Monday, July 26, 2010

Ventas (VTR) - Earnings Order Flow

VTR is trading $51.31, up 1.5%. The LIVEVOL™ Pro Summary is below.

I have posted twice on this company; the most recent just a few weeks ago. UPDATE: VTR (Ventas) - Orderflow Winner Trades Again; Same Strikes, Different Side

In the above blog, someone got short delta by selling calls and buying puts. Today, it's more of the same, but with put spreads.

The company has traded over 17,000 options on total daily average option volume of just 554. All but 341 contracts have been puts. The largest trade, accounting for 17,000 contracts was 8,500 Aug 40/50 put spread purchases on a 31.25 delta using $51.37 stock. 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 long puts (Aug 50) are opening (compare OI to trade size). You can also see that Aug vol is about the same as the other months even though earnings are in this cycle (a vol event).

Trade Stats
Buy 8,500 Aug 50 puts for $1.10
Sell 8,500 Aug 40 puts @ $0.05
Buy 265,625 shares for $51.37

The PnL chart is included (click to enlarge).

The trade makes $4,587,344 at $40 and loses $1,256,406 at $50.

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

You can see the ATM vol in Nov is above Aug.

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 price has just breached the $50 level.

This is trade analysis, not a recommendation.

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