Thursday, August 12, 2010

Newfield Exploration (NFX) - Sep Vol Seller and Delta Better on Chart Pattern

NFX is trading $51.22, down 2.8% today with IV30™ up 4.3%. The LIVEVOL™ Pro Summary is below.

Newfield Exploration Company is an independent oil and gas company engaged in the exploration, development and acquisition of oil and gas properties.

The company has traded over 6,600 options on total daily average option volume of just 821. 6,000 contracts went up in a Sep trade (buy the Sep 45/50 put spread and sell the Sep 60 calls to fund it). The Stats Tab and Day's biggest trades snapshots are included (click either image to enlarge).

The Options Tab (click to enlarge) illustrates that all three legs are mostly opening (compare OI to trade size). Note also that Sep vols up 1.8 points; which is more than any other month.

This trade is selling the elevated vol (see chart below) while getting short deltas in lock step with the dipping stock chart (also below).

The specific strikes traded are very interesting. The 52 wk low is $37.02 while the recent low is more like $45 back in late May. The 45 line is the strike sold in the put spread; so that level is being treated like a support for the near term.

Similarly, the 52 wk high is $60.50, and was realized the last day of April trading; so that level is treated like a resistance in this trade. Overall this trade pays $1.39 in the put spread and receives another $0.275 for the short calls for a total debit of $1.115.

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.

Note the stock levels and the vol pop of late.

This is trade analysis, not a recommendation.

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  1. It would be most helpful if ALL analyses showed max gain, max loss, and PaL graph! pls

  2. recreating strategies in Excel works miracles in understanding them.. :)

  3. will do. I'll post the calculator I use to the web for you guys.