Monday, August 23, 2010

Hologic (HOLX) - Call Volume Jumping

HOLX is trading $14.84, up 1.1% with IV30™ up 5.3%. The LIVEVOL™ Pro Summary is below.

The company has traded over 7,700 options in the first half hour on total daily average option volume of just 1,561. All but 245 contracts have been calls for a 30:1 call:put ratio. HOLX has been on the high volume scan for a while now with call volume jumping, today the action felt worthy of a note. The largest trades have been sales of the Sep 15 calls 2300x and purchases of the Oct 15 calls 4,500x. 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 calls in Oct are opening as this is the first day of trading for that expo. The Sep calls are sales on long OI as best I can tell; they are closing.

Note the vols by month at the top of the tab. Sep is 44.5 while Oct is 57.2. This is not an earnings phenomenon, as the next cycle should be in Nov (projected).

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

This clearly demonstrates the vol diffs as well as skew shapes per month. Note the flatter upside in Oct (yellow) relative to Dec (green). But, even though Sep vol is below both, that upside is kinked the furthest up even with the selling pressure.

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.

HOLX jumped on earnings on 8-2-2010, peaked then has dropped to a sort of steady state. The HV20™ is above the IV30™ even given the jump today in implied. The upside skew in Oct can get very "bumpy" at times with liquidity available meaning spreads can show some edge if you watch closely.

This is trade analysis, not a recommendation.

Legal Stuff:

No comments:

Post a Comment