Thursday, August 5, 2010

Liberty Global (LBTYA) - Vol Seller in Oct

LBTYA is trading $29.59 with IV30™ up 3.0%. The LIVEVOL™ Pro Summary is below.

The company has traded nearly 21,000 options on total daily average option volume of just 1,421. The largest trade was 10,000 Oct 27.5/32.5 strangle sales @ $1.05, no stock, most crossed. Color on this on from Mike Bristow of the Vtrader Group. The Stats Tab and Day's biggest trades snapshots are included (click either image to enlarge).

The Options Tab (click to enlarge) illustrates that strangle is entirely opening as there is no OI in those lines in Oct. Looking up and down the chain, the OI is going to be largest in these options other than the Jan '11 22.5 puts and 35 calls. Best I can tell the Jan trade was on July 9th and it was a risk reversal (buy call sell put receive $0.40).

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

I've highlighted the strikes that traded today. On the far ends of the skew which average out to about ATM (25 vol, 30 vol to an ATM Oct vol of 27).

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.

The stock dipped hard in late May and has ripped back up from the ~$23 level to almost $30. The strangle sale makes money if LBTYA stock is in ($26.45,$33.55) at Oct expo. The 27 vol average sale is above HV10™ thru HV30™, but below HV60™. The trade also wins to time decay and vol dereases. I like the sale, but small.

This is trade analysis, not a recommendation.

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