The trade yesterday was on a 67 delta, so the stock wasn't the 99,000 shares but rather it was 1,005,000 shares (both prints crossed at around the same time, I blew it (I chose the wrong one - I was off by a factor of 10).
My apologies.
**
XRX is trading $9.54 with IV30™ up 1.3%. The LIVEVOL™ Pro Summary is below.
![](https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEjth7tVX_mne_4OBVkQIkcxpfg-9oI4ubP-4ZKDsYE4LmhIDE_Rzhv9tKy9ezer01iN3EzI8yDRjbbqw6nTSjyb0OUQX8OnUhpbN11oncVJxy4k0cd54tehGqBjqUELgrXXQEACWmkJU09U/s400/xrx_summary.gif)
The company has traded over 40,000 options on total daily average option volume of just 8,680. 30,000 contracts traded in one trade; a Sep 9/10 risk reversal (sell puts/buy calls) on a 67 delta against $9.65 stock. The Stats Tab and Day's biggest trades snapshots are included (click either image to enlarge).
![](https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEgOoXi82GLwC89A_5hZ9horSTUPHUMGXoqV6kPrKOJXY_xQuJ9QqdUTqDkMyrM5-3BsPEHmVK_YHRcUqcLEZH3MJLkb1rio-m2X9YcVynOeVQA_rNAx1GOOzMd0nkYoc_nkvzguUc2iF9GC/s400/xrx_stats.gif)
![](https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEit9SYz8XwzuSPJ1sf7OXF6vHJh0QtxYvVNuvEdMArkSU0AcVu4vuRxEzIX4iYzbQcQotT5ikA7CHFfkl-Z0wZeNg6ithtzn8gZQXWrJBhhqJYpRHXICQvQWFjL2JH95kxg1tDi92oRnZq_/s400/xrx_trades.gif)
The Options Tab (click to enlarge) illustrates that both the calls and the puts are opening (volume >> OI).
![](https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEguQlErGIjib4XNZU09scD3NM_B5pOXG5SIpP4ZO7MrVcwyxiAYBZ5X-KOW0nCf-TxaZhQhbS9jLLD8-gTtwUcWqtZobqos7IC4NjoSrHa984cy8xFq3weOK6JQ6GKGEnahB3Qt_nHpMXxg/s400/xrx_options.gif)
Trade Stats
Sell 15,000 Sep 9 puts @ $0.25
Buy 15,000 Sep 10 calls for $0.35
Sell 1,000,5000 XRX shares at $9.65
The PnL chart is included (click to enlarge).
![](https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEjYWqqF6G9TuzobQFM-Jx_obd5I6JbycYiN4KloEzLf4i9FcID2Em4k_9vJFarSlerjcvB2iRknUIooTAMGrUvXMBQfJG0iBwyyPdvDmPXwWtxN_-1RPym-5Islkgjvd0E3XtkaqLUhewui/s400/xrx_pnl.gif)
This trade creates a net debit of $150,000. At expiration it makes the most money above $11 (ish). It looks for a possible pin in the $9 range (that's the peak in the PnL chart).
The 52 wk range for XRX is [$7.19,$11.72]. The PnL at those levels is:
PnL($7.19) = -$392,700
PnL($11.72) = $$349,650
The Skew Tab snap (click to enlarge) illustrates the vols by strike by month.
![](https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEi_BaDPkPNcXa0iCA-QyqhyqJFNVcR6SpuVuoodTCol43KCuq3Fj5onf_0f96W0nOUVk43oIgxbhwqGnonOIS19AOOZALVX417IKLlzh1hod6cUgMJM8Z04kmJicp495OOsO8vvU_Uaj-dB/s400/xrx_skew_7-27-2010.gif)
This is sort of the Rodney Dangerfield of skews; "No respect." You can see The front three months have almost identical skews and there is no bend upward for the 10 strike purchases or a significant bend downward for the 9 strike sales.
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/AVvXsEiNPldFpbluZrdCigHfWIFZzX0fuYL5pE2oda2m7_5GbBqTXMtamV5Ck2bJZjkixXCPX_fKHiDbcA4UHVHMoUnxf1pbgOPdtr4uj1CcVwshjW9NlFjBot0WM8Fht1z_0D0N6jmRE2-FdJdC/s400/xrx_charts.gif)
We can see the HV20™ is now well above the IV30™ as XRX stock has rebounded hard from its low a month ago. The next earnings cycle is projected for Oct (or even Nov), so this trade does not worry about that.
This is trade analysis, not a recommendation.
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