![](https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEiJQFkwYco3tMVPG9lgbriZeraIw-5gqfmGbPvf88CordS7g63YCE87DWYiA3rOlzeEaLBd0EBiaj_JGAVceifwAbfyUvFc-d8tEhxs_cbZqtCatRt5ADUSXcA0k9MkimBo531Ly7lqWOGr/s400/nvs_summary.gif)
The company has traded 22,299 options on total daily average option volume of just 3,314. 22,000 of the contracts went up in a single trade; an Oct 45/55 risk reversal (buy puts/sell calls). The Stats Tab and Day's biggest trades snapshots are included (click either image to enlarge).
![](https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEiIRsvkIFeKRO0cZKy7Yfqphgq1e5Ai_pDJWiCngJwukQFUjc3JTYpeaE44xsaPOrzslw59dzJPrAL0hcDLnBjwzDr0tVTS6IauhB4QWbpeiJPpLk1K7_sqKrpwYZi_9jcKihJhlsjb6mPp/s400/nvs_stats.gif)
![](https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEj4q4OzFlXodxj7OcoFP-TLml5kxcRqKhvWP1anD-elLVTR-MNS4y6tmiYEammdnclzWGfRVlt5xJhymYonZ8YAVG7h3nXNNbG9PcRVLZrmKZ9mpVo69ZO6N0_RRTBLXDBosz3qesLaC0M9/s400/nvs_trades.gif)
The Options Tab (click to enlarge) illustrates that the puts and calls have massive OI already.
![](https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEjPyZFVyK6YDbvMKmBr-1iDdA0cSi-wriYnYYxJKNDXKfJusTYaYt4oTP8kwJ8xXIhpw0liN9tEI91GX3fWNG8w1GDjACsR5cdgSyONs5KhXpqudgPOar-Nr_Hpa5Pc6xeSd64D0oFJ0rQB/s400/nvs_options.gif)
It turns out on 6-24-2010 (i.e. a few weeks ago) the same trade went up 9,190 times, and then again on 6-30-2010 for size. The historical trades snapshot from 6-24 is included (click to enlarge).
![](https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEiWHQbLsOKTtx0mgo9KZX9SG8LUAW7OBOuVOYQzETzv7tVGh_FdKDJf6pNJUjINcFJGXkoz2HTpC1KUYnUOovxew7xCTthiOe6HIOt4W1k4uZYTeAz7EOF47UHZ_XqfRx5dbsw9PNYIU83n/s400/nvs_old_trades.gif)
The 11,000 today are tripling down on the same line. Today the trade cost $0.80; it cost $0.90 on 6-24 and ~ $0.87 on 6-30. The entire OI plus today's trades PnL at Oct expo is included (click to enlarge) using an average price of $0.85.
![](https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEjQE69LZssJKf3wRwrt4RqZlbF2j1O42s_TA3qNQ7ev4jjQ6hodkqG6QubK_w0DzWd6_Ff2qv9i8Hak94CA0U1WeZelDZSHxjH21J5p4ZyNG8NuDpmsI3SIRmKJYRrc7nsUku68Qy9zRjMb/s400/nvs_pnl.gif)
The 52 wk range for the stock is [38.97, 56.42]. The PnL for this position at those levels (assuming no stock hedge) is:
P(38.97) = $15,540,000
P(56.42) = -$6,810,000
Umm, that's size.
The stock averages 3.5 million shares a day, and today only 1.75 have traded; so it's certainly not obvious if stock traded on those riskies.
The Skew Tab snap (click to enlarge) illustrates the vols by strike by month.
![](https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEib3cW5NgjFXXpmOTbxU-1C8_vRGn5LEJ4_yc9_rWqfjATR_uxtLwEpcSRWP9JHceSNkZ61IYba8mK4VTsodlwzFrup6o6wM1AGmc9ltMKd5WC8b4dXlU3ixrnhNCo5VEWM6xmkJg6zhpEc/s400/nvs_skew_7-7-2010.gif)
The skew looks pretty normal. Jan '11 looks a bit weird with the upward bend but that's just a nickel bid on the 70 calls.
Finally, the Charts Tab (6 months) is below (click to enlarge). The top portion is the stock price, the bottom is the vol (IV90™ - red vs HV90™ - blue). The yellow shaded area at the very bottom is the IV90™ vs. the HV90™ vol difference.
![](https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEhrrzevBDJmGkktUgs-oEIoAmvl7VbygivEBZ3bSvxbnEL-GkBNBVWBJB76aaN7L1t0nse4lGmBGjycCutpewXDMMo0fPE67CM0Y4SZDNYec1jPsG4E7rFOw3qMO6PbcUBEXiVpQfs6Dyjf/s400/nvs_charts.gif)
We can see the IV90™ is always above the HV90™ (or has been for 6 months). Long term vol looks like a sale according to that, but of course, the past doesn't predict the future. For what it's worth, the risk reversal does get long a little vol just based on skew. The 30,000 riskies create a vega position of $27,000/vol using today's values (vega).
The stock dipped pretty hard then bounced off a low and has been in a very small range recently.
This is trade analysis, not a recommendation.
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