Wednesday, August 25, 2010

* UPDATE: Cemex (CX) - Vol Pops Again on Housing Data


CX is trading $7.65, with IV30™ up another 6.7% off of yesterday's 14% climb . The LIVEVOL™ Pro Summary is below.

Yesterday we looked at CX, and I posted this: Cemex (CX) - Vol Buy, Delta Bet on Dipping Stock

Today the vol is continuing to climb on the housing data even though the underlying, as of this writing, is literally unchanged.

The company has traded over 23,000 options in the first two hours on total daily average option volume of just 3,996. Yesterday the action was the Sep 7/8 risk reversal (buy puts/sell calls) without stock. Today it's the Oct options that are active; the Oct 9 calls and Oct 6 puts have accounted for over 12,500 contracts. 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 are mostly opening (compare OI to trade size). The puts have short OI and are purchases today, so the OI will drop today, best I can tell. The calls are tough to tell in terms of direction. They look negotiated and feel like purchases, though if they were sales the trade would echo the risk reversal yesterday in Sep. Either way, it's a vol purchase; either in a strangle or a risky (buying the skew).

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

It's interesting to see how the Sep and Oct skew downside literally lie on top of each other.

Finally, the Charts Tab with vol only (6 months) is below (click to enlarge). IV30™ - red vs HV20™ - blue. The yellow shaded area at the very bottom is the IV30™ vs. the HV20™ vol difference.

As we saw yesterday, the IV is exploding. IV30™ is now 57% (20 vol points) higher than HV20™.

Some possible trades:
Sell Sep and buy Oct (beware, this gets long vega on jumping vol)
Sell a straddle in Sep, buy a strangle in Oct
Either of the above on a ratio (more sales than purchases; maybe 1 x 1.25)
Sell naked Sep or Oct (pretty risky)

This is trade analysis, not a recommendation.

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