOUhIgfd3l8k8xYOmjNadohIlnVY3_OBcqx2dTd0lDJ2hvZu6fZH3eshitP-oqjuGmWCh7t_z3l753/s400/ads_summary.gif)
The company has traded nearly 18,000 options in the first three hours on total daily average option volume of just 1,888. All but 2,156 contracts have been puts yielding over a 7:1 put:call ratio. The largest trade was 13,290 Sep 50 puts crossed electronically on the bid on CBOE; I believe that to be a sale. The Stats Tab and Day's biggest trades snapshots are included (click either image to enlarge).
![](https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEhEZ6hH0_TQquICyLH4XEYdMVTFN_xBMQx1EHh1HTRhSkvh_cE3xn-u5_Gk0AUE1UsGkKn0ywW1-dT5ZcEzQfZ_r7NACmRfmTDNIcnDIiiENNbavzTvWcgvDliOnYnH__hyphenhyphenwTSrNH2HsGrs/s400/ads_stats.gif)
![](https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEh5Mpuq7B7nFBAOBTciTXZ-NvJrgN6hrftHewLgwBWn2VNkSY_xNo43UcEWRKoNopMlGugysO8RHLoUF-NpCZVaP3EkGJwUZq7w9if6UWSHlXlmlVUNEMUKGdBvJ-cjB4B-jGjNn2o9mzWq/s400/ads_trades.gif)
The Options Tab (click to enlarge) illustrates that the puts are opening (compare OI to trade size). I don't see any line in the front three months with more than 2,500 OI, so 13,290 is really big for this company.
![](https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEirsAWZUdffyQ1CSC_GmXqW1cYNITg6LLgTWsfS7PtKItAjlMD4qt92-BG0shIvie21uk51LbS2xwvfrp1C8nkJRP70VwXygdxrNf0INGhMXR6opNg61u9ZMGYtIHmsbfziEiejNhOTsyuE/s400/ads_options.gif)
The trade printed at 10:45 EST. When I looked up Time & Sales for the stock, I see a 318,960 lot traded at 10:46 EST (i.e. one minute later). I have included the snap (click to enlarge).
![](https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEjaemlG0d20JIXF9HyTsNrq94Xx4j8yXL554HApeboMfWSj8gwp3IrWM-A3sEnDViErucYQtoQ7JXfzYZVpJuENL5Bk5ToJuPVM6EQLQO-oq3bXDV9NjP45Dxy-9Bzt3Rqfb2Nv92XwpwqO/s400/ads_ts_stock.gif)
The exchange reported the stock trade as "Regular," but it printed more than $0.50 out outside of the NBBO. The PnL chart is included below, but I am using $57.83 stock (the stock value according to the option trade) rather than the price the exchange reported which seems erroneous.
Trade Stats
Sell 13,290 ADS Sep 50 puts @ $2.30
Sell 318,960 ADS stock @ $57.83
That number shares works out to a 24 delta.
Max Gain (at $50 at expo): $5,554,157
Breakeven Low: $44.50
Breakeven High: $67.41
![](https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEjnk3H6-eOCe_YK9hBx9wDtQy_zcjJOYxnTumxJHZTUVu-1d-M1qOpTOuHvOOedT2SuiQB62b7SB0jhPX2EKOMeRShfwNVKqI8HvSb1dN2Vrmi2aGqqyZIeQBoTNIDIuGu_0_Yx7v-juOpe/s400/ads_pnl.gif)
This trade is short $112,965.00/vol. In other words, each vol point carries over $100,000 in PnL. Note that vega is not constant (the second derivative of price with respect to vol is not zero). Let's get back to the vol in a sec. First the skew tab.
The Skew Tab snap (click to enlarge) illustrates the vols by strike by month.
![](https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEie9xgMvWcfeWmqOYjbNSNGECksbrVudW1MZYTHvV2BRKGDx44TR7Lm7Ic8Q_DGYW7EsVd2kvyf6fkWn2hHeeeO3ccONS8HoKZrsi_vVwD9N-pfw55vs9HhgzHeOza0lpDguJMwuLQ7xBJT/s400/ads_skew_7-2-2010.gif)
Pretty normal lookin' skew.
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.
![](https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEigQAs7zjN_akCFXDRm7qZcNWJfXRKUN1i7-I9fyir_3A3VCrAsFrV1U2qz2VSPcpoOCgAd0uKjfPz3BsclTaSv_jEaTntIOG_M-RUOd6g69EgAM_v-wgvGBd3Q5wyLXUxkO8vAyd5KOlCW/s400/ads_charts.gif)
We can see a sharp price decline and the IV30™ (red line) moving well above the HV20™ (blue line).
I have also included the vol chart of HV90™ (dark blue line) vs. the IV90™ (green line).
![](https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEhuqrTxYC1aJ9GzPJmeKyC8Rj2Ph9bE64Af_iKuycWmVAlVCRzalpAglYk0G0krf45J5MSCoCkc7cv9c7zds8EIFEFusZrughVixj5KP6H62733VoIxGa7TWMRPsofAjaXozgm4LrhMTpjl/s400/ads_longterm_charts.gif)
Note how far the implied (green) is trading above the historical (blue). The Sep options correspond more closely to the IV90™ than the IV30™ if looking to expo. Either way, this trade sells highly elevated vol in a stock that has dropped hard recently. The trade does have room for another ~$9 of stock drop before it loses money.
This is trade analysis, not a recommendation.
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