Friday, July 9, 2010

Computer Scienes (CSC) - Bulls Turn Skew Up

CSC closed at $45.35 yesterday. The LIVEVOL™ Pro Summary is below.

The company traded over 12,000 options on total daily average option volume of just 1,049. All but 2,320 contracts were calls yielding a 4:1 call:put ratio. The action was in the July 45 calls (two sided), 47.5 calls (purchases), as well as the Aug 47.5 calls (purchases) and Aug 42.5 puts (sales). The Stats Tab and Day's biggest trades snapshots are included (click either image to enlarge).

The Options Tab (click to enlarge) illustrates that all of the lines traded greater than their OI so if they were one sided, they were opening. It turns out today that the Jul 45 calls' OI only went up ~100; so the trading there was just back and forth. All three of the other lines have substantially increased OI - it was one sided trading.

Trade Stats
Buy ~2,500 Aug 47.5 calls
Buy ~3,300 July 47.5 calls
Sell ~2,000 Aug 42.5 puts
This trade gets long delta on all three legs

The Skew Tab snap (click to enlarge) illustrates the vols by strike by month.

You can see clearly the July upside has spiked up; even the 50 calls are bid. You can also see that the Aug upside has bend a little "less down" - i.e. the vol has come up with the order flow.

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.

Much like a lot of order flow and stocks; the underlying dipped hard recently and seems to be making a recovery upward. The order flow looks to see the stock go over $47.5. You can also see at the very bottom of the chart, the volume bars indicate both how unusually high the volume was (the height of the bar) and how one sided the ISE sentiment was (green color).

This is trade analysis, not a recommendation.

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